SPY daily moves and drawdown, February to April 2020
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 2026-08-09, from Reg T Margin vs Portfolio Margin Explained.
| session_date | daily_move_pct | drawdown_pct | deepest_drawdown_pct |
|---|---|---|---|
| 2020-02-11 | 0.17 | 0 | 0 |
| 2020-02-12 | 0.64 | 0 | 0 |
| 2020-02-13 | -0.11 | -0.11 | -0.11 |
| 2020-02-14 | 0.16 | 0 | -0.11 |
| 2020-02-18 | -0.26 | -0.26 | -0.26 |
| 2020-02-19 | 0.48 | 0 | -0.26 |
| 2020-02-20 | -0.41 | -0.41 | -0.41 |
| 2020-02-21 | -1.03 | -1.44 | -1.44 |
| 2020-02-24 | -3.32 | -4.71 | -4.71 |
| 2020-02-25 | -3.03 | -7.59 | -7.59 |
| 2020-02-26 | -0.37 | -7.93 | -7.93 |
| 2020-02-27 | -4.49 | -12.07 | -12.07 |
| 2020-02-28 | -0.42 | -12.44 | -12.44 |
| 2020-03-02 | 4.33 | -8.65 | -12.44 |
| 2020-03-03 | -2.86 | -11.26 | -12.44 |
| 2020-03-04 | 4.2 | -7.53 | -12.44 |
| 2020-03-05 | -3.32 | -10.6 | -12.44 |
| 2020-03-06 | -1.65 | -12.08 | -12.44 |
| 2020-03-09 | -7.81 | -18.95 | -18.95 |
| 2020-03-10 | 5.17 | -14.75 | -18.95 |
| 2020-03-11 | -4.87 | -18.91 | -18.95 |
| 2020-03-12 | -9.57 | -26.67 | -26.67 |
| 2020-03-13 | 8.55 | -20.4 | -26.67 |
| 2020-03-16 | -10.94 | -29.11 | -29.11 |
| 2020-03-17 | 5.4 | -25.28 | -29.11 |
| 2020-03-18 | -5.06 | -29.07 | -29.11 |
| 2020-03-19 | 0.21 | -28.91 | -29.11 |
| 2020-03-20 | -4.87 | -32.38 | -32.38 |
| 2020-03-23 | -2.56 | -34.1 | -34.1 |
| 2020-03-24 | 9.06 | -28.13 | -34.1 |
| 2020-03-25 | 1.5 | -27.06 | -34.1 |
| 2020-03-26 | 5.84 | -22.8 | -34.1 |
| 2020-03-27 | -2.98 | -25.1 | -34.1 |
| 2020-03-30 | 3.25 | -22.67 | -34.1 |
| 2020-03-31 | -1.49 | -23.82 | -34.1 |
| 2020-04-01 | -4.5 | -27.25 | -34.1 |
| 2020-04-02 | 2.31 | -25.57 | -34.1 |
| 2020-04-03 | -1.45 | -26.64 | -34.1 |
| 2020-04-06 | 6.72 | -21.72 | -34.1 |
| 2020-04-07 | 0.1 | -21.64 | -34.1 |
| 2020-04-08 | 3.36 | -19.01 | -34.1 |
| 2020-04-09 | 1.52 | -17.78 | -34.1 |
| 2020-04-13 | -0.91 | -18.53 | -34.1 |
| 2020-04-14 | 2.95 | -16.12 | -34.1 |
| 2020-04-15 | -2.12 | -17.91 | -34.1 |
- Rows × columns
- 45 × 4
- Period covered
- to
- 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 |
|---|---|---|---|
session_date |
date | 2020-02-11 to 2020-04-15 | |
daily_move_pct |
number | -10.94 to 9.06 | percent |
drawdown_pct |
number | -34.1 to 0 | percent |
deepest_drawdown_pct |
number | -34.1 to 0 | 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.
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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
session_date,
daily_move_pct,
drawdown_pct,
round(min(drawdown_pct) OVER (ORDER BY session_date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW), 2) AS deepest_drawdown_pct
FROM
(
SELECT
toString(date) AS session_date,
round((toFloat64(close) / lagInFrame(toFloat64(close), 1) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) - 1) * 100, 2) AS daily_move_pct,
round((toFloat64(close) / max(toFloat64(close)) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) - 1) * 100, 2) AS drawdown_pct
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2020-02-10'
AND date < '2020-04-16'
)
WHERE session_date > '2020-02-10'
ORDER BY session_date
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