How far one closing value lands from the last (SPY daily closes, 2023 onward)
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 2026-11-07, from Mutual Fund Forward Pricing Rule Explained.
| 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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