afwijking_spreiding

Name: afwijking_spreiding
Creator: Strasmore
Published: 2026-09-27
License: https://www.strasmore.com/terms/

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-09-27, from aex-index-options-expiry-and-settlement.

as of 2026-09-27 ranking 2×4read in context →

afwijking_spreiding — 2 rows by 4 columns, computed 2026-09-27 from US exchange, SIP and OPRA data.
ticker	mediaan_afwijking_bps	p90_afwijking_bps	grootste_afwijking_bps
ASML	70.5	217.8	404.6
SPY	26.7	69.1	129.2

Rows × columns: 2 × 4
Computed: 2026-09-27
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for afwijking_spreiding, derived from the stored result.
Column	Type	Range
`ticker`	text	2 distinct values (ASML, SPY)
`mediaan_afwijking_bps`	number	26.7 to 70.5
`p90_afwijking_bps`	number	69.1 to 217.8
`grootste_afwijking_bps`	number	129.2 to 404.6

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on 2026-09-27, and the query below is what returned them.

Run it yourself

This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.

WITH venster AS
(
    SELECT
        toDate(toTimeZone(window_start, 'America/New_York')) AS sessie,
        ticker,
        avg(toFloat64(close))                                AS gemiddelde
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker IN ('ASML', 'SPY')
      AND window_start >= today() - 100
      AND window_start <  today() - 2
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) <= 600
    GROUP BY sessie, ticker
),
slot AS
(
    SELECT
        date                  AS sessie,
        ticker,
        toFloat64(any(close)) AS slotkoers
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN ('ASML', 'SPY')
      AND date >= today() - 100
    GROUP BY sessie, ticker
),
afwijking AS
(
    SELECT
        v.sessie AS sessie,
        v.ticker AS ticker,
        abs(round(10000 * (v.gemiddelde - s.slotkoers) / s.slotkoers, 1)) AS abs_bps
    FROM venster AS v
    INNER JOIN slot AS s ON s.sessie = v.sessie AND s.ticker = v.ticker
)
SELECT
    ticker,
    round(quantileDeterministic(0.5)(abs_bps, toUInt32(sessie)), 1) AS mediaan_afwijking_bps,
    round(quantileDeterministic(0.9)(abs_bps, toUInt32(sessie)), 1) AS p90_afwijking_bps,
    round(max(abs_bps), 1)                                          AS grootste_afwijking_bps
FROM afwijking
GROUP BY ticker
ORDER BY mediaan_afwijking_bps DESC

SQL to run

WITH venster AS
(
    SELECT
        toDate(toTimeZone(window_start, 'America/New_York')) AS sessie,
        ticker,
        avg(toFloat64(close))                                AS gemiddelde
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker IN ('ASML', 'SPY')
      AND window_start >= today() - 100
      AND window_start <  today() - 2
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) <= 600
    GROUP BY sessie, ticker
),
slot AS
(
    SELECT
        date                  AS sessie,
        ticker,
        toFloat64(any(close)) AS slotkoers
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN ('ASML', 'SPY')
      AND date >= today() - 100
    GROUP BY sessie, ticker
),
afwijking AS
(
    SELECT
        v.sessie AS sessie,
        v.ticker AS ticker,
        abs(round(10000 * (v.gemiddelde - s.slotkoers) / s.slotkoers, 1)) AS abs_bps
    FROM venster AS v
    INNER JOIN slot AS s ON s.sessie = v.sessie AND s.ticker = v.ticker
)
SELECT
    ticker,
    round(quantileDeterministic(0.5)(abs_bps, toUInt32(sessie)), 1) AS mediaan_afwijking_bps,
    round(quantileDeterministic(0.9)(abs_bps, toUInt32(sessie)), 1) AS p90_afwijking_bps,
    round(max(abs_bps), 1)                                          AS grootste_afwijking_bps
FROM afwijking
GROUP BY ticker
ORDER BY mediaan_afwijking_bps DESC

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