portfolio margin — 4 answered market questions

SPY realized volatility and worst session, by calendar year

most recentas of 2026-08-09 ranking 20×4read in context →

SPY realized volatility and worst session, by calendar year — 20 rows by 4 columns, computed 2026-08-09 from US exchange, SIP and OPRA data.
year	realized_vol_pct	worst_day_pct	days_over_2pct_count
2007	15.9	-3.9	14
2008	41.2	-9.8	70
2009	26.6	-5.3	50
2010	17.9	-3.8	22
2011	23	-6.5	33
2012	12.8	-2.5	7
2013	11.1	-2.5	4
2014	11.3	-2.3	4
2015	15.5	-4.2	11
2016	13.1	-3.6	10
2017	6.8	-1.8	0
2018	17.1	-4.2	19
2019	12.5	-3	7
2020	33.4	-10.9	42
2021	13.1	-2.4	8
2022	24.2	-4.3	46
2023	13.2	-2	2
2024	12.6	-3	7
2025	19.4	-5.9	14
2026	14.2	-2.6	4

the exact SQL behind every number

SELECT
    toYear(session_date)                       AS year,
    round(stddevPop(daily_pct) * sqrt(252), 1) AS realized_vol_pct,
    round(min(daily_pct), 1)                   AS worst_day_pct,
    countIf(abs(daily_pct) >= 2)               AS days_over_2pct_count
FROM
(
    SELECT
        date AS session_date,
        (toFloat64(close) / lagInFrame(toFloat64(close), 1) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) - 1) * 100 AS daily_pct
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= '2007-01-01'
      AND date <  '2026-07-01'
)
WHERE isFinite(daily_pct)
GROUP BY year
ORDER BY year

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