SPY typical and largest daily move, month by month since 2019

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 2026-08-10, from How Futures Margin Works: SPAN and Calls.

Rows × columns

91 × 4

Period covered

2019-01-01 to 2026-07-01

Computed

2026-08-10

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

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 2026-08-10, and the query below is what returned them.

WITH spy AS
(
    SELECT
        date,
        toFloat64(close) AS close_px,
        lagInFrame(toFloat64(close)) OVER
            (ORDER BY date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_close
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= '2019-01-01'
      AND date <  '2026-08-01'
)
SELECT
    toString(toStartOfMonth(date))                AS month,
    formatDateTime(toStartOfMonth(date), '%b %Y') AS month_label,
    round(quantileDeterministic(0.50)(abs(close_px / prev_close - 1) * 100,
                                      toUInt64(toUnixTimestamp(date))), 2) AS median_move_pct,
    round(max(abs(close_px / prev_close - 1) * 100), 2)                    AS largest_move_pct
FROM spy
WHERE prev_close > 0
GROUP BY month, month_label
ORDER BY month