STRASMORE/EXPLORE 2,170 QUERIES

SPY daily close, drawdown, and the 10-year yield: Feb 19 to Mar 23, 2020

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 2026-07-26, from March 24, 2020: The Day the Market Turned.

as of series 24×4read in context →
SPY daily close, drawdown, and the 10-year yield: Feb 19 to Mar 23, 2020 — 24 rows by 4 columns, computed from US exchange, SIP and OPRA data.
sessionclose_usddrawdown_pcty10_bps
2020-02-19338.310156
2020-02-20336.98-0.4152
2020-02-21333.49-1.4146
2020-02-24322.41-4.7138
2020-02-25312.7-7.6133
2020-02-26311.55-7.9133
2020-02-27297.55-12130
2020-02-28296.16-12.5113
2020-03-02309.08-8.6110
2020-03-03300.34-11.2102
2020-03-04312.91-7.5102
2020-03-05302.45-10.692
2020-03-06297.42-12.174
2020-03-09274.4-18.954
2020-03-10288.44-14.776
2020-03-11274.36-18.982
2020-03-12248.1-26.788
2020-03-13270.93-19.994
2020-03-16239.41-29.273
2020-03-17254.19-24.9102
2020-03-18241.01-28.8118
2020-03-19241.16-28.7112
2020-03-20228.94-32.392
2020-03-23222.51-34.276
Rows × columns
24 × 4
Period covered
to
Computed
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 SPY daily close, drawdown, and the 10-year yield: Feb 19 to Mar 23, 2020, derived from the stored result.
ColumnTypeRangeNotes
session date 2020-02-19 to 2020-03-23
close_usd number 222.51 to 338.31 US dollars
drawdown_pct number -34.2 to 0 percent
y10_bps number 54 to 156

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.

the exact SQL behind every number 
WITH daily AS (
    SELECT
        toDate(toTimeZone(window_start, 'America/New_York')) AS et_date,
        round(argMaxIf(toFloat64(close), window_start, (toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959), 2) AS close_usd
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND window_start >= toDateTime('2020-02-19 00:00:00') AND window_start < toDateTime('2020-03-24 04:00:00')
    GROUP BY et_date
    HAVING et_date >= toDate('2020-02-19') AND et_date <= toDate('2020-03-23') AND close_usd > 0
)
SELECT
    toString(d.et_date) AS session,
    d.close_usd,
    round((d.close_usd / (SELECT max(close_usd) FROM daily) - 1) * 100, 1) AS drawdown_pct,
    round(t.yield_10_year * 100) AS y10_bps
FROM daily AS d
LEFT JOIN global_markets.treasury_yields AS t ON t.date = d.et_date
ORDER BY d.et_date

Run your own version of this

The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.

More from this analysisMarch 24, 2020: The Day the Market Turned
SPY by half-hour: March 24, 2020 regular session series 13×4 → SPY closes, March 23-26, 2020: the three-day burst series 4×4 → March 24, 2020 across index and sector ETFs: everything up, cyclicals first ranking 12×4 → Did it hold? The retest that never came, and two recovery clocks scalar 1×12 → March 24, 2020 ranked against every SPY session on the minute tape scalar 1×11 → SPY on March 24, 2020: the turn, receipted scalar 1×11 → See all 2,170 queries →