{"slug":"soxl-and-soxs-volatility-decay","qid":"decay_trace","label":"decay_trace","post_title":"soxl-and-soxs-volatility-decay","post_url":"/blog/lang/ja/soxl-and-soxs-volatility-decay#q-decay_trace","columns":["session_date","day_label","index_rebased","soxl_rebased","soxs_rebased","pair_rebased"],"rows":[{"session_date":"2025-04-01","day_label":"2025年4月1日","index_rebased":100.1,"soxl_rebased":100,"soxs_rebased":99.9,"pair_rebased":199.9},{"session_date":"2025-04-02","day_label":"2025年4月2日","index_rebased":100.7,"soxl_rebased":101.9,"soxs_rebased":97.8,"pair_rebased":199.8},{"session_date":"2025-04-03","day_label":"2025年4月3日","index_rebased":90.5,"soxl_rebased":71.5,"soxs_rebased":127,"pair_rebased":198.5},{"session_date":"2025-04-04","day_label":"2025年4月4日","index_rebased":83.8,"soxl_rebased":54.7,"soxs_rebased":157,"pair_rebased":211.8},{"session_date":"2025-04-07","day_label":"2025年4月7日","index_rebased":85.7,"soxl_rebased":57.4,"soxs_rebased":146.1,"pair_rebased":203.5},{"session_date":"2025-04-08","day_label":"2025年4月8日","index_rebased":82.3,"soxl_rebased":51.7,"soxs_rebased":162.2,"pair_rebased":213.9},{"session_date":"2025-04-09","day_label":"2025年4月9日","index_rebased":97.6,"soxl_rebased":80.1,"soxs_rebased":71.4,"pair_rebased":151.5},{"session_date":"2025-04-10","day_label":"2025年4月10日","index_rebased":89.6,"soxl_rebased":60.4,"soxs_rebased":87.8,"pair_rebased":148.2},{"session_date":"2025-04-11","day_label":"2025年4月11日","index_rebased":91.5,"soxl_rebased":64.1,"soxs_rebased":82.3,"pair_rebased":146.4},{"session_date":"2025-04-14","day_label":"2025年4月14日","index_rebased":92.2,"soxl_rebased":65.6,"soxs_rebased":80.8,"pair_rebased":146.5},{"session_date":"2025-04-15","day_label":"2025年4月15日","index_rebased":92.5,"soxl_rebased":66.5,"soxs_rebased":79.6,"pair_rebased":146.1},{"session_date":"2025-04-16","day_label":"2025年4月16日","index_rebased":89,"soxl_rebased":58.6,"soxs_rebased":89,"pair_rebased":147.6},{"session_date":"2025-04-17","day_label":"2025年4月17日","index_rebased":88.5,"soxl_rebased":57.7,"soxs_rebased":90.7,"pair_rebased":148.3},{"session_date":"2025-04-21","day_label":"2025年4月21日","index_rebased":87,"soxl_rebased":54.6,"soxs_rebased":95.4,"pair_rebased":150},{"session_date":"2025-04-22","day_label":"2025年4月22日","index_rebased":88.7,"soxl_rebased":57.6,"soxs_rebased":90,"pair_rebased":147.6},{"session_date":"2025-04-23","day_label":"2025年4月23日","index_rebased":92,"soxl_rebased":64.5,"soxs_rebased":79.7,"pair_rebased":144.2},{"session_date":"2025-04-24","day_label":"2025年4月24日","index_rebased":97.3,"soxl_rebased":75.2,"soxs_rebased":65.8,"pair_rebased":141.1},{"session_date":"2025-04-25","day_label":"2025年4月25日","index_rebased":98.2,"soxl_rebased":77.4,"soxs_rebased":64.1,"pair_rebased":141.5},{"session_date":"2025-04-28","day_label":"2025年4月28日","index_rebased":98,"soxl_rebased":77.1,"soxs_rebased":64.6,"pair_rebased":141.6},{"session_date":"2025-04-29","day_label":"2025年4月29日","index_rebased":97,"soxl_rebased":74.4,"soxs_rebased":66.6,"pair_rebased":141},{"session_date":"2025-04-30","day_label":"2025年4月30日","index_rebased":97.7,"soxl_rebased":76.2,"soxs_rebased":65.1,"pair_rebased":141.3}],"shape":"series","sql":"WITH\ndaily AS\n(\n    SELECT\n        ticker,\n        date,\n        anyLast(toFloat64(close)) AS c\n    FROM global_markets.stocks_daily_aggs\n    WHERE ticker IN ('SOXX', 'SOXL', 'SOXS')\n      AND date >= '2021-12-15'\n      AND date <  '2026-09-01'\n    GROUP BY ticker, date\n),\nlagged AS\n(\n    SELECT\n        ticker,\n        date,\n        c,\n        lagInFrame(c, 1) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND UNBOUNDED FOLLOWING) AS prev_c\n    FROM daily\n),\nrets AS\n(\n    SELECT\n        ticker,\n        date,\n        c / prev_c - 1 AS r\n    FROM lagged\n    WHERE prev_c > 0\n      AND abs(c / prev_c - 1) < 0.75\n      AND date >= '2022-01-01'\n      AND (ticker, date) NOT IN\n      (\n          SELECT ticker, toDate(execution_date)\n          FROM global_markets.stocks_splits\n          WHERE ticker IN ('SOXX', 'SOXL', 'SOXS')\n      )\n),\nmonthly AS\n(\n    SELECT\n        toStartOfMonth(date)                        AS m,\n        exp(sumIf(log(1 + r), ticker = 'SOXX')) - 1 AS soxx,\n        exp(sumIf(log(1 + r), ticker = 'SOXL')) - 1 AS soxl,\n        exp(sumIf(log(1 + r), ticker = 'SOXS')) - 1 AS soxs\n    FROM rets\n    GROUP BY m\n    HAVING countIf(ticker = 'SOXX') >= 15\n       AND countIf(ticker = 'SOXL') >= 15\n       AND countIf(ticker = 'SOXS') >= 15\n),\npicked AS\n(\n    SELECT argMin(m, soxl + soxs) AS pm\n    FROM monthly\n    WHERE abs(soxx) < 0.025\n),\nby_day AS\n(\n    SELECT\n        date,\n        anyIf(r, ticker = 'SOXX') AS r_index,\n        anyIf(r, ticker = 'SOXL') AS r_soxl,\n        anyIf(r, ticker = 'SOXS') AS r_soxs\n    FROM rets\n    WHERE toStartOfMonth(date) IN (SELECT pm FROM picked)\n    GROUP BY date\n)\nSELECT\n    toString(date) AS session_date,\n    concat(toString(toYear(date)), '年', toString(toMonth(date)), '月', toString(toDayOfMonth(date)), '日') AS day_label,\n    round(100 * exp(sum(log(1 + r_index)) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW)), 1) AS index_rebased,\n    round(100 * exp(sum(log(1 + r_soxl)) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW)), 1)  AS soxl_rebased,\n    round(100 * exp(sum(log(1 + r_soxs)) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW)), 1)  AS soxs_rebased,\n    round(100 * exp(sum(log(1 + r_soxl)) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW))\n        + 100 * exp(sum(log(1 + r_soxs)) OVER (ORDER BY date ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW)), 1)  AS pair_rebased\nFROM by_day\nORDER BY date","computed_at":"2026-09-16T14:56:45.577082+00:00","elapsed":0.006904389}