begin "scratch.sql"

scratch.sql

@@ -0,0 +1,72 @@
+-- list around-the-money calls:
+SELECT 
+  s.symbol, 
+  s.close,
+  o.strike,
+  o.delta,
+  o.bid,
+  o.ask
+FROM
+  stock_quote AS s
+INNER JOIN
+  option_quote AS o
+  ON o.underlying = s.symbol
+WHERE
+  abs(o.strike-s.close)/s.close < 0.07
+  AND
+  o.type = 'call'
+LIMIT 30;
+
+-- historical payoff of at-the-money calendars:
+SELECT
+  s.quote_date,
+  s.symbol,
+  s.close,
+  front_month.strike AS strike,
+  front_month.type AS "type",
+  front_month.expiration AS front_month_exp,
+  back_month.expiration AS back_month_exp,
+  (back_month.ask-front_month.bid) AS cost,
+  (back_month_at_exp.bid-cost) AS payout
+FROM 
+  stock_quote AS s
+INNER JOIN
+  option_quote AS front_month
+  ON 
+    front_month.underlying = s.symbol
+    AND
+    front_month.quote_date = s.quote_date
+    AND
+    front_month.expiration > s.quote_date
+INNER JOIN
+  option_quote AS back_month
+  ON 
+    back_month.underlying = s.symbol
+    AND
+    back_month.quote_date = front_month.quote_date
+    AND
+    back_month.strike = front_month.strike
+    AND
+    back_month.type = front_month.type
+    AND
+    back_month.expiration > front_month.expiration
+INNER JOIN
+  option_quote AS back_month_at_exp
+  ON 
+    back_month_at_exp.underlying = s.symbol
+    AND
+    back_month_at_exp.strike = back_month.strike
+    AND
+    back_month_at_exp.type = back_month.type
+    AND
+    back_month_at_exp.expiration = back_month.expiration
+    AND
+    back_month_at_exp.quote_date = front_month.expiration
+WHERE
+  s.symbol = 'MSFT'
+ORDER BY
+  s.quote_date,
+  s.symbol,
+  strike,
+  "type"
+LIMIT 30;