The ten worst SPY sessions, 2003-2025, plus where Lehman Monday ranks
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 2026-07-26, from Lehman's Collapse: The 2008 Tape, Replayed.
| session | rank | change_pct | tarp_vote_rank | post_lehman_2008_top10 |
|---|---|---|---|---|
| 2020-03-16 | 1 | -11.6 | 6 | 6 |
| 2020-03-12 | 2 | -9.6 | 6 | 6 |
| 2008-10-15 | 3 | -9.2 | 6 | 6 |
| 2008-12-01 | 4 | -8.9 | 6 | 6 |
| 2020-03-09 | 5 | -7.7 | 6 | 6 |
| 2008-09-29 | 6 | -7 | 6 | 6 |
| 2008-10-09 | 7 | -6.8 | 6 | 6 |
| 2008-11-20 | 8 | -6.6 | 6 | 6 |
| 2011-08-08 | 9 | -6.5 | 6 | 6 |
| 2008-10-07 | 10 | -6.1 | 6 | 6 |
| 2008-09-15 | 34 | -4.3 | 6 | 6 |
- Rows × columns
- 11 × 5
- Period covered
- to
- 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 |
|---|---|---|---|
session |
date | 2008-09-15 to 2020-03-16 | |
rank |
number | 1 to 34 | |
change_pct |
number | -11.6 to -4.3 | percent |
tarp_vote_rank |
number | every row is 6 | |
post_lehman_2008_top10 |
number | every row is 6 |
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 daily AS (
SELECT
toDate(toTimeZone(window_start, 'America/New_York')) AS et_date,
argMaxIf(toFloat64(close), window_start, (toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959) AS close_usd
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= toDateTime('2003-09-10 00:00:00') AND window_start < toDateTime('2026-01-01 00:00:00')
GROUP BY et_date
),
changes AS (
SELECT et_date, close_usd,
lagInFrame(close_usd) OVER (ORDER BY et_date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_close
FROM daily
),
ranked AS (
SELECT
row_number() OVER (ORDER BY (close_usd / prev_close - 1) ASC, et_date ASC) AS rank,
toString(et_date) AS session,
round((close_usd / prev_close - 1) * 100, 1) AS change_pct
FROM changes
WHERE prev_close > 0 AND isFinite(close_usd / prev_close)
),
(SELECT any(rank) FROM ranked WHERE session = '2008-09-29') AS tarp_rank_s,
(SELECT countIf(rank <= 10 AND session BETWEEN '2008-09-16' AND '2008-12-31') FROM ranked) AS post_lehman_s
SELECT
session,
rank,
change_pct,
tarp_rank_s AS tarp_vote_rank,
post_lehman_s AS post_lehman_2008_top10
FROM ranked
WHERE rank <= 10 OR session = '2008-09-15'
ORDER BY rank
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