Most SPX trading days are small. Across 497 real daily candles pulled directly from this account’s own tastytrade data feed, 80.1% of sessions closed within 50 points of the open, and only 3.8% moved more than 100 points either way. That part matches what most traders already assume.
The part that doesn’t get said as often: the direction of an ordinary day and the direction of a rare, large-move day are not the same thing. Across the full sample, SPX closed up slightly more than it closed down, 267 days versus 230. But narrow that down to the 7 largest-move sessions in the whole sample, moves over 151 points, and 6 of those 7 closed lower. Normal days are close to a coin flip. The tail is not, and it points down. For anyone sizing a short strangle, where the loss on a big down day and the loss on a big up day are not actually symmetric risks to plan around, that asymmetry is the number that matters.
Sample size
497 real days
Complete SPX sessions, pulled from a live tastytrade feed
Ordinary days (0-50 pts)
80.1%
398 of 497 sessions
Big-move days (151+ pts)
6 of 7 closed down
The rare tail skews sharply lower
How big is a typical SPX day, really?
| Range (points) | Days | % of days |
|---|---|---|
| 0-50 | 398 | 80.1% |
| 51-100 | 80 | 16.1% |
| 101-150 | 12 | 2.4% |
| 151+ | 7 | 1.4% |
Four out of five sessions in this sample stayed inside a 50-point band. Add the next bucket and 96.2% of all 497 days moved 100 points or less. Triple- digit days happen, but they’re the exception, not the baseline a strangle should be sized around by default.
Now split by direction
| Range (points) | Days | Closed above open | Closed below open |
|---|---|---|---|
| 0-50 | 398 | 218 | 180 |
| 51-100 | 80 | 41 | 39 |
| 101-150 | 12 | 7 | 5 |
| 151+ | 7 | 1 | 6 |
This is the table that actually changes how the first one should be read. Inside the ordinary 0-50 point bucket, the direction is close to balanced, 218 up against 180 down, a mild lean bullish but nothing dramatic. The 51-100 and 101-150 buckets are close to a coin flip too, 41-39 and 7-5. Then the 151+ bucket breaks that pattern completely: 6 of the 7 largest moves in the entire sample closed down. The sample is small at that extreme by definition, since only 7 days out of 497 qualify, but the skew is consistent with something every strangle trader already half-knows and rarely sees quantified this directly: the market grinds up slowly and falls fast. The short call side of a strangle earns its premium on ordinary, balanced days. The short put side is what’s actually exposed on the rare day that matters.
Why this matters for a real strangle, not just as trivia
This account has run /ES short strangles as a core strategy for months, and the sizing decisions behind those positions were never really about the 80% of ordinary days. They were about planning for the other 20%, and especially the roughly 1.4% that fall in this sample’s largest bucket. The six-week /ESU6 saga that closed this account out for a real, if modest, -$106.88 and the 2-lot /ESZ6 strangle running now are both live examples of a position built with that downside skew in mind, not just a symmetric “the market could go either way” guess. How this account actually sizes positions goes into the mechanics of that in more detail; this page exists to put a real number behind the specific assumption that decision leans on.
Where this data came from
This isn’t a stat pulled from someone else’s blog post or a generic “SPX volatility” explainer. It’s 497 real daily candles, fetched directly from the same tastytrade account and API connection this account trades through, with open-to-close point movement calculated and bucketed exactly as shown above. That’s the same real connection behind every trade in this journal, not a separate research tool. If you want to see what that connection actually looks like day to day, that’s tastytrade.
One honest limit on this data: it’s a snapshot, not an evergreen constant. It reflects the 497 most recent complete SPX sessions as of the publish date at the top of this page. Markets keep trading, so this exact distribution will drift over time, and this page is meant to be refreshed periodically rather than quietly left to go stale the way a citation of someone else’s old stat often does.
Frequently asked questions
How often does SPX move more than 100 points in a day?
Rarely. Across this 497-day sample, only 19 sessions (about 3.8%) closed more than 100 points away from the open in either direction. The overwhelming majority of days, 80.1%, stayed inside a 50-point range.
Does SPX close up or down more often on a normal day?
Slightly up. Across the full sample, 267 days closed above the open versus 230 below, a modest bullish skew of about 54% to 46%. Inside the ordinary 0-50 point bucket specifically, the split is close to even, 218 up versus 180 down.
Do the biggest SPX moves skew up or down?
Down, and by a lot. In the rare 151+ point bucket, 6 of the 7 sessions closed lower. The direction of a typical day and the direction of a tail-risk day are not the same distribution, which is the actual point of pulling this data.
Is this snapshot going to stay accurate?
Not indefinitely, and it isn't meant to. This is a point-in-time analysis of the 497 most recent complete SPX sessions as of the publish date above, not a permanent law of the market. The distribution will shift as new sessions accumulate, and this page will get refreshed rather than left to quietly go stale.