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.
| session | low_vs_prior_pct | close_vs_prior_pct | bounce_off_low_pct |
|---|---|---|---|
| 2008-09-29 | -8.6 | -7 | 1.7 |
| 2010-05-06 | -10.1 | -3.4 | 7.5 |
| 2015-08-24 | -7.7 | -4.1 | 3.9 |
| 2018-02-05 | -4.4 | -4.1 | 0.3 |
| 2020-03-16 | -12.4 | -11.6 | 0.9 |
- 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
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
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.
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 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
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