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Average absolute daily move on sessions when SPY moved less than 0.25 percent

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 2026-08-28, from Implied Volatility vs Beta: What Each Tells You.

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Average absolute daily move on sessions when SPY moved less than 0.25 percent — 10 rows by 4 columns, computed from US exchange, SIP and OPRA data.
symbolmove_on_flat_index_pctmove_full_sample_pctflat_index_count
COIN3.093.369
TSLA1.752.2769
NVDA1.321.8269
MSFT1.221.3569
XOM1.161.2469
GLD1.061.369
AAPL1.031.1369
KO0.980.8869
JNJ0.840.9169
TLT0.450.4869
Rows × columns
10 × 4
Computed
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 Average absolute daily move on sessions when SPY moved less than 0.25 percent, derived from the stored result.
ColumnTypeRangeNotes
symbol text 10 distinct values (AAPL, COIN, GLD…)
move_on_flat_index_pct number 0.45 to 3.09 percent
move_full_sample_pct number 0.48 to 3.3 percent
flat_index_count number every row is 69 count

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.

the exact SQL behind every number
WITH
    px AS
    (
        SELECT
            ticker,
            date,
            toFloat64(close) AS close_px
        FROM global_markets.stocks_daily_aggs
        WHERE ticker IN ('SPY','AAPL','MSFT','NVDA','TSLA','COIN','KO','JNJ','XOM','GLD','TLT')
          AND date >= '2025-08-22'
          AND date <= '2026-08-21'
    ),
    daily_ret AS
    (
        SELECT
            ticker,
            date,
            close_px / lagInFrame(close_px) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) - 1 AS ret
        FROM px
    ),
    idx AS
    (
        SELECT date, ret AS index_ret
        FROM daily_ret
        WHERE ticker = 'SPY' AND isFinite(ret)
    )
SELECT
    s.ticker                                                     AS symbol,
    round(avgIf(abs(s.ret) * 100, abs(i.index_ret) < 0.0025), 2) AS move_on_flat_index_pct,
    round(avg(abs(s.ret) * 100), 2)                              AS move_full_sample_pct,
    countIf(abs(i.index_ret) < 0.0025)                           AS flat_index_count
FROM daily_ret AS s
INNER JOIN idx AS i ON i.date = s.date
WHERE s.ticker != 'SPY' AND isFinite(s.ret)
GROUP BY symbol
HAVING countIf(abs(i.index_ret) < 0.0025) > 0
ORDER BY move_on_flat_index_pct DESC

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