How far the price travels while a position waits: SPY and NVDA, May 2026
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 2026-08-13, from Why Market Makers Lose Money: Adverse Selection.
| hold_horizon | spy_drift_bps | nvda_drift_bps |
|---|---|---|
| 1 min | 1.9 | 5.5 |
| 2 min | 2.7 | 7.7 |
| 5 min | 4.2 | 12 |
| 15 min | 7.1 | 20.4 |
| 30 min | 10 | 28.8 |
| 60 min | 14.1 | 40.4 |
- Rows × columns
- 6 × 3
- 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 |
|---|---|---|---|
hold_horizon |
text | 6 distinct values (1 min, 15 min, 2 min…) | |
spy_drift_bps |
number | 1.9 to 14.1 | |
nvda_drift_bps |
number | 5.5 to 40.4 |
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.
WITH
bars AS (
SELECT ticker, window_start,
toDate(toTimeZone(window_start, 'America/New_York')) AS et_date,
toFloat64(close) AS px
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('SPY', 'NVDA')
AND window_start >= '2026-05-01 00:00:00'
AND window_start < '2026-06-01 00:00:00'
AND transactions >= 50
AND close > 0
),
starts AS (
SELECT ticker, et_date, px, mins,
window_start + toIntervalMinute(mins) AS future_start
FROM (SELECT *, arrayJoin([1, 2, 5, 15, 30, 60]) AS mins FROM bars)
)
SELECT
concat(toString(s.mins), ' min') AS hold_horizon,
round(avgIf(abs(f.px / s.px - 1) * 10000, s.ticker = 'SPY'), 1) AS spy_drift_bps,
round(avgIf(abs(f.px / s.px - 1) * 10000, s.ticker = 'NVDA'), 1) AS nvda_drift_bps
FROM starts AS s
INNER JOIN bars AS f
ON f.ticker = s.ticker AND f.et_date = s.et_date AND f.window_start = s.future_start
GROUP BY s.mins
HAVING countIf(s.ticker = 'SPY') > 0 AND countIf(s.ticker = 'NVDA') > 0
ORDER BY s.mins
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