Implied vs realized: median 30-day expected move and what six stocks did next
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 2026-09-26, from Expected Move From Implied Volatility.
| ticker | windows_tested | implied_move_pct | realized_move_pct | realized_over_implied_pct |
|---|---|---|---|---|
| NVDA | 103 | 13.3 | 6.77 | 23.3 |
| AAPL | 103 | 7.51 | 5.71 | 35.9 |
| MSFT | 103 | 7.19 | 4.7 | 27.2 |
| XOM | 103 | 6.58 | 4.14 | 24.3 |
| KO | 103 | 5.17 | 2.69 | 29.1 |
| SPY | 103 | 4.37 | 2.68 | 24.3 |
- Rows × columns
- 6 × 5
- 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 |
|---|---|---|---|
ticker |
text | 6 distinct values (AAPL, KO, MSFT…) | |
windows_tested |
number | every row is 103 | |
implied_move_pct |
number | 4.37 to 13.3 | percent |
realized_move_pct |
number | 2.68 to 6.77 | percent |
realized_over_implied_pct |
number | 23.3 to 35.9 | 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.
WITH obs AS (
SELECT underlying_symbol AS ticker,
date AS obs_date,
avg(toFloat64(implied_volatility)) AS iv,
avg(toFloat64(underlying_close)) AS spot
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('NVDA', 'AAPL', 'MSFT', 'XOM', 'SPY', 'KO')
AND date BETWEEN toDate('2024-06-12') AND toDate('2026-06-17')
AND toDayOfWeek(date) = 3
AND iv_converged = 1
AND volume > 0
AND days_to_expiry BETWEEN 25 AND 40
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.05
GROUP BY ticker, obs_date
HAVING count() >= 4 AND avg(toFloat64(implied_volatility)) > 0.01
),
px AS (
SELECT underlying_symbol AS ticker,
date AS px_date,
avg(toFloat64(underlying_close)) AS close_px
FROM global_markets.options_greeks
WHERE underlying_symbol IN ('NVDA', 'AAPL', 'MSFT', 'XOM', 'SPY', 'KO')
AND date BETWEEN toDate('2024-06-12') AND toDate('2026-07-25')
AND days_to_expiry BETWEEN 5 AND 60
AND abs(toFloat64(strike_price) / toFloat64(underlying_close) - 1) < 0.02
GROUP BY ticker, px_date
),
moves AS (
SELECT obs.ticker AS ticker,
obs.obs_date AS obs_date,
any(obs.iv) AS iv,
any(obs.spot) AS spot,
argMin(px.close_px, px.px_date) AS end_px,
min(dateDiff('day', obs.obs_date, px.px_date)) AS elapsed_days
FROM obs
INNER JOIN px ON obs.ticker = px.ticker
WHERE px.px_date >= addDays(obs.obs_date, 30)
AND px.px_date <= addDays(obs.obs_date, 36)
GROUP BY ticker, obs_date
)
SELECT ticker,
count() AS windows_tested,
round(quantileDeterministic(0.5)(100 * iv * sqrt(elapsed_days / 365), cityHash64(obs_date)), 2) AS implied_move_pct,
round(quantileDeterministic(0.5)(100 * abs(end_px / spot - 1), cityHash64(obs_date)), 2) AS realized_move_pct,
round(100 * countIf(abs(end_px / spot - 1) > iv * sqrt(elapsed_days / 365)) / count(), 1) AS realized_over_implied_pct
FROM moves
GROUP BY ticker
ORDER BY implied_move_pct DESC
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