{"slug":"mu-june-2026-deep-dive","qid":"baseline_volatility","label":"MU by month: annualized realized volatility, average session range, biggest single-day move","post_title":"MU: The Biggest Tape of June 2026","post_url":"/blog/mu-june-2026-deep-dive#q-baseline_volatility","columns":["period_start","realized_vol_ann_pct","pct_of_peak_vol","avg_day_range_pct","biggest_day_move_pct","return_days"],"rows":[{"period_start":"2026-01-01","realized_vol_ann_pct":64.8,"pct_of_peak_vol":50.8,"avg_day_range_pct":5.4,"biggest_day_move_pct":10,"return_days":19},{"period_start":"2026-02-01","realized_vol_ann_pct":67.8,"pct_of_peak_vol":53.1,"avg_day_range_pct":6.3,"biggest_day_move_pct":10,"return_days":19},{"period_start":"2026-03-01","realized_vol_ann_pct":78.2,"pct_of_peak_vol":61.3,"avg_day_range_pct":6,"biggest_day_move_pct":9.9,"return_days":22},{"period_start":"2026-04-01","realized_vol_ann_pct":59.2,"pct_of_peak_vol":46.4,"avg_day_range_pct":5.5,"biggest_day_move_pct":9.1,"return_days":21},{"period_start":"2026-05-01","realized_vol_ann_pct":101.4,"pct_of_peak_vol":79.4,"avg_day_range_pct":7.2,"biggest_day_move_pct":19.3,"return_days":20},{"period_start":"2026-06-01","realized_vol_ann_pct":127.6,"pct_of_peak_vol":100,"avg_day_range_pct":7.6,"biggest_day_move_pct":15.8,"return_days":21}],"shape":"table","sql":"SELECT\n    toString(toStartOfMonth(et_date)) AS period_start,\n    round(stddevSamp(log_ret) * sqrt(252) * 100, 1) AS realized_vol_ann_pct,\n    round(100 * stddevSamp(log_ret) / max(stddevSamp(log_ret)) OVER (), 1) AS pct_of_peak_vol,\n    round(avg(day_range_pct), 1) AS avg_day_range_pct,\n    round(max(abs(day_move_pct)), 1) AS biggest_day_move_pct,\n    count() AS return_days\nFROM (\n    SELECT et_date, day_range_pct,\n        if(prev_close > 0, ln(close_usd / prev_close), NULL) AS log_ret,\n        if(prev_close > 0, (close_usd / prev_close - 1) * 100, NULL) AS day_move_pct\n    FROM (\n        SELECT et_date, close_usd, day_range_pct,\n            lagInFrame(close_usd) OVER (ORDER BY et_date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_close\n        FROM (\n            SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS et_date,\n                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,\n                (maxIf(toFloat64(high), (toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959) / minIf(toFloat64(low), (toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959) - 1) * 100 AS day_range_pct\n            FROM global_markets.delayed_stocks_minute_aggs\n            WHERE ticker = 'MU'\n              AND window_start >= toDateTime('2026-01-01 00:00:00') AND window_start < toDateTime('2026-07-01 00:00:00')\n            GROUP BY et_date\n        )\n    )\n)\nWHERE isFinite(log_ret) AND log_ret IS NOT NULL\nGROUP BY period_start\nORDER BY period_start","computed_at":"2026-07-13T06:26:49.901033+00:00","elapsed":0.00473338}