Why the Greeks Don't Add Up to Your P&L
Root sum of squared daily moves versus the net move, SPY by monthseries ·
2026-10-09 · 12×4
Is a Covered Put Actually Covered?
One month of a crowded short, January 2021series ·
2026-10-06 · 24×4
Twelve months of dividends a short seller owes, per shareranking ·
2026-10-06 · 8×4
Days to cover the reported short interest, household namesranking ·
2026-10-06 · 8×3
Best and worst 21-session moves since 2021ranking ·
2026-10-06 · 6×3
The Low-Volatility Anomaly
Growth of $100: a calm name (KO), the market (SPY), a wild name (NVDA), weeklyseries ·
2026-10-04 · 114×4
Annualized volatility vs total return, 25 large caps, calmest to wildest (~2 years)ranking ·
2026-10-04 · 25×3
Volatility thirds: median return, and the range from worst to best name in eachtable ·
2026-10-04 · 3×6
The Lowest-Volatility Stocks
The calmest large caps: annualized realized volatility over the past year, lowest firstranking ·
2026-10-04 · 15×2
Maximum drawdown of the calmest names: the worst peak-to-trough fall over the past yearranking ·
2026-10-04 · 8×2
Event Contract Collateral and Max Loss
Return on collateral for each side, by contract priceranking ·
2026-10-04 · 13×4
Near the money SPY put marks, May to June 2026series ·
2026-10-04 · 41×4
Buyer and seller collateral at every contract priceranking ·
2026-10-04 · 19×4
Short dated Treasury yields, trailing 18 monthsseries ·
2026-10-04 · 18×4
A 60 cent contract, annualised across holding periodsranking ·
2026-10-04 · 7×3
Can You Buy a Put Without Owning Stock?
Days to cover on the latest reported short interestranking ·
2026-10-04 · 5×2
One put contract versus the 100 shares it coverstable ·
2026-10-04 · 5×5
AAPL put ladder: debit, delta and breakeven by strikeranking ·
2026-10-04 · 8×4
Overnight gaps across a year of daily barsranking ·
2026-10-04 · 5×4
Why Stop Orders Fill Below Your Stop
KO's quoted spread and displayed size across one full trading day, 15 September 2026series ·
2026-10-03 · 27×4
SPY's twelve deepest gap-down opens since 2021, measured against the prior closeseries ·
2026-10-03 · 12×4
How often six household names open under the prior closetable ·
2026-10-03 · 6×5
Margin for Selling Naked Options: Reg T Math
One fixed short AAPL call strike: requirement as a percent of the share price, April to June 2026series ·
2026-09-26 · 62×4
Reg T minimum branches for one uncovered AAPL put, by strike (dollars per share)ranking ·
2026-09-26 · 11×4
Uncovered call minimum per contract, strike about 5% out of the moneyranking ·
2026-09-26 · 5×3
Reg T minimum branches for one uncovered AAPL call, by strike (dollars per share)ranking ·
2026-09-26 · 12×4
Are 0DTE Options High Risk? What the Greeks Say
Delta change from a 1% SPY move, by distance from the strike (June 2026)ranking ·
2026-09-18 · 9×3
What an at-the-money SPY call cost, by days to expiry (June 2026)table ·
2026-09-18 · 5×5
Gamma and theta per dollar of premium, by days to expiry (June 2026)series ·
2026-09-18 · 5×5
How the at-the-money call finished, June 2026 expiriesranking ·
2026-09-18 · 5×2
An at-the-money SPY call: prior close versus value at the expiry close, every June 2026 expiryseries ·
2026-09-18 · 21×6
Probability of Touch vs Probability ITM
SPY through July 2024 against a level 2% above the July 1 closeseries ·
2026-08-27 · 28×6
SPY: touched versus finished above, 21-session forward windows since 2011table ·
2026-08-27 · 4×5
SPY option delta buckets, with the doubling rule applied (Jan to Jun 2026)ranking ·
2026-08-27 · 9×4
How Buffer ETFs Work: Caps and Resets
A 15% cap and 9% buffer, seen from three entry pointsranking ·
2026-08-12 · 21×4
SPY calendar-year price return against a 15% cap and 9% bufferranking ·
2026-08-12 · 12×3
Remaining buffer and remaining cap by entry pointranking ·
2026-08-12 · 11×3
Compounding the index against the buffered payoff, net of a 0.79% feeranking ·
2026-08-12 · 12×3
How Futures Margin Works: SPAN and Calls
SPY typical and largest daily move, month by month since 2019series ·
2026-08-10 · 91×4
Short term Treasury yields, the reference a stock margin loan is priced offseries ·
2026-08-10 · 91×4
One day move size across six household names, five years to July 2026ranking ·
2026-08-10 · 6×3
A decade of SPY daily closing moves, sorted into size bucketsranking ·
2026-08-10 · 6×3
Pin Risk at Options Expiration Explained
How far the Friday close lands from the nearest whole dollarranking ·
2026-08-09 · 10×3
AAPL's final half hour on its tightest monthly expiration close since 2025series ·
2026-08-09 · 30×5
What Is Maximum Drawdown? Depth vs Recovery
Same fund, five lookback windows: SPY maximum drawdown by sample length to July 31, 2026ranking ·
2026-08-05 · 5×3
Completed SPY drawdowns since 2016: depth, days falling, days climbing backtable ·
2026-08-05 · 8×5
SPY underwater curve: month end close against its running peak, 2016 to 2026series ·
2026-08-05 · 127×2
Maximum drawdown against annualized volatility: eight large caps, five years to July 31, 2026ranking ·
2026-08-05 · 8×3
How Risky Is Options Trading? The Mechanics
Weekend gaps: prior close to next open, six widely held names, August 2024 to July 2026table ·
2026-08-01 · 6×5
One AAPL call through its final month: closing premium split into intrinsic value and time valueseries ·
2026-08-01 · 23×5
Same AAPL call, same window: session moves for the contract and for the stockseries ·
2026-08-01 · 23×3
AAPL contracts trading on their own expiration day: share finishing out of the money, six monthly cyclesranking ·
2026-08-01 · 6×4
0DTE Options Strategies: How They Trade
Same-day options volume by premium paid: whole US tape, July 10, 2026ranking ·
2026-07-31 · 5×4
Median gamma, theta and delta by time to expiry: near-the-money US options, July 15, 2026table ·
2026-07-31 · 4×5
How July 10's same-day SPY contracts finished: expired at zero vs. settled with valueranking ·
2026-07-31 · 2×4
SPY intraday travel: close, high and low against the open, June 1 to July 10, 2026series ·
2026-07-31 · 28×5
The Best and Worst Thousand Dollars of June 2026
The ride, session by session: daily turnover, last price, and the thousand-dollar position's markseries ·
2026-07-26 · 10×6
The loss pile by root: contracts down 90%+ from first print, share of the pile, and each root's ten-baggerstable ·
2026-07-26 · 6×6
The most expensive ticket to zero: the priciest contract that ended at two cents or lessscalar ·
2026-07-26 · 1×510
The entry receipt: the winner's first print, its second, and every penny print of its June life (one row)scalar ·
2026-07-26 · 1×110.01
The full distribution: for every jackpot, thousands of near-total losses (put/call split included)scalar ·
2026-07-26 · 1×1030,951
The five biggest first-print-to-last-print multiples of June, priced from both chairs (six liquid roots, 50+ trades)table ·
2026-07-26 · 5×9
Calibration: every month of 2026 computed identically, SPY and NVDA, open-to-close and rangetable ·
2026-07-26 · 6×6
Root sum of squared daily moves versus the net move, SPY by month
Root sum of squared daily moves versus the net move, SPY by month
| month | month_label | path_move_pct | net_move_pct |
|---|---|---|---|
| 2025-07 | Jul 2025 | 1.96 | 2.3 |
| 2025-08 | Aug 2025 | 3.4 | 2.09 |
| 2025-09 | Sep 2025 | 2.12 | 3.25 |
| 2025-10 | Oct 2025 | 4.08 | 2.44 |
| 2025-11 | Nov 2025 | 4.1 | 0.28 |
| 2025-12 | Dec 2025 | 2.41 | 0.19 |
| 2026-01 | Jan 2026 | 2.84 | 1.5 |
| 2026-02 | Feb 2026 | 3.58 | 0.8 |
| 2026-03 | Mar 2026 | 5.38 | 5.19 |
| 2026-04 | Apr 2026 | 3.96 | 10.07 |
| 2026-05 | May 2026 | 2.92 | 5.17 |
| 2026-06 | Jun 2026 | 4.99 | 1.17 |
the exact SQL behind every number
WITH
daily AS
(
SELECT
date,
toFloat64(any(close)) AS close_px
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2025-06-20'
AND date < '2026-07-01'
GROUP BY date
),
seq AS
(
SELECT *, row_number() OVER (ORDER BY date) AS n
FROM daily
),
steps AS
(
SELECT
toStartOfMonth(b.date) AS m,
b.close_px / a.close_px - 1 AS ret
FROM seq AS a
INNER JOIN seq AS b ON b.n = a.n + 1
WHERE b.date >= '2025-07-01'
)
SELECT
formatDateTime(m, '%Y-%m') AS month,
formatDateTime(m, '%b %Y') AS month_label,
round(100 * sqrt(sum(pow(ret, 2))), 2) AS path_move_pct,
round(100 * abs(sum(ret)), 2) AS net_move_pct
FROM steps
GROUP BY m
ORDER BY m
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