{"slug":"how-futures-margin-works","qid":"vol_over_time","label":"SPY typical and largest daily move, month by month since 2019","post_title":"How Futures Margin Works: SPAN and Calls","post_url":"/blog/how-futures-margin-works#q-vol_over_time","columns":["month","month_label","median_move_pct","largest_move_pct"],"rows":[{"month":"2019-01-01","month_label":"Jan 2019","median_move_pct":0.77,"largest_move_pct":3.35},{"month":"2019-02-01","month_label":"Feb 2019","median_move_pct":0.2,"largest_move_pct":1.29},{"month":"2019-03-01","month_label":"Mar 2019","median_move_pct":0.38,"largest_move_pct":1.92},{"month":"2019-04-01","month_label":"Apr 2019","median_move_pct":0.2,"largest_move_pct":1.19},{"month":"2019-05-01","month_label":"May 2019","median_move_pct":0.67,"largest_move_pct":2.51},{"month":"2019-06-01","month_label":"Jun 2019","median_move_pct":0.44,"largest_move_pct":2.17},{"month":"2019-07-01","month_label":"Jul 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2024","median_move_pct":0.61,"largest_move_pct":2.27},{"month":"2024-08-01","month_label":"Aug 2024","median_move_pct":0.73,"largest_move_pct":2.91},{"month":"2024-09-01","month_label":"Sep 2024","median_move_pct":0.4,"largest_move_pct":2.06},{"month":"2024-10-01","month_label":"Oct 2024","median_move_pct":0.38,"largest_move_pct":1.96},{"month":"2024-11-01","month_label":"Nov 2024","median_move_pct":0.42,"largest_move_pct":2.49},{"month":"2024-12-01","month_label":"Dec 2024","median_move_pct":0.43,"largest_move_pct":2.98},{"month":"2025-01-01","month_label":"Jan 2025","median_move_pct":0.55,"largest_move_pct":1.82},{"month":"2025-02-01","month_label":"Feb 2025","median_move_pct":0.46,"largest_move_pct":1.71},{"month":"2025-03-01","month_label":"Mar 2025","median_move_pct":1.08,"largest_move_pct":2.66},{"month":"2025-04-01","month_label":"Apr 2025","median_move_pct":1.55,"largest_move_pct":10.5},{"month":"2025-05-01","month_label":"May 2025","median_move_pct":0.58,"largest_move_pct":3.3},{"month":"2025-06-01","month_label":"Jun 2025","median_move_pct":0.55,"largest_move_pct":1.12},{"month":"2025-07-01","month_label":"Jul 2025","median_move_pct":0.31,"largest_move_pct":0.85},{"month":"2025-08-01","month_label":"Aug 2025","median_move_pct":0.42,"largest_move_pct":1.64},{"month":"2025-09-01","month_label":"Sep 2025","median_move_pct":0.38,"largest_move_pct":0.84},{"month":"2025-10-01","month_label":"Oct 2025","median_move_pct":0.44,"largest_move_pct":2.7},{"month":"2025-11-01","month_label":"Nov 2025","median_move_pct":0.84,"largest_move_pct":1.66},{"month":"2025-12-01","month_label":"Dec 2025","median_move_pct":0.35,"largest_move_pct":1.1},{"month":"2026-01-01","month_label":"Jan 2026","median_move_pct":0.31,"largest_move_pct":2.04},{"month":"2026-02-01","month_label":"Feb 2026","median_move_pct":0.5,"largest_move_pct":1.92},{"month":"2026-03-01","month_label":"Mar 2026","median_move_pct":0.79,"largest_move_pct":2.91},{"month":"2026-04-01","month_label":"Apr 2026","median_move_pct":0.58,"largest_move_pct":2.55},{"month":"2026-05-01","month_label":"May 2026","median_move_pct":0.47,"largest_move_pct":1.39},{"month":"2026-06-01","month_label":"Jun 2026","median_move_pct":0.7,"largest_move_pct":2.58},{"month":"2026-07-01","month_label":"Jul 2026","median_move_pct":0.45,"largest_move_pct":1.68}],"shape":"series","sql":"WITH spy AS\n(\n    SELECT\n        date,\n        toFloat64(close) AS close_px,\n        lagInFrame(toFloat64(close)) OVER\n            (ORDER BY date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_close\n    FROM global_markets.stocks_daily_aggs\n    WHERE ticker = 'SPY'\n      AND date >= '2019-01-01'\n      AND date <  '2026-08-01'\n)\nSELECT\n    toString(toStartOfMonth(date))                AS month,\n    formatDateTime(toStartOfMonth(date), '%b %Y') AS month_label,\n    round(quantileDeterministic(0.50)(abs(close_px / prev_close - 1) * 100,\n                                      toUInt64(toUnixTimestamp(date))), 2) AS median_move_pct,\n    round(max(abs(close_px / prev_close - 1) * 100), 2)                    AS largest_move_pct\nFROM spy\nWHERE prev_close > 0\nGROUP BY month, month_label\nORDER BY month","computed_at":"2026-08-10T15:25:14.384702+00:00","elapsed":0.002544314}