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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.

as of ranking 5×3read in context →
Average daily range of recent listings, by age since listing — 5 rows by 3 columns, computed from US exchange, SIP and OPRA data.
days_since_listingavg_daily_range_pctcohort_size
Days 1 to 714.41613
Days 8 to 148.28619
Days 15 to 308.38633
Days 31 to 608.02635
Days 61 to 908.28630
Rows × columns
5 × 3
Computed
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 Average daily range of recent listings, by age since listing, derived from the stored result.
ColumnTypeRangeNotes
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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