Each session is one observation: the cross-sectional mean of the names’ returns in their own daily sigmas, scaled by the PRIOR session’s 21-day realised vol so a big day cannot shrink itself. A bucket needs 20 sessions of its own; the interval is the difference of means at the family-wise z over 19 tests; halves split at the median session and print in-minus-rest for each. Each interval is a normal approximation — the difference of means at the family-wise z, with the standard error from the two samples — not the engine's 2,000-draw date-clustered bootstrap, which costs about 26 seconds per request. On the two largest buckets the approximation sits within 0.015 sigma of the bootstrap filed in the ledger under calendar_seasonality (November [-0.039, +0.262] here against the bootstrap's [-0.024, +0.255]; Monday [-0.051, +0.175] against [-0.052, +0.179]). Regime Monitor and Vol & Dealer Regime carry the two conditioning keys as live readings.
| Bucket | sessions | up | in (sigma) | rest | in − rest | family-wise 95% | p | BH q=0.05 | 1st half | 2nd half | halves | reads as |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Mon | 472 | 60% | +0.112 | +0.050 | +0.062 | [−0.051, +0.175] | 0.100 | fails | +0.042 | +0.082 | same sign | indistinguishable from noise |
| Tue | 521 | 53% | +0.041 | +0.067 | −0.026 | [−0.127, +0.074] | 0.430 | fails | +0.002 | −0.054 | sign flips | indistinguishable from noise |
| Wed | 517 | 58% | +0.071 | +0.059 | +0.012 | [−0.096, +0.120] | 0.736 | fails | +0.003 | +0.021 | same sign |
core.metric_daily ret_1d, realized_vol_21d · core.trading_sessions · derived nightly after the close
Total return through core.prices_asof with dividends on — core.price_daily is unadjusted by design and 27 of 40 names carry splits. One complete calendar month is one instance; a month cell needs 20 of them before its summary is shown, which withholds every month for a name younger than 2006. Each month column is the strip: every instance, not the mean. Weekdays and the session before a holiday are counted in sessions. Months are twelve tests, the daily cells six; each family carries its own family-wise z. The vendor's monthly averages are not the headline here and are not reconciled against: its market-seasonality endpoint returns positive_months_perc 1.10 for XLRE in month 7 with years = 10 and positive_closes = 11 — 110% of ten Julys were up — so its table is a thing to cite as a defect, not a baseline.
A market series’ level by calendar month. Daily readings of a level are not independent draws — October 2008 is one high October, not twenty-two — so the unit is the month’s mean level, n counts years, and a month needs 20 of them; below that the cell is withheld, not approximated. The newest month is an instance even while partial, with its session count shown. Unit: index_points.
Cboe VIX close, the 30-day implied volatility of the S&P 500. Highest close on record 82.69 (2020-03-16); the bound catches a units error, not a crisis.
| Thu | 508 | 56% | +0.031 | +0.069 | −0.039 | [−0.151, +0.073] | 0.298 | fails | −0.064 | −0.013 | same sign | indistinguishable from noise |
| Fri | 508 | 57% | +0.057 | +0.063 | −0.005 | [−0.117, +0.106] | 0.888 | fails | +0.020 | −0.031 | sign flips | indistinguishable from noise |
| Jan | 203 | 62% | +0.137 | +0.055 | +0.082 | [−0.079, +0.243] | 0.125 | fails | +0.126 | +0.037 | same sign | indistinguishable from noise |
| Feb | 191 | 59% | +0.027 | +0.064 | −0.037 | [−0.210, +0.136] | 0.518 | fails | −0.058 | −0.017 | same sign | indistinguishable from noise |
| Mar | 219 | 51% | +0.020 | +0.066 | −0.046 | [−0.228, +0.136] | 0.449 | fails | −0.065 | −0.027 | same sign | indistinguishable from noise |
| Apr | 206 | 54% | +0.039 | +0.064 | −0.024 | [−0.190, +0.142] | 0.658 | fails | +0.044 | −0.093 | sign flips | indistinguishable from noise |
| May | 212 | 57% | +0.084 | +0.060 | +0.024 | [−0.130, +0.178] | 0.639 | fails | −0.054 | +0.102 | sign flips | indistinguishable from noise |
| Jun | 209 | 60% | +0.084 | +0.060 | +0.025 | [−0.118, +0.168] | 0.604 | fails | +0.014 | +0.035 | same sign | indistinguishable from noise |
| Jul | 212 | 60% | +0.101 | +0.058 | +0.043 | [−0.084, +0.169] | 0.309 | fails | +0.035 | +0.051 | same sign | indistinguishable from noise |
| Aug | 221 | 54% | +0.037 | +0.064 | −0.027 | [−0.181, +0.126] | 0.591 | fails | +0.007 | −0.062 | sign flips | indistinguishable from noise |
| Sep | 218 | 56% | +0.007 | +0.067 | −0.060 | [−0.218, +0.097] | 0.250 | fails | −0.040 | −0.079 | same sign | indistinguishable from noise |
| Oct | 221 | 52% | +0.024 | +0.065 | −0.041 | [−0.210, +0.128] | 0.462 | fails | −0.105 | +0.022 | sign flips | indistinguishable from noise |
| Nov | 205 | 61% | +0.164 | +0.053 | +0.112 | [−0.039, +0.262] | 0.026 | fails | +0.131 | +0.091 | same sign | indistinguishable from noise |
| Dec | 209 | 55% | +0.024 | +0.065 | −0.041 | [−0.188, +0.107] | 0.407 | fails | −0.027 | −0.054 | same sign | indistinguishable from noise |
| turn of month (last 1 + first 3) | 481 | 58% | +0.065 | +0.061 | +0.005 | [−0.112, +0.121] | 0.903 | fails | +0.009 | 0.000 | same sign | indistinguishable from noise |
| opex week (Monday to expiry) | 590 | 53% | +0.034 | +0.070 | −0.036 | [−0.133, +0.061] | 0.267 | fails | −0.006 | −0.066 | same sign | indistinguishable from noise |
Sep 2026 to date: +1.1% over 15 sessions. Share of SPY’s own 33 completed instances of Sep sitting below it: 57.6%
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | +1.5% | −0.9% | −4.9% | +10.5% | +5.3% | −1.0% | 0.0% | +2.7% | +1.1% | · | · | · |
| 2025 | +2.7% | −1.3% | −5.6% | −0.9% | +6.3% | +5.1% | +2.3% | +2.1% | +3.6% | +2.4% | +0.2% | +0.1% |
| 2024 | +1.6% | +5.2% | +3.3% | −4.0% | +5.1% | +3.5% | +1.2% | +2.3% | +2.1% | −0.9% | +6.0% | −2.4% |
| 2023 | +6.3% | −2.5% | +3.7% | +1.6% | +0.5% | +6.5% | +3.3% | −1.6% | −4.7% | −2.2% | +9.1% | +4.6% |
| 2022 | −5.3% | −3.0% | +3.8% | −8.8% | +0.2% | −8.2% | +9.2% | −4.1% | −9.2% | +8.1% | +5.6% | −5.8% |
| 2021 | −1.0% | +2.8% | +4.5% | +5.3% | +0.7% | +2.2% | +2.4% | +3.0% | −4.7% | +7.0% | −0.8% | +4.6% |
| 2020 | 0.0% | −7.9% | −12.5% | +12.7% | +4.8% | +1.8% | +5.9% | +7.0% | −3.7% | −2.5% | +10.9% | +3.7% |
| 2019 | +8.0% | +3.2% | +1.8% | +4.1% | −6.4% | +7.0% | +1.5% | −1.7% | +1.9% | +2.2% | +3.6% | +2.9% |
| 2018 | +5.6% | −3.6% | −2.7% | +0.5% | +2.4% | +0.6% | +3.7% | +3.2% | +0.6% | −6.9% | +1.9% | −8.8% |
| 2017 | +1.8% | +3.9% | +0.1% | +1.0% | +1.4% | +0.6% | +2.1% | +0.3% | +2.0% | +2.4% | +3.1% | +1.2% |
| 2016 | −5.0% | −0.1% | +6.7% | +0.4% | +1.7% | +0.3% | +3.6% | +0.1% | 0.0% | −1.7% | +3.7% | +2.0% |
| 2015 | −3.0% | +5.6% | −1.6% | +1.0% | +1.3% | −2.0% | +2.2% | −6.1% | −2.5% | +8.5% | +0.4% | −1.7% |
| 2014 | −3.5% | +4.6% | +0.8% | +0.7% | +2.3% | +2.1% | −1.3% | +3.9% | −1.4% | +2.4% | +2.7% | −0.3% |
| 2013 | +5.1% | +1.3% | +3.8% | +1.9% | +2.4% | −1.3% | +5.2% | −3.0% | +3.2% | +4.6% | +3.0% | +2.6% |
| 2012 | +4.6% | +4.3% | +3.2% | −0.7% | −6.0% | +4.1% | +1.2% | +2.5% | +2.5% | −1.8% | +0.6% | +0.9% |
| 2011 | +2.3% | +3.5% | 0.0% | +2.9% | −1.1% | −1.7% | −2.0% | −5.5% | −6.9% | +10.9% | −0.4% | +1.0% |
| 2010 | −3.6% | +3.1% | +6.1% | +1.5% | −7.9% | −5.2% | +6.8% | −4.5% | +9.0% | +3.8% | 0.0% | +6.7% |
| 2009 | −8.2% | −10.7% | +8.3% | +9.9% | +5.8% | −0.1% | +7.5% | +3.7% | +3.5% | −1.9% | +6.2% | +1.9% |
| 2008 | −6.0% | −2.6% | −0.9% | +4.8% | +1.5% | −8.4% | −0.9% | +1.5% | −9.4% | −16.5% | −7.0% | +1.0% |
| 2007 | +1.5% | −2.0% | +1.2% | +4.4% | +3.4% | −1.5% | −3.1% | +1.3% | +3.9% | +1.4% | −3.9% | −1.1% |
| 2006 | +2.4% | +0.6% | +1.7% | +1.3% | −3.0% | +0.3% | +0.4% | +2.2% | +2.7% | +3.2% | +2.0% | +1.3% |
| 2005 | −2.2% | +2.1% | −1.8% | −1.9% | +3.2% | +0.2% | +3.8% | −0.9% | +0.8% | −2.4% | +4.4% | −0.2% |
| 2004 | +2.0% | +1.4% | −1.3% | −1.9% | +1.7% | +1.8% | −3.2% | +0.2% | +1.0% | +1.3% | +4.5% | +3.0% |
| 2003 | −2.5% | −1.3% | +0.2% | +8.5% | +5.5% | +1.1% | +1.8% | +2.1% | −1.1% | +5.4% | +1.1% | +5.0% |
| 2002 | −1.0% | −1.8% | +3.3% | −5.8% | −0.6% | −7.4% | −7.9% | +0.7% | −10.5% | +8.2% | +6.2% | −5.7% |
| 2001 | +4.4% | −9.5% | −5.6% | +8.5% | −0.6% | −2.4% | −1.0% | −5.9% | −8.2% | +1.3% | +7.8% | +0.6% |
| 2000 | −5.0% | −1.5% | +9.7% | −3.5% | −1.6% | +2.0% | −1.6% | +6.5% | −5.5% | −0.5% | −7.5% | −0.5% |
| 1999 | +3.5% | −3.2% | +4.1% | +3.8% | −2.3% | +5.5% | −3.1% | −0.5% | −2.2% | +6.4% | +1.7% | +5.7% |
| 1998 | +1.3% | +6.9% | +4.9% | +1.3% | −2.1% | +4.3% | −1.4% | −14.1% | +6.4% | +8.1% | +5.6% | +6.5% |
| 1997 | +6.2% | +1.0% | −4.4% | +6.3% | +6.3% | +4.1% | +7.9% | −5.2% | +4.8% | −2.5% | +3.9% | +1.9% |
| 1996 | +3.6% | +0.3% | +1.7% | +1.1% | +2.3% | +0.9% | −4.5% | +1.9% | +5.6% | +3.2% | +7.3% | −2.3% |
| 1995 | +3.4% | +4.1% | +2.8% | +3.0% | +4.0% | +2.0% | +3.2% | +0.4% | +4.2% | −0.3% | +4.4% | +1.6% |
| 1994 | +3.5% | −2.9% | −4.2% | +1.1% | +1.6% | −2.3% | +3.2% | +3.8% | −2.5% | +2.8% | −4.0% | +0.7% |
| 1993 | · | +1.1% | +2.2% | −2.6% | +2.7% | +0.4% | −0.5% | +3.8% | −0.7% | +2.0% | −1.1% | +1.2% |
| Month | strip, shared axis | complete | years shown | instances |
|---|---|---|---|---|
| Jan | 33 | 1994–2026 | every instance2019 +8.0% · 2023 +6.3% · 1997 +6.2% · 2018 +5.6% · 2013 +5.1% · 2012 +4.6% · 2001 +4.4% · 1996 +3.6% · 1999 +3.5% · 1994 +3.5% · 1995 +3.4% · 2025 +2.7% · 2006 +2.4% · 2011 +2.3% · 2004 +2.0% · 2017 +1.8% · 2024 +1.6% · 2007 +1.5% · 2026 +1.5% · 1998 +1.3% · 2020 0.0% · 2002 −1.0% · 2021 −1.0% · 2005 −2.2% · 2003 −2.5% · 2015 −3.0% · 2014 −3.5% · 2010 −3.6% · 2016 −5.0% · 2000 −5.0% · 2022 −5.3% · 2008 −6.0% · 2009 −8.2% | |
| Feb | 34 | 1993–2026 | every instance1998 +6.9% · 2015 +5.6% · 2024 +5.2% · 2014 +4.6% · 2012 +4.3% · 1995 +4.1% · 2017 +3.9% · 2011 +3.5% · 2019 +3.2% · 2010 +3.1% · 2021 +2.8% · 2005 +2.1% · 2004 +1.4% · 2013 +1.3% · 1993 +1.1% · 1997 +1.0% · 2006 +0.6% · 1996 +0.3% · 2016 −0.1% · 2026 −0.9% · 2025 −1.3% · 2003 −1.3% · 2000 −1.5% · 2002 −1.8% · 2007 −2.0% · 2023 −2.5% · 2008 −2.6% · 1994 −2.9% · 2022 −3.0% · 1999 −3.2% · 2018 −3.6% · 2020 −7.9% · 2001 −9.5% · 2009 −10.7% | |
| Mar | 34 | 1993–2026 | every instance2000 +9.7% · 2009 +8.3% · 2016 +6.7% · 2010 +6.1% · 1998 +4.9% · 2021 +4.5% · 1999 +4.1% · 2013 +3.8% · 2022 +3.8% · 2023 +3.7% · 2002 +3.3% · 2024 +3.3% · 2012 +3.2% · 1995 +2.8% · 1993 +2.2% · 2019 +1.8% · 1996 +1.7% · 2006 +1.7% · 2007 +1.2% · 2014 +0.8% · 2003 +0.2% · 2017 +0.1% · 2011 0.0% · 2008 −0.9% · 2004 −1.3% · 2015 −1.6% · 2005 −1.8% · 2018 −2.7% · 1994 −4.2% · 1997 −4.4% · 2026 −4.9% · 2025 −5.6% · 2001 −5.6% · 2020 −12.5% | |
| Apr | 34 | 1993–2026 | every instance2020 +12.7% · 2026 +10.5% · 2009 +9.9% · 2001 +8.5% · 2003 +8.5% · 1997 +6.3% · 2021 +5.3% · 2008 +4.8% · 2007 +4.4% · 2019 +4.1% · 1999 +3.8% · 1995 +3.0% · 2011 +2.9% · 2013 +1.9% · 2023 +1.6% · 2010 +1.5% · 1998 +1.3% · 2006 +1.3% · 1994 +1.1% · 1996 +1.1% · 2017 +1.0% · 2015 +1.0% · 2014 +0.7% · 2018 +0.5% · 2016 +0.4% · 2012 −0.7% · 2025 −0.9% · 2005 −1.9% · 2004 −1.9% · 1993 −2.6% · 2000 −3.5% · 2024 −4.0% · 2002 −5.8% · 2022 −8.8% | |
| May | 34 | 1993–2026 | every instance1997 +6.3% · 2025 +6.3% · 2009 +5.8% · 2003 +5.5% · 2026 +5.3% · 2024 +5.1% · 2020 +4.8% · 1995 +4.0% · 2007 +3.4% · 2005 +3.2% · 1993 +2.7% · 2018 +2.4% · 2013 +2.4% · 2014 +2.3% · 1996 +2.3% · 2004 +1.7% · 2016 +1.7% · 1994 +1.6% · 2008 +1.5% · 2017 +1.4% · 2015 +1.3% · 2021 +0.7% · 2023 +0.5% · 2022 +0.2% · 2001 −0.6% · 2002 −0.6% · 2011 −1.1% · 2000 −1.6% · 1998 −2.1% · 1999 −2.3% · 2006 −3.0% · 2012 −6.0% · 2019 −6.4% · 2010 −7.9% | |
| Jun | 34 | 1993–2026 | every instance2019 +7.0% · 2023 +6.5% · 1999 +5.5% · 2025 +5.1% · 1998 +4.3% · 1997 +4.1% · 2012 +4.1% · 2024 +3.5% · 2021 +2.2% · 2014 +2.1% · 1995 +2.0% · 2000 +2.0% · 2004 +1.8% · 2020 +1.8% · 2003 +1.1% · 1996 +0.9% · 2017 +0.6% · 2018 +0.6% · 1993 +0.4% · 2016 +0.3% · 2006 +0.3% · 2005 +0.2% · 2009 −0.1% · 2026 −1.0% · 2013 −1.3% · 2007 −1.5% · 2011 −1.7% · 2015 −2.0% · 1994 −2.3% · 2001 −2.4% · 2010 −5.2% · 2002 −7.4% · 2022 −8.2% · 2008 −8.4% | |
| Jul | 34 | 1993–2026 | every instance2022 +9.2% · 1997 +7.9% · 2009 +7.5% · 2010 +6.8% · 2020 +5.9% · 2013 +5.2% · 2005 +3.8% · 2018 +3.7% · 2016 +3.6% · 2023 +3.3% · 1994 +3.2% · 1995 +3.2% · 2021 +2.4% · 2025 +2.3% · 2015 +2.2% · 2017 +2.1% · 2003 +1.8% · 2019 +1.5% · 2024 +1.2% · 2012 +1.2% · 2006 +0.4% · 2026 0.0% · 1993 −0.5% · 2008 −0.9% · 2001 −1.0% · 2014 −1.3% · 1998 −1.4% · 2000 −1.6% · 2011 −2.0% · 1999 −3.1% · 2007 −3.1% · 2004 −3.2% · 1996 −4.5% · 2002 −7.9% | |
| Aug | 34 | 1993–2026 | every instance2020 +7.0% · 2000 +6.5% · 2014 +3.9% · 1993 +3.8% · 1994 +3.8% · 2009 +3.7% · 2018 +3.2% · 2021 +3.0% · 2026 +2.7% · 2012 +2.5% · 2024 +2.3% · 2006 +2.2% · 2003 +2.1% · 2025 +2.1% · 1996 +1.9% · 2008 +1.5% · 2007 +1.3% · 2002 +0.7% · 1995 +0.4% · 2017 +0.3% · 2004 +0.2% · 2016 +0.1% · 1999 −0.5% · 2005 −0.9% · 2023 −1.6% · 2019 −1.7% · 2013 −3.0% · 2022 −4.1% · 2010 −4.5% · 1997 −5.2% · 2011 −5.5% · 2001 −5.9% · 2015 −6.1% · 1998 −14.1% | |
| Sep | 33 | 1993–2026 | every instance2010 +9.0% · 1998 +6.4% · 1996 +5.6% · 1997 +4.8% · 1995 +4.2% · 2007 +3.9% · 2025 +3.6% · 2009 +3.5% · 2013 +3.2% · 2006 +2.7% · 2012 +2.5% · 2024 +2.1% · 2017 +2.0% · 2019 +1.9% · 2026 +1.1% (partial, 15 sessions) · 2004 +1.0% · 2005 +0.8% · 2018 +0.6% · 2016 0.0% · 1993 −0.7% · 2003 −1.1% · 2014 −1.4% · 1999 −2.2% · 2015 −2.5% · 1994 −2.5% · 2020 −3.7% · 2021 −4.7% · 2023 −4.7% · 2000 −5.5% · 2011 −6.9% · 2001 −8.2% · 2022 −9.2% · 2008 −9.4% · 2002 −10.5% | |
| Oct | 33 | 1993–2025 | every instance2011 +10.9% · 2015 +8.5% · 2002 +8.2% · 2022 +8.1% · 1998 +8.1% · 2021 +7.0% · 1999 +6.4% · 2003 +5.4% · 2013 +4.6% · 2010 +3.8% · 1996 +3.2% · 2006 +3.2% · 1994 +2.8% · 2025 +2.4% · 2017 +2.4% · 2014 +2.4% · 2019 +2.2% · 1993 +2.0% · 2007 +1.4% · 2001 +1.3% · 2004 +1.3% · 1995 −0.3% · 2000 −0.5% · 2024 −0.9% · 2016 −1.7% · 2012 −1.8% · 2009 −1.9% · 2023 −2.2% · 2005 −2.4% · 1997 −2.5% · 2020 −2.5% · 2018 −6.9% · 2008 −16.5% | |
| Nov | 33 | 1993–2025 | every instance2020 +10.9% · 2023 +9.1% · 2001 +7.8% · 1996 +7.3% · 2002 +6.2% · 2009 +6.2% · 2024 +6.0% · 1998 +5.6% · 2022 +5.6% · 2004 +4.5% · 1995 +4.4% · 2005 +4.4% · 1997 +3.9% · 2016 +3.7% · 2019 +3.6% · 2017 +3.1% · 2013 +3.0% · 2014 +2.7% · 2006 +2.0% · 2018 +1.9% · 1999 +1.7% · 2003 +1.1% · 2012 +0.6% · 2015 +0.4% · 2025 +0.2% · 2010 0.0% · 2011 −0.4% · 2021 −0.8% · 1993 −1.1% · 2007 −3.9% · 1994 −4.0% · 2008 −7.0% · 2000 −7.5% | |
| Dec | 33 | 1993–2025 | every instance2010 +6.7% · 1998 +6.5% · 1999 +5.7% · 2003 +5.0% · 2021 +4.6% · 2023 +4.6% · 2020 +3.7% · 2004 +3.0% · 2019 +2.9% · 2013 +2.6% · 2016 +2.0% · 2009 +1.9% · 1997 +1.9% · 1995 +1.6% · 2006 +1.3% · 2017 +1.2% · 1993 +1.2% · 2011 +1.0% · 2008 +1.0% · 2012 +0.9% · 1994 +0.7% · 2001 +0.6% · 2025 +0.1% · 2005 −0.2% · 2014 −0.3% · 2000 −0.5% · 2007 −1.1% · 2015 −1.7% · 1996 −2.3% · 2024 −2.4% · 2002 −5.7% · 2022 −5.8% · 2018 −8.8% |
| Bucket | instances | up | in (monthly return) | rest | in − rest | family-wise 95% | p | BH q=0.05 | 1st half | 2nd half | halves | reads as |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Jan | 33 | 61% | +0.8% | +1.0% | −0.2% | [−2.3%, +1.9%] | 0.772 | fails | −0.3% | −0.2% | same sign | indistinguishable from noise |
| Feb | 34 | 53% | 0.0% | +1.0% | −1.0% | [−3.2%, +1.1%] | 0.162 | fails | −1.9% | −0.2% | same sign | indistinguishable from noise |
| Mar | 34 | 68% | +1.0% | +1.0% | 0.0% | [−2.3%, +2.3%] | 0.998 | fails | +0.7% | −0.7% | sign flips | indistinguishable from noise |
| Apr | 34 | 74% | +2.0% | +0.9% | +1.1% | [−1.2%, +3.5%] | 0.165 | fails | +1.7% | +0.6% | same sign | indistinguishable from noise |
| May | 34 | 71% | +1.2% | +0.9% | +0.3% | [−1.6%, +2.1%] | 0.682 | fails | +1.1% | −0.5% | sign flips | indistinguishable from noise |
| Jun | 34 | 65% | +0.4% | +1.0% | −0.6% | [−2.5%, +1.4%] | 0.412 | fails | −0.7% | −0.4% | same sign | indistinguishable from noise |
| Jul | 34 | 65% | +1.4% | +0.9% | +0.5% | [−1.5%, +2.5%] | 0.462 | fails | −0.7% | +1.7% | sign flips | indistinguishable from noise |
| Aug | 34 | 65% | +0.1% | +1.0% | −1.0% | [−3.1%, +1.2%] | 0.200 | fails | −0.6% | −1.3% | same sign | indistinguishable from noise |
| Sep | 33 | 55% | −0.5% | +1.1% | −1.6% | [−4.1%, +1.0%] | 0.079 | fails | −1.2% | −1.9% | same sign | indistinguishable from noise |
| Oct | 33 | 64% | +1.7% | +0.9% | +0.8% | [−1.9%, +3.5%] | 0.393 | fails | +0.5% | +1.1% | same sign | indistinguishable from noise |
| Nov | 33 | 79% | +2.5% | +0.8% | +1.6% | [−0.6%, +3.8%] | 0.033 | fails | +1.0% | +2.2% | same sign | indistinguishable from noise |
| Dec | 33 | 70% | +1.0% | +1.0% | 0.0% | [−1.8%, +1.8%] | 0.978 | fails | +0.5% | −0.5% | sign flips | indistinguishable from noise |
Drawn because SPY has 4 decades with at least 5 instances in every month. Means and counts only: a decade cell holds at most ten years, so no interval is claimed for it.
| Month | 1990s | 2000s | 2010s | 2020s |
|---|---|---|---|---|
| Jan | +2.0% n=6 | −1.6% n=10 | +0.1% n=10 | −0.6% n=7 |
| Feb | −0.7% n=7 | −2.8% n=10 | +1.6% n=10 | −2.6% n=7 |
| Mar | −0.7% n=7 | +1.6% n=10 | +0.8% n=10 | −2.7% n=7 |
| Apr | +0.3% n=7 | +2.6% n=10 | +0.2% n=10 | +1.1% n=7 |
| May | +0.1% n=7 | +1.7% n=10 | −2.3% n=10 | +2.1% n=7 |
| Jun | +0.5% n=7 | −1.6% n=10 | −0.7% n=10 | +0.1% n=7 |
| Jul | −1.1% n=7 | −0.5% n=10 | +1.3% n=10 | +2.4% n=7 |
| Aug | −3.4% n=7 | +1.2% n=10 | −2.4% n=10 | +0.3% n=7 |
| Sep | +0.6% n=7 | −2.5% n=10 | −0.3% n=10 | −4.4% n=6 |
| Oct | +1.2% n=7 | −0.1% n=10 | +1.4% n=10 | +0.7% n=6 |
| Nov | +0.9% n=7 | +1.5% n=10 | +0.8% n=10 | +4.1% n=6 |
| Dec | +0.5% n=7 | +0.6% n=10 | −0.5% n=10 | −0.6% n=6 |
Basis points per session. A pre-holiday session is one whose next session is more than a day away (three for a Friday), so a weekday closure lies between; it belongs here and not in the panel, where a twentieth bucket would widen every filed interval.
| Bucket | sessions | up | in (bp/session) | rest | in − rest | family-wise 95% | p | BH q=0.05 | 1st half | 2nd half | halves | reads as |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Mon | 1,592 | 56% | +5.9 | +4.5 | +1.3 | [−7.8, +10.5] | 0.700 | fails | +1.7 | +1.0 | same sign | indistinguishable from noise |
| Tue | 1,739 | 52% | +7.1 | +4.2 | +2.9 | [−5.4, +11.1] | 0.357 | fails | +3.5 | +2.3 | same sign | indistinguishable from noise |
| Wed | 1,737 | 55% | +6.0 | +4.5 | +1.5 | [−6.6, +9.6] | 0.626 | fails | +0.3 | +2.7 | same sign | indistinguishable from noise |
| Thu | 1,704 | 53% | +1.7 | +5.6 | −3.9 | [−12.3, +4.4] | 0.216 | fails | −4.2 | −3.7 | same sign | indistinguishable from noise |
| Fri | 1,695 | 55% | +3.3 | +5.1 | −1.8 | [−9.8, +6.2] | 0.550 | fails | −1.3 | −2.3 | same sign | indistinguishable from noise |
| session before a holiday | 304 | 57% | +9.6 | +4.6 | +5.0 | [−9.7, +19.8] | 0.366 | fails | +5.2 | +4.8 | same sign | indistinguishable from noise |
core.prices_asof(dividends = true) over core.price_daily · tiingo_prices, 18:05 ET weekdays
| Bucket |
|---|
| instances |
|---|
| in (level) |
|---|
| rest |
|---|
| in − rest |
|---|
| family-wise 95% |
|---|
| p |
|---|
| BH q=0.05 |
|---|
| 1st half |
|---|
| 2nd half |
|---|
| halves |
|---|
| reads as |
|---|
| Jan | 37 | 19.18 | 19.46 | −0.28 | [−3.67, +3.12] | 0.816 | fails | +0.15 | −0.70 | sign flips | indistinguishable from noise |
| Feb | 37 | 19.57 | 19.42 | +0.14 | [−3.20, +3.49] | 0.901 | fails | +0.06 | +0.25 | same sign | indistinguishable from noise |
| Mar | 37 | 20.49 | 19.34 | +1.15 | [−3.24, +5.54] | 0.452 | fails | +0.14 | +2.24 | same sign | indistinguishable from noise |
| Apr | 37 | 19.28 | 19.45 | −0.17 | [−3.57, +3.23] | 0.887 | fails | −0.48 | +0.18 | sign flips | indistinguishable from noise |
| May | 37 | 18.55 | 19.52 | −0.96 | [−3.87, +1.94] | 0.342 | fails | −1.32 | −0.64 | same sign | indistinguishable from noise |
| Jun | 37 | 18.32 | 19.54 | −1.22 | [−3.96, +1.52] | 0.202 | fails | −1.68 | −0.80 | same sign | indistinguishable from noise |
| Jul | 37 | 17.69 | 19.60 | −1.91 | [−4.61, +0.79] | 0.043 | fails | −1.45 | −2.36 | same sign | indistinguishable from noise |
| Aug | 37 | 19.02 | 19.47 | −0.45 | [−3.57, +2.67] | 0.680 | fails | +0.41 | −1.29 | sign flips | indistinguishable from noise |
| Sep | 37 | 20.23 | 19.36 | +0.87 | [−3.00, +4.74] | 0.518 | fails | +1.83 | −0.06 | sign flips | indistinguishable from noise |
| Oct | 36 | 21.57 | 19.25 | +2.32 | [−2.42, +7.06] | 0.160 | fails | +2.04 | +2.61 | same sign | indistinguishable from noise |
| Nov | 36 | 20.25 | 19.36 | +0.89 | [−3.72, +5.50] | 0.581 | fails | +0.79 | +0.98 | same sign | indistinguishable from noise |
| Dec | 36 | 19.14 | 19.46 | −0.32 | [−4.17, +3.53] | 0.811 | fails | −0.48 | −0.16 | same sign | indistinguishable from noise |
| Month | every instance (year: mean level over its sessions) |
|---|---|
| Jan | 1990: 23.35 · 1991: 27.43 · 1992: 17.68 · 1993: 12.41 · 1994: 11.29 · 1995: 12.27 · 1996: 13.47 · 1997: 19.47 · 1998: 23.87 · 1999: 28.04 · 2000: 23.20 · 2001: 24.92 · 2002: 22.25 · 2003: 27.42 · 2004: 16.10 · 2005: 13.44 · 2006: 12.04 · 2007: 11.04 · 2008: 25.82 · 2009: 44.68 · 2010: 20.64 · 2011: 17.32 · 2012: 20.23 · 2013: 13.51 · 2014: 14.24 · 2015: 19.12 · 2016: 23.72 · 2017: 11.61 · 2018: 11.06 · 2019: 19.57 · 2020: 13.94 · 2021: 24.91 · 2022: 23.18 · 2023: 20.17 · 2024: 13.39 · 2025: 16.76 · 2026: 16.18 |
| Feb | 1990: 23.26 · 1991: 21.60 · 1992: 17.48 · 1993: 13.72 · 1994: 13.64 · 1995: 11.47 · 1996: 15.03 · 1997: 20.14 · 1998: 20.00 · 1999: 28.82 · 2000: 23.60 · 2001: 23.41 · 2002: 22.88 · 2003: 32.22 · 2004: 16.00 · 2005: 11.71 · 2006: 12.47 · 2007: 11.16 · 2008: 25.46 · 2009: 45.57 · 2010: 22.54 · 2011: 17.43 · 2012: 18.42 · 2013: 14.07 · 2014: 15.47 · 2015: 15.90 · 2016: 22.52 · 2017: 11.53 · 2018: 22.46 · 2019: 15.23 · 2020: 19.63 · 2021: 23.14 · 2022: 25.75 · 2023: 20.12 · 2024: 13.98 · 2025: 16.97 · 2026: 19.21 |
| Mar | 1990: 20.06 · 1991: 17.74 · 1992: 17.52 · 1993: 13.61 · 1994: 15.22 · 1995: 12.17 · 1996: 17.76 · 1997: 20.17 · 1998: 20.16 · 1999: 25.31 · 2000: 22.72 · 2001: 28.50 · 2002: 18.98 · 2003: 30.63 · 2004: 17.69 · 2005: 13.13 · 2006: 11.69 · 2007: 15.16 · 2008: 27.10 · 2009: 44.80 · 2010: 17.77 · 2011: 20.72 · 2012: 16.17 · 2013: 13.03 · 2014: 14.84 · 2015: 14.81 · 2016: 15.85 · 2017: 11.90 · 2018: 19.02 · 2019: 14.49 · 2020: 57.74 · 2021: 21.84 · 2022: 26.97 · 2023: 21.64 · 2024: 13.79 · 2025: 21.84 · 2026: 25.60 |
| Apr | 1990: 21.40 · 1991: 17.37 · 1992: 16.56 · 1993: 12.84 · 1994: 16.47 · 1995: 12.44 · 1996: 16.58 · 1997: 19.66 · 1998: 22.03 · 1999: 23.48 · 2000: 27.16 · 2001: 28.13 · 2002: 19.90 · 2003: 23.99 · 2004: 15.70 · 2005: 14.46 · 2006: 11.85 · 2007: 12.93 · 2008: 21.56 · 2009: 38.06 · 2010: 17.42 · 2011: 16.24 · 2012: 17.82 · 2013: 13.97 · 2014: 14.20 · 2015: 13.49 · 2016: 14.30 · 2017: 13.14 · 2018: 18.27 · 2019: 12.95 · 2020: 41.45 · 2021: 17.42 · 2022: 24.37 · 2023: 17.82 · 2024: 16.14 · 2025: 31.97 · 2026: 19.81 |
| May | 1990: 18.10 · 1991: 16.93 · 1992: 15.08 · 1993: 13.61 · 1994: 13.90 · 1995: 12.27 · 1996: 16.15 · 1997: 19.92 · 1998: 20.87 · 1999: 26.20 · 2000: 26.37 · 2001: 22.94 · 2002: 20.09 · 2003: 20.24 · 2004: 17.70 · 2005: 13.97 · 2006: 14.45 · 2007: 13.30 · 2008: 18.30 · 2009: 31.98 · 2010: 31.93 · 2011: 16.91 · 2012: 21.00 · 2013: 13.49 · 2014: 12.48 · 2015: 13.34 · 2016: 14.85 · 2017: 10.86 · 2018: 14.12 · 2019: 16.72 · 2020: 30.90 · 2021: 19.76 · 2022: 29.31 · 2023: 17.64 · 2024: 13.06 · 2025: 20.46 · 2026: 17.24 |
| Jun | 1990: 16.82 · 1991: 17.14 · 1992: 15.20 · 1993: 12.52 · 1994: 13.41 · 1995: 11.90 · 1996: 16.39 · 1997: 20.19 · 1998: 21.66 · 1999: 23.63 · 2000: 21.54 · 2001: 20.94 · 2002: 25.27 · 2003: 20.36 · 2004: 15.34 · 2005: 11.87 · 2006: 16.92 · 2007: 14.95 · 2008: 22.11 · 2009: 29.14 · 2010: 29.92 · 2011: 19.15 · 2012: 21.13 · 2013: 17.27 · 2014: 11.54 · 2015: 14.34 · 2016: 17.77 · 2017: 10.51 · 2018: 13.68 · 2019: 15.84 · 2020: 31.12 · 2021: 16.96 · 2022: 28.23 · 2023: 14.00 · 2024: 12.67 · 2025: 18.40 · 2026: 17.91 |
| Jul | 1990: 18.39 · 1991: 17.29 · 1992: 13.60 · 1993: 11.50 · 1994: 12.48 · 1995: 12.51 · 1996: 17.98 · 1997: 20.53 · 1998: 19.93 · 1999: 21.05 · 2000: 19.89 · 2001: 22.32 · 2002: 34.05 · 2003: 19.16 · 2004: 15.50 · 2005: 11.05 · 2006: 15.33 · 2007: 17.27 · 2008: 24.32 · 2009: 26.16 · 2010: 25.57 · 2011: 19.23 · 2012: 17.57 · 2013: 13.97 · 2014: 12.30 · 2015: 14.35 · 2016: 13.16 · 2017: 10.26 · 2018: 13.15 · 2019: 13.31 · 2020: 26.84 · 2021: 17.60 · 2022: 25.00 · 2023: 13.93 · 2024: 14.37 · 2025: 16.38 · 2026: 17.09 |
| Aug | 1990: 28.18 · 1991: 15.68 · 1992: 14.42 · 1993: 11.93 · 1994: 11.89 · 1995: 12.80 · 1996: 15.76 · 1997: 23.08 · 1998: 31.59 · 1999: 24.32 · 2000: 18.09 · 2001: 21.86 · 2002: 33.74 · 2003: 19.27 · 2004: 16.68 · 2005: 12.95 · 2006: 13.35 · 2007: 25.03 · 2008: 20.70 · 2009: 25.34 · 2010: 24.75 · 2011: 35.03 · 2012: 15.69 · 2013: 14.21 · 2014: 13.49 · 2015: 19.43 · 2016: 12.40 · 2017: 11.98 · 2018: 12.55 · 2019: 18.98 · 2020: 22.89 · 2021: 17.47 · 2022: 22.17 · 2023: 15.85 · 2024: 19.31 · 2025: 15.75 · 2026: 15.23 |
| Sep | 1990: 29.11 · 1991: 16.96 · 1992: 13.70 · 1993: 12.93 · 1994: 13.23 · 1995: 12.06 · 1996: 16.58 · 1997: 23.81 · 1998: 38.20 · 1999: 24.54 · 2000: 19.69 · 2001: 35.07 · 2002: 37.65 · 2003: 19.53 · 2004: 14.08 · 2005: 12.63 · 2006: 12.18 · 2007: 22.20 · 2008: 30.24 · 2009: 24.93 · 2010: 22.52 · 2011: 36.53 · 2012: 15.28 · 2013: 14.69 · 2014: 13.47 · 2015: 24.38 · 2016: 14.22 · 2017: 10.44 · 2018: 12.91 · 2019: 15.56 · 2020: 27.65 · 2021: 19.82 · 2022: 27.34 · 2023: 15.17 · 2024: 17.66 · 2025: 15.79 · 2026: 15.91 |
| Oct | 1990: 29.63 · 1991: 16.36 · 1992: 17.64 · 1993: 11.88 · 1994: 15.25 · 1995: 14.36 · 1996: 16.38 · 1997: 23.87 · 1998: 36.61 · 1999: 24.02 · 2000: 25.20 · 2001: 32.72 · 2002: 35.24 · 2003: 18.02 · 2004: 14.97 · 2005: 14.94 · 2006: 11.31 · 2007: 19.12 · 2008: 61.18 · 2009: 24.25 · 2010: 20.37 · 2011: 32.83 · 2012: 16.28 · 2013: 15.41 · 2014: 18.06 · 2015: 16.79 · 2016: 14.59 · 2017: 10.13 · 2018: 19.35 · 2019: 15.47 · 2020: 29.44 · 2021: 17.87 · 2022: 30.01 · 2023: 18.89 · 2024: 19.96 · 2025: 18.09 |
| Nov | 1990: 24.89 · 1991: 17.77 · 1992: 14.42 · 1993: 14.08 · 1994: 16.38 · 1995: 12.47 · 1996: 16.00 · 1997: 32.21 · 1998: 26.22 · 1999: 21.82 · 2000: 26.38 · 2001: 26.63 · 2002: 28.18 · 2003: 17.40 · 2004: 13.58 · 2005: 12.15 · 2006: 10.82 · 2007: 25.58 · 2008: 62.67 · 2009: 23.79 · 2010: 20.10 · 2011: 31.94 · 2012: 16.70 · 2013: 12.92 · 2014: 13.41 · 2015: 16.21 · 2016: 15.24 · 2017: 10.54 · 2018: 19.39 · 2019: 12.52 · 2020: 25.00 · 2021: 18.50 · 2022: 23.30 · 2023: 14.02 · 2024: 16.02 · 2025: 19.77 |
| Dec | 1990: 23.36 · 1991: 18.35 · 1992: 12.19 · 1993: 11.36 · 1994: 14.18 · 1995: 11.75 · 1996: 19.26 · 1997: 26.28 · 1998: 25.48 · 1999: 22.04 · 2000: 26.53 · 2001: 23.72 · 2002: 28.21 · 2003: 16.83 · 2004: 12.46 · 2005: 11.26 · 2006: 10.96 · 2007: 21.65 · 2008: 52.41 · 2009: 21.24 · 2010: 17.57 · 2011: 25.05 · 2012: 17.31 · 2013: 14.19 · 2014: 16.29 · 2015: 18.03 · 2016: 12.47 · 2017: 10.26 · 2018: 24.95 · 2019: 13.76 · 2020: 22.37 · 2021: 21.35 · 2022: 21.78 · 2023: 12.72 · 2024: 15.87 · 2025: 15.55 |
core.metric_daily vix / US · core.metric_registry
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