Volatility thirds: median return, and the range from worst to best name in each
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 2026-10-04, from The Low-Volatility Anomaly.
| vol_group | median_vol_pct | median_return_pct | worst_return_pct | best_return_pct | range_pct |
|---|---|---|---|---|---|
| 1. Calmest third | 19.2 | 14.6 | -27.1 | 59.4 | 87 |
| 2. Middle third | 25.1 | 11.1 | -21.2 | 56.6 | 78 |
| 3. Wildest third | 43.6 | 56.8 | -34.7 | 352.3 | 387 |
- Rows × columns
- 3 × 6
- 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 |
|---|---|---|---|
vol_group |
text | 3 distinct values | |
median_vol_pct |
number | 19.2 to 43.6 | percent |
median_return_pct |
number | 11.1 to 56.8 | percent |
worst_return_pct |
number | -34.7 to -21.2 | percent |
best_return_pct |
number | 56.6 to 352.3 | percent |
range_pct |
number | 78 to 387 | 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 d AS (
SELECT ticker,
toDate(toTimeZone(window_start, 'America/New_York')) AS dt,
argMax(toFloat64(close), toTimeZone(window_start, 'America/New_York')) AS c
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('SPY','KO','JNJ','PG','PEP','WMT','MCD','MO','VZ','XOM','JPM','HD','COST','UNH','MRK','LLY','HON','LMT','CAT','TXN','ORCL','NVDA','TSLA','AMD','NFLX')
AND window_start >= now() - INTERVAL 800 DAY
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY ticker, dt
),
r AS (
SELECT ticker, dt,
c / lagInFrame(c) OVER (PARTITION BY ticker ORDER BY dt) - 1 AS ret
FROM d
),
pername AS (
SELECT ticker,
stddevSamp(ret) * sqrt(252) * 100 AS vol,
(exp(sum(log(1 + ret))) - 1) * 100 AS tr
FROM r
WHERE ret IS NOT NULL AND ret > -0.5 AND ret < 0.5
GROUP BY ticker
),
ranked AS (
SELECT ticker, vol, tr, ntile(3) OVER (ORDER BY vol) AS bucket FROM pername
)
SELECT multiIf(bucket = 1, '1. Calmest third', bucket = 2, '2. Middle third', '3. Wildest third') AS vol_group,
round(median(vol), 1) AS median_vol_pct,
round(median(tr), 1) AS median_return_pct,
round(min(tr), 1) AS worst_return_pct,
round(max(tr), 1) AS best_return_pct,
round(max(tr) - min(tr), 0) AS range_pct
FROM ranked
GROUP BY bucket
ORDER BY bucket
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