How big a one-day move usually is, sessions since 2016
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 2026-09-20, from Best Time of Day to Sell a Mutual Fund.
| move_bucket | frequency_pct |
|---|---|
| under 0.25% | 30.4 |
| 0.25% to 0.50% | 19.8 |
| 0.50% to 1.00% | 26 |
| 1.00% to 2.00% | 17.9 |
| over 2.00% | 5.9 |
- Rows × columns
- 5 × 2
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
move_bucket |
text | 5 distinct values | |
frequency_pct |
number | 5.9 to 30.4 | percent |
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 , 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.
SELECT
move_bucket,
round(count() * 100.0 / sum(count()) OVER (), 1) AS frequency_pct
FROM
(
SELECT
multiIf(move_pct < 0.25, 'under 0.25%',
move_pct < 0.50, '0.25% to 0.50%',
move_pct < 1.00, '0.50% to 1.00%',
move_pct < 2.00, '1.00% to 2.00%',
'over 2.00%') AS move_bucket,
move_pct
FROM
(
SELECT abs(close_px / prior_close - 1) * 100 AS move_pct
FROM
(
SELECT
date,
max(toFloat64(close)) AS close_px,
lagInFrame(max(toFloat64(close)))
OVER (ORDER BY date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prior_close
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2016-01-01'
AND date < today() - 2
GROUP BY date
)
WHERE prior_close > 0
)
)
GROUP BY move_bucket
ORDER BY min(move_pct) ASC
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