tools — 4 answered market questions

The same chain, a different question: in the money value by settlement price

most recentas of 2026-08-22 ranking 23×2read in context →

The same chain, a different question: in the money value by settlement price — 23 rows by 2 columns, computed 2026-08-22 from US exchange, SIP and OPRA data.
settle_price	itm_value_bn
$759	0.89
$760	0.8
$761	0.72
$762	0.64
$763	0.56
$764	0.48
$765	0.41
$766	0.35
$767	0.3
$768	0.25
$769	0.21
$770	0.18
$771	0.19
$772	0.21
$773	0.25
$774	0.3
$775	0.35
$776	0.41
$777	0.47
$778	0.54
$779	0.62
$780	0.69
$781	0.77

the exact SQL behind every number

WITH chain AS
(
    SELECT
        toFloat64(strike_price)                                             AS k,
        if(lower(option_type) LIKE 'c%', 'call', 'put')                     AS side,
        sum(toFloat64(volume))                                              AS contracts,
        min(abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1)) AS moneyness
    FROM global_markets.options_greeks
    WHERE underlying_symbol = 'SPY'
      AND date = (SELECT max(date) FROM global_markets.options_greeks WHERE underlying_symbol = 'SPY')
      AND volume > 0
      AND days_to_expiry BETWEEN 0 AND 7
    GROUP BY k, side
)
SELECT
    concat('$', toString(round(sk)))          AS settle_price,
    round(sum(multiIf(
        side = 'call' AND sk > k, (sk - k) * contracts * 100,
        side = 'put'  AND sk < k, (k - sk) * contracts * 100,
        0)) / 1e9, 2)                         AS itm_value_bn
FROM (SELECT DISTINCT k AS sk FROM chain WHERE moneyness <= 0.015) AS grid
CROSS JOIN chain
GROUP BY sk
ORDER BY sk

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