SPY realized volatility by calendar year, with the biggest day and the count of 2%+ 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 2026-10-24, from What Is a High VIX? Levels and Extremes.
| year | realized_vol_pct | largest_move_pct | moves_over_2pct |
|---|---|---|---|
| 2004 | 11.2 | 1.8 | 0 |
| 2005 | 10.3 | 1.9 | 0 |
| 2006 | 10.1 | 2.1 | 2 |
| 2007 | 15.9 | 3.9 | 14 |
| 2008 | 41.1 | 14.5 | 70 |
| 2009 | 26.6 | 7.2 | 50 |
| 2010 | 17.9 | 4.4 | 22 |
| 2011 | 23.1 | 6.5 | 33 |
| 2012 | 12.8 | 2.5 | 7 |
| 2013 | 11.1 | 2.6 | 4 |
| 2014 | 11.3 | 2.5 | 4 |
| 2015 | 15.6 | 4.2 | 11 |
| 2016 | 13.2 | 3.6 | 10 |
| 2017 | 6.8 | 1.8 | 0 |
| 2018 | 17.2 | 5.1 | 19 |
| 2019 | 12.6 | 3.3 | 7 |
| 2020 | 33.8 | 10.9 | 42 |
| 2021 | 13.1 | 2.4 | 8 |
| 2022 | 24.3 | 5.5 | 46 |
| 2023 | 13.2 | 2.3 | 2 |
| 2024 | 12.6 | 3 | 7 |
| 2025 | 19.3 | 10.5 | 14 |
| 2026 | 12.9 | 2.9 | 4 |
- Rows × columns
- 23 × 4
- 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 |
|---|---|---|---|
year |
number | 2,004 to 2,026 | |
realized_vol_pct |
number | 6.8 to 41.1 | percent |
largest_move_pct |
number | 1.8 to 14.5 | percent |
moves_over_2pct |
number | 0 to 70 |
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.
SELECT
toYear(d) AS year,
round(stddevSamp(log(c / prev_c)) * sqrt(252) * 100, 1) AS realized_vol_pct,
round(max(abs(c / prev_c - 1)) * 100, 1) AS largest_move_pct,
countIf(abs(c / prev_c - 1) >= 0.02) AS moves_over_2pct
FROM
(
SELECT
d,
c,
lagInFrame(c, 1) OVER (ORDER BY d ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_c
FROM
(
SELECT
date AS d,
toFloat64(any(close)) AS c
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2003-12-01'
GROUP BY d
)
)
WHERE d >= '2004-01-01'
AND prev_c > 0
GROUP BY year
ORDER BY year
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