How far SPY travels after the minute your signal fired (June 2024)
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 2026-10-04, from Event-Driven vs Vectorized Backtesting.
| delay_minutes | median_move_bps | p95_move_bps |
|---|---|---|
| 1 | 1.47 | 4.99 |
| 2 | 2.02 | 7.18 |
| 5 | 3.11 | 11.49 |
| 15 | 5.24 | 19.64 |
| 30 | 7.66 | 26.73 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
delay_minutes |
number | 1 to 30 | |
median_move_bps |
number | 1.47 to 7.66 | |
p95_move_bps |
number | 4.99 to 26.73 |
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.
WITH minute_px AS
(
SELECT
toStartOfMinute(toTimeZone(window_start, 'America/New_York')) AS et_minute,
toFloat64(any(close)) AS close
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= '2024-06-03 00:00:00'
AND window_start < '2024-06-29 00:00:00'
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'))) < 960
GROUP BY et_minute
),
fills AS
(
SELECT
et_minute,
close,
arrayZip([1, 2, 5, 15, 30],
[leadInFrame(close, 1) OVER w,
leadInFrame(close, 2) OVER w,
leadInFrame(close, 5) OVER w,
leadInFrame(close, 15) OVER w,
leadInFrame(close, 30) OVER w]) AS fill_prices
FROM minute_px
WINDOW w AS (PARTITION BY toDate(et_minute) ORDER BY et_minute ASC ROWS BETWEEN CURRENT ROW AND 30 FOLLOWING)
),
pairs AS
(
SELECT
et_minute,
close,
arrayJoin(fill_prices) AS fill
FROM fills
)
SELECT
toUInt16(fill.1) AS delay_minutes,
round(quantileDeterministic(0.5)(abs(fill.2 / close - 1) * 10000, toUInt32(toUnixTimestamp(et_minute))), 2) AS median_move_bps,
round(quantileDeterministic(0.95)(abs(fill.2 / close - 1) * 10000, toUInt32(toUnixTimestamp(et_minute))), 2) AS p95_move_bps
FROM pairs
WHERE fill.2 > 0
GROUP BY delay_minutes
ORDER BY delay_minutes
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