{"slug":"what-is-a-high-vix-level","qid":"spy_realized_by_year","label":"SPY realized volatility by calendar year, with the biggest day and the count of 2%+ sessions","post_title":"What Is a High VIX? Levels and Extremes","post_url":"/blog/what-is-a-high-vix-level#q-spy_realized_by_year","columns":["year","realized_vol_pct","largest_move_pct","moves_over_2pct"],"rows":[{"year":2004,"realized_vol_pct":11.2,"largest_move_pct":1.8,"moves_over_2pct":0},{"year":2005,"realized_vol_pct":10.3,"largest_move_pct":1.9,"moves_over_2pct":0},{"year":2006,"realized_vol_pct":10.1,"largest_move_pct":2.1,"moves_over_2pct":2},{"year":2007,"realized_vol_pct":15.9,"largest_move_pct":3.9,"moves_over_2pct":14},{"year":2008,"realized_vol_pct":41.1,"largest_move_pct":14.5,"moves_over_2pct":70},{"year":2009,"realized_vol_pct":26.6,"largest_move_pct":7.2,"moves_over_2pct":50},{"year":2010,"realized_vol_pct":17.9,"largest_move_pct":4.4,"moves_over_2pct":22},{"year":2011,"realized_vol_pct":23.1,"largest_move_pct":6.5,"moves_over_2pct":33},{"year":2012,"realized_vol_pct":12.8,"largest_move_pct":2.5,"moves_over_2pct":7},{"year":2013,"realized_vol_pct":11.1,"largest_move_pct":2.6,"moves_over_2pct":4},{"year":2014,"realized_vol_pct":11.3,"largest_move_pct":2.5,"moves_over_2pct":4},{"year":2015,"realized_vol_pct":15.6,"largest_move_pct":4.2,"moves_over_2pct":11},{"year":2016,"realized_vol_pct":13.2,"largest_move_pct":3.6,"moves_over_2pct":10},{"year":2017,"realized_vol_pct":6.8,"largest_move_pct":1.8,"moves_over_2pct":0},{"year":2018,"realized_vol_pct":17.2,"largest_move_pct":5.1,"moves_over_2pct":19},{"year":2019,"realized_vol_pct":12.6,"largest_move_pct":3.3,"moves_over_2pct":7},{"year":2020,"realized_vol_pct":33.8,"largest_move_pct":10.9,"moves_over_2pct":42},{"year":2021,"realized_vol_pct":13.1,"largest_move_pct":2.4,"moves_over_2pct":8},{"year":2022,"realized_vol_pct":24.3,"largest_move_pct":5.5,"moves_over_2pct":46},{"year":2023,"realized_vol_pct":13.2,"largest_move_pct":2.3,"moves_over_2pct":2},{"year":2024,"realized_vol_pct":12.6,"largest_move_pct":3,"moves_over_2pct":7},{"year":2025,"realized_vol_pct":19.3,"largest_move_pct":10.5,"moves_over_2pct":14},{"year":2026,"realized_vol_pct":13.3,"largest_move_pct":2.9,"moves_over_2pct":4}],"shape":"ranking","sql":"SELECT\n    toYear(d)                                                AS year,\n    round(stddevSamp(log(c / prev_c)) * sqrt(252) * 100, 1)  AS realized_vol_pct,\n    round(max(abs(c / prev_c - 1)) * 100, 1)                 AS largest_move_pct,\n    countIf(abs(c / prev_c - 1) >= 0.02)                     AS moves_over_2pct\nFROM\n(\n    SELECT\n        d,\n        c,\n        lagInFrame(c, 1) OVER (ORDER BY d ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_c\n    FROM\n    (\n        SELECT\n            date                    AS d,\n            toFloat64(any(close))   AS c\n        FROM global_markets.stocks_daily_aggs\n        WHERE ticker = 'SPY'\n          AND date >= '2003-12-01'\n        GROUP BY d\n    )\n)\nWHERE d >= '2004-01-01'\n  AND prev_c > 0\nGROUP BY year\nORDER BY year","computed_at":"2026-09-16T15:05:42.592325+00:00","elapsed":0.00486026}