eur_delta

Name: eur_delta
Creator: Strasmore
Published: 2026-10-09
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 2026-10-09, from most-volatile-us-stocks-in-euros.

as of 2026-10-09 ranking 12×4read in context →

eur_delta — 12 rows by 4 columns, computed 2026-10-09 from US exchange, SIP and OPRA data.
ticker	vol_usd_pct	vol_eur_pct	delta_bp
SNDK	113	113	-21
BE	112	112	-28
CRDO	96	96	-28
COHR	87	86	-46
MU	80	80	-47
CRWV	93	93	-57
SMCI	95	94	-60
WDC	80	80	-64
CRCL	95	94	-66
APH	85	84	-72
MRNA	128	127	-98
RKLB	91	90	-100

Rows × columns: 12 × 4
Computed: 2026-10-09
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 eur_delta, derived from the stored result.
Column	Type	Range	Notes
`ticker`	text	12 distinct values (APH, BE, COHR…)
`vol_usd_pct`	number	80 to 128	percent
`vol_eur_pct`	number	80 to 127	percent
`delta_bp`	number	-100 to -21

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 2026-10-09, 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
universe AS (
    SELECT ticker
    FROM global_markets.stocks_ratios
    WHERE date >= today() - 150
      AND ticker NOT IN ('SPCX')
    GROUP BY ticker
    HAVING argMax(market_cap, date) > 20000000000
       AND argMax(average_volume, date) > 5000000
       AND argMax(price, date) > 10
),
fx AS (
    SELECT
        date,
        toFloat64(close) AS eur_usd
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'FXE'
      AND date >= today() - 420
      AND date <  today()
      AND close > 0
),
joined AS (
    SELECT
        a.ticker                                                                AS ticker,
        arraySort(t -> t.1, groupArray((a.date, toFloat64(a.close), f.eur_usd))) AS series
    FROM global_markets.stocks_daily_aggs AS a
    INNER JOIN fx AS f ON f.date = a.date
    WHERE a.ticker IN (SELECT ticker FROM universe)
      AND a.date >= today() - 420
      AND a.date <  today()
      AND a.close > 0
    GROUP BY a.ticker
),
vols AS (
    SELECT
        ticker,
        arrayReduce('stddevSamp', arraySlice(r_usd, -252)) * sqrt(252) * 100 AS v_usd,
        arrayReduce('stddevSamp',
                    arrayMap((x, y) -> x - y,
                             arraySlice(r_usd, -252),
                             arraySlice(r_fx,  -252))) * sqrt(252) * 100     AS v_eur
    FROM
    (
        SELECT
            ticker,
            arrayMap((x, y) -> log(x / y),
                     arraySlice(arrayMap(t -> t.2, series), 2),
                     arraySlice(arrayMap(t -> t.2, series), 1, length(series) - 1)) AS r_usd,
            arrayMap((x, y) -> log(x / y),
                     arraySlice(arrayMap(t -> t.3, series), 2),
                     arraySlice(arrayMap(t -> t.3, series), 1, length(series) - 1)) AS r_fx
        FROM joined
    )
    WHERE length(r_usd) >= 252
)
SELECT *
FROM
(
    SELECT
        ticker,
        toUInt32(round(v_usd))                AS vol_usd_pct,
        toUInt32(round(v_eur))                AS vol_eur_pct,
        toInt32(round((v_eur - v_usd) * 100)) AS delta_bp
    FROM vols
    ORDER BY v_usd DESC
    LIMIT 12
)
ORDER BY delta_bp DESC

SQL to run

WITH
universe AS (
    SELECT ticker
    FROM global_markets.stocks_ratios
    WHERE date >= today() - 150
      AND ticker NOT IN ('SPCX')
    GROUP BY ticker
    HAVING argMax(market_cap, date) > 20000000000
       AND argMax(average_volume, date) > 5000000
       AND argMax(price, date) > 10
),
fx AS (
    SELECT
        date,
        toFloat64(close) AS eur_usd
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'FXE'
      AND date >= today() - 420
      AND date <  today()
      AND close > 0
),
joined AS (
    SELECT
        a.ticker                                                                AS ticker,
        arraySort(t -> t.1, groupArray((a.date, toFloat64(a.close), f.eur_usd))) AS series
    FROM global_markets.stocks_daily_aggs AS a
    INNER JOIN fx AS f ON f.date = a.date
    WHERE a.ticker IN (SELECT ticker FROM universe)
      AND a.date >= today() - 420
      AND a.date <  today()
      AND a.close > 0
    GROUP BY a.ticker
),
vols AS (
    SELECT
        ticker,
        arrayReduce('stddevSamp', arraySlice(r_usd, -252)) * sqrt(252) * 100 AS v_usd,
        arrayReduce('stddevSamp',
                    arrayMap((x, y) -> x - y,
                             arraySlice(r_usd, -252),
                             arraySlice(r_fx,  -252))) * sqrt(252) * 100     AS v_eur
    FROM
    (
        SELECT
            ticker,
            arrayMap((x, y) -> log(x / y),
                     arraySlice(arrayMap(t -> t.2, series), 2),
                     arraySlice(arrayMap(t -> t.2, series), 1, length(series) - 1)) AS r_usd,
            arrayMap((x, y) -> log(x / y),
                     arraySlice(arrayMap(t -> t.3, series), 2),
                     arraySlice(arrayMap(t -> t.3, series), 1, length(series) - 1)) AS r_fx
        FROM joined
    )
    WHERE length(r_usd) >= 252
)
SELECT *
FROM
(
    SELECT
        ticker,
        toUInt32(round(v_usd))                AS vol_usd_pct,
        toUInt32(round(v_eur))                AS vol_eur_pct,
        toInt32(round((v_eur - v_usd) * 100)) AS delta_bp
    FROM vols
    ORDER BY v_usd DESC
    LIMIT 12
)
ORDER BY delta_bp DESC

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