The S&P 500's underwater curve: worst drawdown from a prior high, by month

Name: The S&P 500's underwater curve: worst drawdown from a prior high, by month
Creator: Strasmore
Published: 2026-07-16
License: https://www.strasmore.com/terms/

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 2026-07-16, from How Markets Recover From Crashes.

as of 2026-07-16 series 127×2read in context →

The S&P 500's underwater curve: worst drawdown from a prior high, by month — 127 rows by 2 columns, computed 2026-07-16 from US exchange, SIP and OPRA data.
month	worst_drawdown_pct
2016-01-01	-7.8
2016-02-01	-9.1
2016-03-01	-1.6
2016-04-01	-1.8
2016-05-01	-2.8
2016-06-01	-6
2016-07-01	-1.8
2016-08-01	-0.9
2016-09-01	-2.7
2016-10-01	-3.1
2016-11-01	-4.8
2016-12-01	-1.8
2017-01-01	-1.1
2017-02-01	-0.8
2017-03-01	-2.6
2017-04-01	-3
2017-05-01	-1.8
2017-06-01	-1.3
2017-07-01	-1.7
2017-08-01	-2.1
2017-09-01	-0.7
2017-10-01	-0.7
2017-11-01	-1
2017-12-01	-0.6
2018-01-01	-1.7
2018-02-01	-10.1
2018-03-01	-10
2018-04-01	-10.1
2018-05-01	-8.4
2018-06-01	-6
2018-07-01	-5.5
2018-08-01	-2
2018-09-01	-1.3
2018-10-01	-10.1
2018-11-01	-10.3
2018-12-01	-20.2
2019-01-01	-16.8
2019-02-01	-8
2019-03-01	-6.5
2019-04-01	-2.6
2019-05-01	-6.3
2019-06-01	-6.6
2019-07-01	-1.5
2019-08-01	-6
2019-09-01	-3.7
2019-10-01	-4.6
2019-11-01	-0.5
2019-12-01	-1.9
2020-01-01	-3.1
2020-02-01	-12.5
2020-03-01	-34.2
2020-04-01	-27.3
2020-05-01	-16.7
2020-06-01	-11.3
2020-07-01	-8.2
2020-08-01	-2.8
2020-09-01	-9.8
2020-10-01	-8.7
2020-11-01	-7.7
2020-12-01	-1.5
2021-01-01	-3.7
2021-02-01	-3.2
2021-03-01	-4.1
2021-04-01	-1.2
2021-05-01	-3.9
2021-06-01	-2.4
2021-07-01	-2.8
2021-08-01	-1.7
2021-09-01	-5.3
2021-10-01	-5.4
2021-11-01	-3
2021-12-01	-4.1
2022-01-01	-9.7
2022-02-01	-11.7
2022-03-01	-12.9
2022-04-01	-13.8
2022-05-01	-18.5
2022-06-01	-23.4
2022-07-01	-20.9
2022-08-01	-17.3
2022-09-01	-25.2
2022-10-01	-25.4
2022-11-01	-22.3
2022-12-01	-21.2
2023-01-01	-20.6
2023-02-01	-17.1
2023-03-01	-19.4
2023-04-01	-15.4
2023-05-01	-15.2
2023-06-01	-11.7
2023-07-01	-8.2
2023-08-01	-8.7
2023-09-01	-10.9
2023-10-01	-14
2023-11-01	-11.5
2023-12-01	-4.8
2024-01-01	-2.2
2024-02-01	-1.4
2024-03-01	-1.4
2024-04-01	-5.4
2024-05-01	-4.4
2024-06-01	-1.1
2024-07-01	-4.7
2024-08-01	-8.4
2024-09-01	-4.3
2024-10-01	-2.7
2024-11-01	-2.5
2024-12-01	-3.6
2025-01-01	-4.5
2025-02-01	-4.5
2025-03-01	-10
2025-04-01	-19
2025-05-01	-8.9
2025-06-01	-3.3
2025-07-01	-0.8
2025-08-01	-2.4
2025-09-01	-1.3
2025-10-01	-3
2025-11-01	-5.1
2025-12-01	-2.6
2026-01-01	-2.5
2026-02-01	-2.6
2026-03-01	-9.1
2026-04-01	-5.8
2026-05-01	-1.9
2026-06-01	-4.5
2026-07-01	-1.9

Rows × columns: 127 × 2
Period covered: 2016-01-01 to 2026-07-01
Computed: 2026-07-16
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 The S&P 500's underwater curve: worst drawdown from a prior high, by month, derived from the stored result.
Column	Type	Range	Notes
`month`	date	2016-01-01 to 2026-07-01
`worst_drawdown_pct`	number	-34.2 to -0.5	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 2026-07-16, and the query below is what returned them.

the exact SQL behind every number

WITH d AS (
    SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS dt,
           argMax(toFloat64(close), toTimeZone(window_start, 'America/New_York')) AS c
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY' AND window_start >= '2016-01-01'
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
    GROUP BY dt
),
dd AS (
    SELECT dt, c,
           max(c) OVER (ORDER BY dt ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) AS peak
    FROM d
)
SELECT toStartOfMonth(dt) AS month, round(min((c / peak - 1) * 100), 1) AS worst_drawdown_pct
FROM dd GROUP BY month ORDER BY month

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