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Net collar gamma at 90, 30 and 7 days to expiry

most recentas of 2026-08-18 ranking 5×4read in context →

Net collar gamma at 90, 30 and 7 days to expiry — 5 rows by 4 columns, computed 2026-08-18 from US exchange, SIP and OPRA data.
spot_price	gamma_90d	gamma_30d	gamma_7d
$85	3.01	5.05	3.7
$90	2.33	6.01	12.79
$100	-0.67	-0.88	-0.19
$110	-2.27	-4.96	-10.47
$118	-1.94	-2.68	-1.15

the exact SQL behind every number

SELECT
    spot_price,
    round(maxIf(net_gamma, days_out = 90), 2) AS gamma_90d,
    round(maxIf(net_gamma, days_out = 30), 2) AS gamma_30d,
    round(maxIf(net_gamma, days_out = 7),  2) AS gamma_7d
FROM
(
    WITH
        100.0 AS contract_multiplier,
        90.0  AS put_strike,
        110.0 AS call_strike,
        0.25  AS vol,
        0.04  AS rate
    SELECT
        spot,
        days_out,
        concat('$', toString(toUInt16(spot)))                                              AS spot_price,
        days_out / 365.0                                                                   AS years,
        (log(spot / put_strike)  + (rate + 0.5 * vol * vol) * years) / (vol * sqrt(years)) AS d1_put,
        (log(spot / call_strike) + (rate + 0.5 * vol * vol) * years) / (vol * sqrt(years)) AS d1_call,
        exp(-0.5 * d1_put  * d1_put)  / sqrt(2 * pi())                                     AS pdf_put,
        exp(-0.5 * d1_call * d1_call) / sqrt(2 * pi())                                     AS pdf_call,
        contract_multiplier * (pdf_put - pdf_call) / (spot * vol * sqrt(years))            AS net_gamma
    FROM
    (
        SELECT
            spot,
            arrayJoin([7, 30, 90]) AS days_out
        FROM
        (
            SELECT arrayJoin([85.0, 90.0, 100.0, 110.0, 118.0]) AS spot
        )
    )
)
GROUP BY spot, spot_price
ORDER BY spot

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