index_moves

Name: index_moves
Creator: Strasmore
Published: 2026-09-20
License: https://www.strasmore.com/terms/

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 2026-09-20, from spx-options-vs-es-futures-options.

as of 2026-09-20 series 13×6read in context →

index_moves — 13 rows by 6 columns, computed 2026-09-20 from US exchange, SIP and OPRA data.
month	month_label	avg_abs_move_pct	largest_move_pct	big_move_count	session_count
2025-09-01	Sep 2025	0.41	0.84	0	21
2025-10-01	Oct 2025	0.61	2.7	5	23
2025-11-01	Nov 2025	0.78	1.66	6	19
2025-12-01	Dec 2025	0.42	1.1	2	22
2026-01-01	Jan 2026	0.44	2.04	2	20
2026-02-01	Feb 2026	0.67	1.92	4	19
2026-03-01	Mar 2026	0.91	2.91	9	22
2026-04-01	Apr 2026	0.65	2.55	4	21
2026-05-01	May 2026	0.54	1.39	3	20
2026-06-01	Jun 2026	0.85	2.58	7	21
2026-07-01	Jul 2026	0.59	1.68	3	22
2026-08-01	Aug 2026	0.48	1.8	2	21
2026-09-01	Sep 2026	0.59	1.13	2	13

Rows × columns: 13 × 6
Period covered: 2025-09-01 to 2026-09-01
Computed: 2026-09-20
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 index_moves, derived from the stored result.
Column	Type	Range	Notes
`month`	date	2025-09-01 to 2026-09-01
`month_label`	text	13 distinct values (Apr 2026, Aug 2026, Dec 2025…)
`avg_abs_move_pct`	number	0.41 to 0.91	percent
`largest_move_pct`	number	0.84 to 2.91	percent
`big_move_count`	number	0 to 9	count
`session_count`	number	13 to 23	count

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 2026-09-20, and the query below is what returned them.

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(session))                   AS month,
    formatDateTime(toStartOfMonth(session), '%b %Y')    AS month_label,
    round(avg(abs_move_pct), 2)                         AS avg_abs_move_pct,
    round(max(abs_move_pct), 2)                         AS largest_move_pct,
    countIf(abs_move_pct >= 1)                          AS big_move_count,
    count()                                             AS session_count
FROM
(
    SELECT
        session,
        abs(close_px / lagInFrame(close_px) OVER (ORDER BY session ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) - 1) * 100 AS abs_move_pct
    FROM
    (
        SELECT
            date                   AS session,
            toFloat64(any(close))  AS close_px
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date >= toStartOfMonth(today() - 365) - 10
        GROUP BY date
    )
)
WHERE session >= toStartOfMonth(today() - 365)
GROUP BY month, month_label
ORDER BY month

SQL to run

SELECT
    toString(toStartOfMonth(session))                   AS month,
    formatDateTime(toStartOfMonth(session), '%b %Y')    AS month_label,
    round(avg(abs_move_pct), 2)                         AS avg_abs_move_pct,
    round(max(abs_move_pct), 2)                         AS largest_move_pct,
    countIf(abs_move_pct >= 1)                          AS big_move_count,
    count()                                             AS session_count
FROM
(
    SELECT
        session,
        abs(close_px / lagInFrame(close_px) OVER (ORDER BY session ROWS BETWEEN UNBOUNDED PRECEDING AND CURRENT ROW) - 1) * 100 AS abs_move_pct
    FROM
    (
        SELECT
            date                   AS session,
            toFloat64(any(close))  AS close_px
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date >= toStartOfMonth(today() - 365) - 10
        GROUP BY date
    )
)
WHERE session >= toStartOfMonth(today() - 365)
GROUP BY month, month_label
ORDER BY month

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