Median daily percent change: VXX against SPY, by calendar year

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 2026-08-14, from What Is the VIX? What It Really Measures.

Rows × columns

7 × 4

Computed

2026-08-14

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

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 2026-08-14, and the query below is what returned them.

WITH d AS (
    SELECT ticker, date, toFloat64(close) AS c
    FROM global_markets.stocks_daily_aggs
    WHERE ticker IN ('VXX', 'SPY')
      AND date >= toDate('2020-01-01')
      AND date < toDate('2026-07-01')
),
r AS (
    SELECT ticker,
           date,
           toYear(date) AS year,
           (c / any(c) OVER (PARTITION BY ticker ORDER BY date ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) - 1) * 100 AS ret_pct
    FROM d
)
SELECT year,
       round(quantileDeterministicIf(0.5)(ret_pct, toUInt64(toYYYYMMDD(date)), ticker = 'VXX'), 3) AS vxx_median_daily_pct,
       round(quantileDeterministicIf(0.5)(ret_pct, toUInt64(toYYYYMMDD(date)), ticker = 'SPY'), 3) AS spy_median_daily_pct,
       countIf(ticker = 'VXX') AS vxx_sessions
FROM r
WHERE year >= 2020
GROUP BY year
ORDER BY year