daily_moves

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.

SELECT
    toString(toStartOfMonth(d))                                AS month,
    formatDateTime(toStartOfMonth(d), '%b %Y')                 AS month_label,
    round(quantileDeterministic(0.5)(chg_bps, toUInt32(d)), 1) AS median_abs_move_bps,
    round(quantileDeterministic(0.9)(chg_bps, toUInt32(d)), 1) AS p90_abs_move_bps
FROM
(
    SELECT
        d,
        prev,
        abs(cur - prev) * 100 AS chg_bps
    FROM
    (
        SELECT
            date                                AS d,
            toFloat64(ifNull(yield_10_year, 0)) AS cur,
            any(toFloat64(ifNull(yield_10_year, 0)))
                OVER (ORDER BY date ASC ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS prev
        FROM global_markets.treasury_yields
        WHERE date >= today() - 780
          AND yield_10_year > 0
    )
)
WHERE prev > 0
  AND d >= toStartOfMonth(today() - 700)
GROUP BY month, month_label
HAVING count() >= 5
ORDER BY month