Average daily range of recent listings, by age since listing
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 2026-08-22, from Non-Marginable Securities: Reg T vs House.
| days_since_listing | avg_daily_range_pct | cohort_size |
|---|---|---|
| Days 1 to 7 | 14.41 | 613 |
| Days 8 to 14 | 8.28 | 619 |
| Days 15 to 30 | 8.38 | 633 |
| Days 31 to 60 | 8.02 | 635 |
| Days 61 to 90 | 8.28 | 630 |
- 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 |
|---|---|---|---|
days_since_listing |
text | 5 distinct values | |
avg_daily_range_pct |
number | 8.02 to 14.41 | percent |
cohort_size |
number | 613 to 635 |
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.
the exact SQL behind every number
WITH ipo AS
(
SELECT
ticker,
min(listing_date) AS listed
FROM global_markets.stocks_ipos
WHERE listing_date >= today() - 900
AND listing_date <= today() - 120
AND ticker NOT IN ('SPCX')
GROUP BY ticker
)
SELECT
multiIf(age <= 7, 'Days 1 to 7',
age <= 14, 'Days 8 to 14',
age <= 30, 'Days 15 to 30',
age <= 60, 'Days 31 to 60',
'Days 61 to 90') AS days_since_listing,
round(avg(range_pct), 2) AS avg_daily_range_pct,
uniqExact(ticker) AS cohort_size
FROM
(
SELECT
a.ticker AS ticker,
dateDiff('day', i.listed, a.date) AS age,
100 * toFloat64(a.high - a.low) / toFloat64(a.close) AS range_pct
FROM global_markets.stocks_daily_aggs AS a
INNER JOIN ipo AS i ON i.ticker = a.ticker
WHERE a.date >= today() - 1000
AND a.volume > 0
AND a.close > 0
)
WHERE age >= 0
AND age <= 90
GROUP BY days_since_listing
ORDER BY min(age)
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