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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 2026-08-22, from The Low-Volatility Anomaly.

as of table 3×6read in context →
Volatility thirds: median return, and the range from worst to best name in each — 3 rows by 6 columns, computed from US exchange, SIP and OPRA data.
vol_groupmedian_vol_pctmedian_return_pctworst_return_pctbest_return_pctrange_pct
1. Calmest third19.124.1-1386.199
2. Middle third25.123-3.481.785
3. Wildest third44.354.4-21.5195.6217
Rows × columns
3 × 6
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 Volatility thirds: median return, and the range from worst to best name in each, derived from the stored result.
ColumnTypeRangeNotes
vol_group text 3 distinct values
median_vol_pct number 19.1 to 44.3 percent
median_return_pct number 23 to 54.4 percent
worst_return_pct number -21.5 to -3.4 percent
best_return_pct number 81.7 to 195.6 percent
range_pct number 85 to 217 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 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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