{"slug":"soxl-and-soxs-volatility-decay","qid":"flat_months","label":"flat_months","post_title":"soxl-and-soxs-volatility-decay","post_url":"/blog/lang/ja/soxl-and-soxs-volatility-decay#q-flat_months","columns":["label","index_pct","soxl_pct","soxs_pct","pair_pct"],"rows":[{"label":"2022年2月","index_pct":-1.1,"soxl_pct":-8,"soxs_pct":-5.3,"pair_pct":-13.3},{"label":"2022年3月","index_pct":-0.2,"soxl_pct":-5.4,"soxs_pct":-10.7,"pair_pct":-16.1},{"label":"2022年10月","index_pct":2.4,"soxl_pct":0.7,"soxs_pct":-16,"pair_pct":-15.4},{"label":"2023年2月","index_pct":1.5,"soxl_pct":0.9,"soxs_pct":-8.8,"pair_pct":-8},{"label":"2024年1月","index_pct":1.7,"soxl_pct":2.2,"soxs_pct":-8.1,"pair_pct":-5.8},{"label":"2024年3月","index_pct":0.5,"soxl_pct":8.6,"soxs_pct":-15.5,"pair_pct":-6.9},{"label":"2024年8月","index_pct":-1.8,"soxl_pct":-12.6,"soxs_pct":-5.7,"pair_pct":-18.3},{"label":"2024年9月","index_pct":-0.2,"soxl_pct":-5.4,"soxs_pct":-8.2,"pair_pct":-13.7},{"label":"2024年11月","index_pct":-1.3,"soxl_pct":-6.7,"soxs_pct":2.5,"pair_pct":-4.3},{"label":"2024年12月","index_pct":0,"soxl_pct":-2.7,"soxs_pct":-5,"pair_pct":-7.7},{"label":"2025年1月","index_pct":1.2,"soxl_pct":-1.1,"soxs_pct":-8.3,"pair_pct":-9.3},{"label":"2025年4月","index_pct":-2.3,"soxl_pct":-23.8,"soxs_pct":-34.9,"pair_pct":-58.7},{"label":"2025年7月","index_pct":0.6,"soxl_pct":-0.5,"soxs_pct":-2.2,"pair_pct":-2.7},{"label":"2025年8月","index_pct":2.2,"soxl_pct":4.2,"soxs_pct":-7.5,"pair_pct":-3.3},{"label":"2025年12月","index_pct":1.5,"soxl_pct":1.9,"soxs_pct":-8.7,"pair_pct":-6.9},{"label":"2026年2月","index_pct":1.7,"soxl_pct":1.6,"soxs_pct":-9.1,"pair_pct":-7.6},{"label":"2026年8月","index_pct":1.2,"soxl_pct":-1.7,"soxs_pct":-9.7,"pair_pct":-11.4}],"shape":"table","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)\nSELECT\n    concat(toString(toYear(m)), '年', toString(toMonth(m)), '月') AS label,\n    round(soxx * 100, 1)                                        AS index_pct,\n    round(soxl * 100, 1)                                        AS soxl_pct,\n    round(soxs * 100, 1)                                        AS soxs_pct,\n    round((soxl + soxs) * 100, 1)                               AS pair_pct\nFROM monthly\nWHERE abs(soxx) < 0.025\nORDER BY m","computed_at":"2026-09-16T14:56:45.483813+00:00","elapsed":0.0055702}