{"slug":"what-is-vix1d","qid":"daily_move_percentiles","label":"SPY absolute daily move, median and 90th percentile by year","post_title":"What Is VIX1D? The 1-Day Volatility Index","post_url":"/blog/what-is-vix1d#q-daily_move_percentiles","columns":["year","median_move_pct","p90_move_pct","sessions_count"],"rows":[{"year":"2019","median_move_pct":0.41,"p90_move_pct":1.22,"sessions_count":252},{"year":"2020","median_move_pct":0.83,"p90_move_pct":3.02,"sessions_count":253},{"year":"2021","median_move_pct":0.49,"p90_move_pct":1.43,"sessions_count":252},{"year":"2022","median_move_pct":0.98,"p90_move_pct":2.52,"sessions_count":251},{"year":"2023","median_move_pct":0.55,"p90_move_pct":1.44,"sessions_count":250},{"year":"2024","median_move_pct":0.44,"p90_move_pct":1.24,"sessions_count":252},{"year":"2025","median_move_pct":0.52,"p90_move_pct":1.56,"sessions_count":250},{"year":"2026","median_move_pct":0.52,"p90_move_pct":1.52,"sessions_count":160}],"shape":"ranking","sql":"WITH daily AS\n(\n    SELECT\n        date,\n        abs(close_f / prev_close - 1) * 100 AS abs_move_pct\n    FROM\n    (\n        SELECT\n            date,\n            close_f,\n            lagInFrame(close_f) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prev_close\n        FROM\n        (\n            SELECT date, avg(toFloat64(close)) AS close_f\n            FROM global_markets.stocks_daily_aggs\n            WHERE ticker = 'SPY'\n              AND date >= '2018-12-01'\n            GROUP BY date\n        )\n    )\n    WHERE prev_close > 0\n)\nSELECT\n    toString(toYear(date))                                                         AS year,\n    round(quantileDeterministic(0.5)(abs_move_pct, toUInt32(toYYYYMMDD(date))), 2) AS median_move_pct,\n    round(quantileDeterministic(0.9)(abs_move_pct, toUInt32(toYYYYMMDD(date))), 2) AS p90_move_pct,\n    count()                                                                        AS sessions_count\nFROM daily\nWHERE date >= '2019-01-01'\nGROUP BY year\nORDER BY year","computed_at":"2026-08-22T04:35:03.558990+00:00","elapsed":0.041384618}