STRASMORE/EXPLORE 2,170 QUERIES

How often SPY moved a given distance over 21 sessions

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 2026-08-22, from Straddle vs Strangle: Break-Evens and Margin.

as of ranking 8×2read in context →
How often SPY moved a given distance over 21 sessions — 8 rows by 2 columns, computed from US exchange, SIP and OPRA data.
move_sizeshare_of_windows_pct
2% or more62.4
3% or more45
4% or more29.7
5% or more19.7
6% or more12.2
8% or more6
10% or more2.8
12% or more1.4
Rows × columns
8 × 2
Computed
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 How often SPY moved a given distance over 21 sessions, derived from the stored result.
ColumnTypeRangeNotes
move_size text 8 distinct values (10% or more, 12% or more, 2% or more…)
share_of_windows_pct number 1.4 to 62.4 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.

the exact SQL behind every number 
WITH
    daily AS
    (
        SELECT
            date,
            max(toFloat64(close)) AS close_px
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date >= '2011-01-01'
          AND date <  '2026-07-01'
        GROUP BY date
    ),
    spans AS
    (
        SELECT
            close_px,
            leadInFrame(close_px, 21)
                OVER (ORDER BY date ASC ROWS BETWEEN CURRENT ROW AND UNBOUNDED FOLLOWING) AS close_fwd
        FROM daily
    )
SELECT
    concat(toString(threshold), '% or more')                                     AS move_size,
    round(100 * countIf(abs(100 * (close_fwd - close_px) / close_px) >= threshold)
        / count(), 1)                                                            AS share_of_windows_pct
FROM spans
ARRAY JOIN [2, 3, 4, 5, 6, 8, 10, 12] AS threshold
WHERE close_fwd > 0
GROUP BY threshold
ORDER BY threshold

Run your own version of this

The same 22 years of US equities and 12 years of options data are queryable in SQL or plain English. A free account runs 100 queries a day and takes no card.

More from this analysisStraddle vs Strangle: Break-Evens and Margin
One-month expected move priced by the option market ranking 6×3 → Where the volume sat on that AAPL chain: call contracts against put contracts, by strike ranking 14×4 → SPY implied volatility by strike distance, 20 to 45 days to expiry (Jan to Jun 2026) ranking 13×4 → Vega across the SPY ladder, indexed to the at-the-money strike, May 2026 ranking 13×3 → What a 30-day SPY option cost at each distance from spot, May 2026 averages ranking 13×3 → How far AAPL moves inside a single minute, by New York hour ranking 12×4 → See all 2,170 queries →