STRASMORE/EXPLORE 2,170 QUERIES

Five famous crash sessions: depth of the low and the bounce off it (SPY)

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 The 2010 Flash Crash, Minute by Minute.

as of series 5×4read in context →
Five famous crash sessions: depth of the low and the bounce off it (SPY) — 5 rows by 4 columns, computed from US exchange, SIP and OPRA data.
sessionlow_vs_prior_pctclose_vs_prior_pctbounce_off_low_pct
2008-09-29-8.6-71.7
2010-05-06-10.1-3.47.5
2015-08-24-7.7-4.13.9
2018-02-05-4.4-4.10.3
2020-03-16-12.4-11.60.9
Rows × columns
5 × 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 Five famous crash sessions: depth of the low and the bounce off it (SPY), derived from the stored result.
ColumnTypeRangeNotes
session date 2008-09-29 to 2020-03-16
low_vs_prior_pct number -12.4 to -4.4 percent
close_vs_prior_pct number -11.6 to -3.4 percent
bounce_off_low_pct number 0.3 to 7.5 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.

the exact SQL behind every number 
WITH daily AS (
    SELECT
        toDate(toTimeZone(window_start, 'America/New_York')) AS et_date,
        round(minIf(toFloat64(low), (toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959), 2) AS rth_low,
        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 rth_close
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND ((window_start >= toDateTime('2008-09-26 04:00:00') AND window_start < toDateTime('2008-09-30 00:00:00'))
        OR (window_start >= toDateTime('2010-05-05 04:00:00') AND window_start < toDateTime('2010-05-07 00:00:00'))
        OR (window_start >= toDateTime('2015-08-21 04:00:00') AND window_start < toDateTime('2015-08-25 00:00:00'))
        OR (window_start >= toDateTime('2018-02-02 04:00:00') AND window_start < toDateTime('2018-02-06 00:00:00'))
        OR (window_start >= toDateTime('2020-03-13 04:00:00') AND window_start < toDateTime('2020-03-17 00:00:00')))
    GROUP BY et_date
)
SELECT
    toString(et_date) AS session,
    round((rth_low / prev_close - 1) * 100, 1) AS low_vs_prior_pct,
    round((rth_close / prev_close - 1) * 100, 1) AS close_vs_prior_pct,
    round((rth_close / rth_low - 1) * 100, 1) AS bounce_off_low_pct
FROM (
    SELECT et_date, rth_low, rth_close,
           lagInFrame(rth_close) OVER (ORDER BY et_date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_close
    FROM daily
)
WHERE et_date IN (toDate('2008-09-29'), toDate('2010-05-06'), toDate('2015-08-24'), toDate('2018-02-05'), toDate('2020-03-16'))
ORDER BY 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 analysisThe 2010 Flash Crash, Minute by Minute
SPY at one-minute resolution, 2:00–3:30 pm ET on May 6, 2010 table 90×4 → Crash-window damage by name: low vs the 2:30 pm ET reference table 6×6 → The steepest single minutes: biggest open-to-low drops, 2:00–3:30 pm ET table 5×5 → The famous casualties on the raw trade tape, 2:30–3:30 pm ET table 4×6 → SPY on May 6, 2010: the flash crash day, receipted scalar 1×10 → The aftermath: when the May 5 close was reclaimed, and when the panic low broke for real scalar 1×7 → See all 2,170 queries →