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 2026-09-20, from Straddle vs Strangle: Break-Evens and Margin.
| move_size | share_of_windows_pct |
|---|---|
| 2% or more | 62.4 |
| 3% or more | 45 |
| 4% or more | 29.7 |
| 5% or more | 19.7 |
| 6% or more | 12.2 |
| 8% or more | 6 |
| 10% or more | 2.8 |
| 12% or more | 1.4 |
- Rows × columns
- 8 × 2
- 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 |
|---|---|---|---|
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.
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.
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
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