{"slug":"how-options-are-quoted-in-volatility","qid":"underlying_drift","label":"How far AAPL moves inside a single minute, by New York hour","post_title":"How Options Are Quoted in Volatility","post_url":"/blog/how-options-are-quoted-in-volatility#q-underlying_drift","columns":["et_hour","median_move_bps","p90_move_bps","minute_bars"],"rows":[{"et_hour":"07:00","median_move_bps":1.7,"p90_move_bps":6.4,"minute_bars":1623},{"et_hour":"08:00","median_move_bps":1.6,"p90_move_bps":6,"minute_bars":1673},{"et_hour":"09:00","median_move_bps":4.5,"p90_move_bps":17.6,"minute_bars":1766},{"et_hour":"10:00","median_move_bps":4.4,"p90_move_bps":11.6,"minute_bars":1800},{"et_hour":"11:00","median_move_bps":3.3,"p90_move_bps":8.6,"minute_bars":1800},{"et_hour":"12:00","median_move_bps":2.6,"p90_move_bps":7.4,"minute_bars":1800},{"et_hour":"13:00","median_move_bps":2.4,"p90_move_bps":6.5,"minute_bars":1800},{"et_hour":"14:00","median_move_bps":2.1,"p90_move_bps":5.7,"minute_bars":1800},{"et_hour":"15:00","median_move_bps":2.4,"p90_move_bps":6.8,"minute_bars":1800},{"et_hour":"16:00","median_move_bps":1.1,"p90_move_bps":7.3,"minute_bars":1550},{"et_hour":"17:00","median_move_bps":0.4,"p90_move_bps":4.5,"minute_bars":1219},{"et_hour":"19:00","median_move_bps":0.3,"p90_move_bps":4,"minute_bars":1206}],"shape":"ranking","sql":"SELECT\n    et_hour,\n    round(quantileDeterministic(0.5)(move_bps, obs_id), 1) AS median_move_bps,\n    round(quantileDeterministic(0.9)(move_bps, obs_id), 1) AS p90_move_bps,\n    count()                                                AS minute_bars\nFROM\n(\n    SELECT\n        formatDateTime(toTimeZone(window_start, 'America/New_York'), '%H:00') AS et_hour,\n        cityHash64(ticker, window_start)                                      AS obs_id,\n        10000 * abs(toFloat64(close) / toFloat64(open) - 1)                   AS move_bps\n    FROM global_markets.delayed_stocks_minute_aggs\n    WHERE ticker = 'AAPL'\n      AND window_start >= '2026-04-06 04:00:00'\n      AND window_start <  '2026-05-16 04:00:00'\n      AND open > 0\n      AND volume > 0\n)\nGROUP BY et_hour\nHAVING count() >= 1200\nORDER BY et_hour ASC","computed_at":"2026-08-17T14:04:12.190379+00:00","elapsed":0.002722143}