options-greeks — 5 answered market questions

Day before SPY's ex-date: time value left in deep-in-the-money calls, by days to expiry

most recentas of 2026-07-17 ranking 3×4read in context →

Day before SPY's ex-date: time value left in deep-in-the-money calls, by days to expiry — 3 rows by 4 columns, computed 2026-07-17 from US exchange, SIP and OPRA data.
days_to_expiry	contracts	median_time_value	pct_below_dividend
3 to 9 days	36	3.89	14
10 to 16 days	79	4.35	11
17 to 45 days	110	5.92	0

the exact SQL behind every number

SELECT
    multiIf(dte <= 9, '3 to 9 days', dte <= 16, '10 to 16 days', '17 to 45 days') AS days_to_expiry,
    count() AS contracts,
    round(median(time_value), 2) AS median_time_value,
    round(100.0 * countIf(time_value < 1.904) / count(), 0) AS pct_below_dividend
FROM (
    SELECT option_close - greatest(underlying_close - strike_price, 0) AS time_value,
           (expiration_date - toDate('2026-06-17')) AS dte
    FROM global_markets.options_greeks
    WHERE date = '2026-06-17'
      AND option_type = 'C'
      AND underlying_symbol = 'SPY'
      AND underlying_close - strike_price >= 25
      AND expiration_date > toDate('2026-06-17')
      AND expiration_date <= toDate('2026-08-01')
      AND implied_volatility > 0.02
)
GROUP BY days_to_expiry
ORDER BY min(dte)

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