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 2026-09-26, from Implied Volatility vs Beta: What Each Tells You.
| symbol | move_on_flat_index_pct | move_full_sample_pct | flat_index_count |
|---|---|---|---|
| COIN | 3.09 | 3.3 | 69 |
| TSLA | 1.75 | 2.27 | 69 |
| NVDA | 1.32 | 1.82 | 69 |
| MSFT | 1.22 | 1.35 | 69 |
| XOM | 1.16 | 1.24 | 69 |
| GLD | 1.06 | 1.3 | 69 |
| AAPL | 1.03 | 1.13 | 69 |
| KO | 0.98 | 0.88 | 69 |
| JNJ | 0.84 | 0.91 | 69 |
| TLT | 0.45 | 0.48 | 69 |
- Rows × columns
- 10 × 4
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
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.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
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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