daily_move_distribution
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 2026-09-24, from mutual-fund-forward-pricing-rule.
| move_bucket | observations | share_of_sessions_pct |
|---|---|---|
| under 0.25% | 263 | 28.7 |
| 0.25% to 0.5% | 194 | 21.2 |
| 0.5% to 1% | 262 | 28.6 |
| 1% to 2% | 171 | 18.6 |
| over 2% | 27 | 2.9 |
- Rows × columns
- 5 × 3
- 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 |
|---|---|---|---|
move_bucket |
text | 5 distinct values (0.25% to 0.5%, 0.5% to 1%, 1% to 2%…) | |
observations |
number | 27 to 263 | |
share_of_sessions_pct |
number | 2.9 to 28.7 | percent |
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 d AS
(
SELECT
toFloat64(close) AS px,
lagInFrame(toFloat64(close)) OVER (ORDER BY date
ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS prev_px
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2023-01-01'
AND date < '2026-09-01'
),
moves AS
(
SELECT abs(px / prev_px - 1) * 100 AS move_pct
FROM d
WHERE prev_px > 0
)
SELECT
multiIf(move_pct < 0.25, 'under 0.25%',
move_pct < 0.5, '0.25% to 0.5%',
move_pct < 1, '0.5% to 1%',
move_pct < 2, '1% to 2%',
'over 2%') AS move_bucket,
count() AS observations,
round(100.0 * count() / sum(count()) OVER (), 1) AS share_of_sessions_pct
FROM moves
GROUP BY move_bucket
ORDER BY min(move_pct)
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