Daily range and volume in a high yield bond ETF, month by month
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 2026-08-07, from How ETF Creation and Redemption Works.
| period | avg_day_range_pct | avg_daily_volume_millions |
|---|---|---|
| Oct 2019 | 0.24 | 17.4 |
| Nov 2019 | 0.22 | 15.9 |
| Dec 2019 | 0.22 | 17.7 |
| Jan 2020 | 0.29 | 23.2 |
| Feb 2020 | 0.48 | 35.2 |
| Mar 2020 | 2.9 | 56.6 |
| Apr 2020 | 1.46 | 35.6 |
| May 2020 | 0.78 | 25.1 |
| Jun 2020 | 0.94 | 35.4 |
- Rows × columns
- 9 × 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 |
|---|---|---|---|
period |
text | 9 distinct values (Apr 2020, Dec 2019, Feb 2020…) | |
avg_day_range_pct |
number | 0.22 to 2.9 | percent |
avg_daily_volume_millions |
number | 15.9 to 56.6 | count |
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
formatDateTime(toStartOfMonth(date), '%b %Y') AS period,
round(avg(100 * (toFloat64(high) - toFloat64(low)) / toFloat64(open)), 2) AS avg_day_range_pct,
round(avg(volume) / 1000000, 1) AS avg_daily_volume_millions
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'HYG'
AND date >= '2019-10-01'
AND date < '2020-07-01'
GROUP BY period
ORDER BY min(date)