tools — 4 answered market questions

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

most recentas of 2026-10-04 ranking 23×2read in context →

The same chain, a different question: in the money value by settlement price — 23 rows by 2 columns, computed 2026-10-04 from US exchange, SIP and OPRA data.
settle_price	itm_value_bn
$754	0.72
$755	0.64
$756	0.56
$757	0.49
$758	0.43
$759	0.37
$760	0.32
$761	0.29
$762	0.28
$763	0.27
$764	0.29
$765	0.32
$766	0.37
$767	0.43
$768	0.49
$769	0.56
$770	0.64
$771	0.72
$772	0.81
$773	0.91
$774	1.01
$775	1.11
$776	1.21

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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