threshold_tail
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 2026-10-02, from china-dragon-tiger-list.
| amplitude_threshold | avg_daily_name_count | share_of_name_days_pct |
|---|---|---|
| 3% | 2227 | 51.38 |
| 5% | 1189 | 27.43 |
| 7% | 684 | 15.78 |
| 10% | 352 | 8.12 |
| 15% | 156 | 3.59 |
| 20% | 83 | 1.92 |
- Rows × columns
- 6 × 3
- 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 |
|---|---|---|---|
amplitude_threshold |
text | 6 distinct values (10%, 15%, 20%…) | |
avg_daily_name_count |
number | 83 to 2,227 | count |
share_of_name_days_pct |
number | 1.92 to 51.38 | 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
concat(toString(th), '%') AS amplitude_threshold,
round(countIf(amplitude_pct >= th) / countDistinct(date)) AS avg_daily_name_count,
round(100 * countIf(amplitude_pct >= th) / count(), 2) AS share_of_name_days_pct
FROM
(
SELECT
date,
100 * (toFloat64(high) - toFloat64(low)) / toFloat64(low) AS amplitude_pct
FROM global_markets.stocks_daily_aggs
WHERE date >= today() - 150
AND date < today() - 2
AND volume >= 200000
AND toFloat64(low) >= 2
AND ticker NOT IN ('SPCX')
)
ARRAY JOIN [3, 5, 7, 10, 15, 20] AS th
GROUP BY th
ORDER BY th
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