SQL Server MovingVOLATILITY Function

Updated 2023-11-13 21:58:14.430000

Description

Use the scalar function MovingVOLATILITY to calculate the historical volatility based upon price or valuation data from column values in an ordered resultant table, without the need for a self-join. The volatility is calculated for each value from the first value in the window to the last value in the window. If the column values are presented to the functions out of order, an error message will be generated.

The historic volatility is calculated as the sample standard deviation of the natural logarithm of the returns multiplied by the square of the scaling factor supplied to the function.

Syntax

SELECT [westclintech].[wct].[MovingVOLATILITY](
  <@Price, float,>
 ,<@Scale, float,>
 ,<@Offset, int,>
 ,<@RowNum, int,>
 ,<@Id, tinyint,>
 ,<@Exact, bit,>)

Arguments

@Price

the price passed into the function. Generally, price is the end-of-day price for the security, commodity, currency, or index for which the volatility is being calculated. @Price is an expression of type float or of a type that can be implicitly converted to float.

@Scale

the scaling factor used in the calculation. @Scale is an expression of type float or of a type that can be implicitly converted to float.

@Offset

specifies the window size. The window size (or the number of rows included in the result) is the current row plus the @Offset. Since the volatility calculation is based in returns, the window-size needs to account for the initial price; in other words, 30 days of returns requires 31 days of prices. @Offset is an expression of type int or of a type that can be implicitly converted to int.

@RowNum

the number of the row within the group for which the sum is being calculated. If @RowNum for the current row in a set is less than or equal to the previous @RowNum and @RowNum is not equal to 1, an error message will be generated. @RowNum is an expression of type int or of a type that can be implicitly converted to int.

@Id

a unique identifier for the MovingVOLATILITY calculation. @Id allows you to specify multiple moving sums within a resultant table. @Id is an expression of type tinyint or of a type that can be implicitly converted to tinyint.

@Exact

a bit value which tells the function whether or not to return a NULL value if the number of rows in the window is smaller the @Offset value. If @Exact is 'True' and the number of rows in the window is less the @Offset then a NULL is returned. @Exact is an expression of type bit or of a type that can be implicitly converted to bit.

Return Type

float

Remarks

If @Id is NULL then @Id = 0.

To calculate the running volatility from the beginning of a dataset or partition, use the RunningVOLATILITY function.

If @RowNum is equal to 1, MovingVOLATILITY is equal to NULL.

@RowNum must be in ascending order.

There may be cases where the order in which the data are returned to the function and the order in which the results are returned are different, generally due to parallelism. You can use OPTION(MAXDOP 1) or OPTION(MAXDOP 1,FORCE ORDER) to help eliminate this problem.

Examples

In this example we calculate the 30-day moving volatility.

SELECT ticker,
       tdate,
       CAST(price as money) as price,
       wct.MovingVOLATILITY(   price,                              --@Price
                               252,                                --@Scale
                               30,                                 --@Offset
                               ROW_NUMBER() OVER (ORDER BY tdate), --@RowNum
                               NULL,                               --@Id
                               'True'                              --@Exact
                           ) as VOL
FROM
(
    VALUES
        ('IBM', '2013-12-27', 185.08),
        ('IBM', '2013-12-26', 185.35),
        ('IBM', '2013-12-24', 183.22),
        ('IBM', '2013-12-23', 182.23),
        ('IBM', '2013-12-20', 180.02),
        ('IBM', '2013-12-19', 180.22),
        ('IBM', '2013-12-18', 178.7),
        ('IBM', '2013-12-17', 175.76),
        ('IBM', '2013-12-16', 177.85),
        ('IBM', '2013-12-13', 172.8),
        ('IBM', '2013-12-12', 173.37),
        ('IBM', '2013-12-11', 175.2),
        ('IBM', '2013-12-10', 177.12),
        ('IBM', '2013-12-09', 177.46),
        ('IBM', '2013-12-06', 177.67),
        ('IBM', '2013-12-05', 176.08),
        ('IBM', '2013-12-04', 175.74),
        ('IBM', '2013-12-03', 176.08),
        ('IBM', '2013-12-02', 177.48),
        ('IBM', '2013-11-29', 179.68),
        ('IBM', '2013-11-27', 178.97),
        ('IBM', '2013-11-26', 177.31),
        ('IBM', '2013-11-25', 178.94),
        ('IBM', '2013-11-22', 181.3),
        ('IBM', '2013-11-21', 184.13),
        ('IBM', '2013-11-20', 185.19),
        ('IBM', '2013-11-19', 185.25),
        ('IBM', '2013-11-18', 184.47),
        ('IBM', '2013-11-15', 183.19),
        ('IBM', '2013-11-14', 182.21),
        ('IBM', '2013-11-13', 183.55),
        ('IBM', '2013-11-12', 183.07),
        ('IBM', '2013-11-11', 182.88),
        ('IBM', '2013-11-08', 179.99),
        ('IBM', '2013-11-07', 180),
        ('IBM', '2013-11-06', 179.19),
        ('IBM', '2013-11-05', 176.9),
        ('IBM', '2013-11-04', 179.31),
        ('IBM', '2013-11-01', 178.27),
        ('IBM', '2013-10-31', 178.25),
        ('IBM', '2013-10-30', 179.19),
        ('IBM', '2013-10-29', 181.15),
        ('IBM', '2013-10-28', 176.4),
        ('IBM', '2013-10-25', 175.91),
        ('IBM', '2013-10-24', 176.85),
        ('IBM', '2013-10-23', 174.83),
        ('IBM', '2013-10-22', 174.04),
        ('IBM', '2013-10-21', 171.94),
        ('IBM', '2013-10-18', 172.85),
        ('IBM', '2013-10-17', 173.9),
        ('IBM', '2013-10-16', 185.73),
        ('IBM', '2013-10-15', 183.67),
        ('IBM', '2013-10-14', 185.97),
        ('IBM', '2013-10-11', 185.17),
        ('IBM', '2013-10-10', 183.78),
        ('IBM', '2013-10-09', 180.35),
        ('IBM', '2013-10-08', 177.77),
        ('IBM', '2013-10-07', 181.04),
        ('IBM', '2013-10-04', 183.12),
        ('IBM', '2013-10-03', 182.88),
        ('IBM', '2013-10-02', 183.97),
        ('IBM', '2013-10-01', 185.38),
        ('IBM', '2013-09-30', 184.19)
) n (ticker, tdate, price);

This produces the following result.

In this example, we calculate the 30-day moving volatility for multiple securities.

SELECT ticker,
       tdate,
       CAST(price as money) as price,
       wct.MovingVOLATILITY(   price,                                            
                 --@Price
                               252,   --@Scale
                               30,    --@Offset
                               ROW_NUMBER() OVER (PARTITION BY ticker ORDER BY 
                                         ticker, tdate), --@RowNum
                               NULL,  --@Id
                               'True' --@Exact
                           ) as VOL
FROM
(
    VALUES
        ('IBM', '2013-12-27', 185.08),
        ('IBM', '2013-12-26', 185.35),
        ('IBM', '2013-12-24', 183.22),
        ('IBM', '2013-12-23', 182.23),
        ('IBM', '2013-12-20', 180.02),
        ('IBM', '2013-12-19', 180.22),
        ('IBM', '2013-12-18', 178.7),
        ('IBM', '2013-12-17', 175.76),
        ('IBM', '2013-12-16', 177.85),
        ('IBM', '2013-12-13', 172.8),
        ('IBM', '2013-12-12', 173.37),
        ('IBM', '2013-12-11', 175.2),
        ('IBM', '2013-12-10', 177.12),
        ('IBM', '2013-12-09', 177.46),
        ('IBM', '2013-12-06', 177.67),
        ('IBM', '2013-12-05', 176.08),
        ('IBM', '2013-12-04', 175.74),
        ('IBM', '2013-12-03', 176.08),
        ('IBM', '2013-12-02', 177.48),
        ('IBM', '2013-11-29', 179.68),
        ('IBM', '2013-11-27', 178.97),
        ('IBM', '2013-11-26', 177.31),
        ('IBM', '2013-11-25', 178.94),
        ('IBM', '2013-11-22', 181.3),
        ('IBM', '2013-11-21', 184.13),
        ('IBM', '2013-11-20', 185.19),
        ('IBM', '2013-11-19', 185.25),
        ('IBM', '2013-11-18', 184.47),
        ('IBM', '2013-11-15', 183.19),
        ('IBM', '2013-11-14', 182.21),
        ('IBM', '2013-11-13', 183.55),
        ('IBM', '2013-11-12', 183.07),
        ('IBM', '2013-11-11', 182.88),
        ('IBM', '2013-11-08', 179.99),
        ('IBM', '2013-11-07', 180),
        ('IBM', '2013-11-06', 179.19),
        ('IBM', '2013-11-05', 176.9),
        ('IBM', '2013-11-04', 179.31),
        ('IBM', '2013-11-01', 178.27),
        ('IBM', '2013-10-31', 178.25),
        ('IBM', '2013-10-30', 179.19),
        ('IBM', '2013-10-29', 181.15),
        ('IBM', '2013-10-28', 176.4),
        ('IBM', '2013-10-25', 175.91),
        ('IBM', '2013-10-24', 176.85),
        ('IBM', '2013-10-23', 174.83),
        ('IBM', '2013-10-22', 174.04),
        ('IBM', '2013-10-21', 171.94),
        ('IBM', '2013-10-18', 172.85),
        ('IBM', '2013-10-17', 173.9),
        ('IBM', '2013-10-16', 185.73),
        ('IBM', '2013-10-15', 183.67),
        ('IBM', '2013-10-14', 185.97),
        ('IBM', '2013-10-11', 185.17),
        ('IBM', '2013-10-10', 183.78),
        ('IBM', '2013-10-09', 180.35),
        ('IBM', '2013-10-08', 177.77),
        ('IBM', '2013-10-07', 181.04),
        ('IBM', '2013-10-04', 183.12),
        ('IBM', '2013-10-03', 182.88),
        ('IBM', '2013-10-02', 183.97),
        ('IBM', '2013-10-01', 185.38),
        ('IBM', '2013-09-30', 184.19),
        ('FB', '2013-12-27', 55.44),
        ('FB', '2013-12-26', 57.73),
        ('FB', '2013-12-24', 57.96),
        ('FB', '2013-12-23', 57.77),
        ('FB', '2013-12-20', 55.12),
        ('FB', '2013-12-19', 55.05),
        ('FB', '2013-12-18', 55.57),
        ('FB', '2013-12-17', 54.86),
        ('FB', '2013-12-16', 53.81),
        ('FB', '2013-12-13', 53.32),
        ('FB', '2013-12-12', 51.83),
        ('FB', '2013-12-11', 49.38),
        ('FB', '2013-12-10', 50.25),
        ('FB', '2013-12-09', 48.84),
        ('FB', '2013-12-06', 47.94),
        ('FB', '2013-12-05', 48.34),
        ('FB', '2013-12-04', 48.62),
        ('FB', '2013-12-03', 46.73),
        ('FB', '2013-12-02', 47.06),
        ('FB', '2013-11-29', 47.01),
        ('FB', '2013-11-27', 46.49),
        ('FB', '2013-11-26', 45.89),
        ('FB', '2013-11-25', 44.82),
        ('FB', '2013-11-22', 46.23),
        ('FB', '2013-11-21', 46.7),
        ('FB', '2013-11-20', 46.43),
        ('FB', '2013-11-19', 46.36),
        ('FB', '2013-11-18', 45.83),
        ('FB', '2013-11-15', 49.01),
        ('FB', '2013-11-14', 48.99),
        ('FB', '2013-11-13', 48.71),
        ('FB', '2013-11-12', 46.61),
        ('FB', '2013-11-11', 46.2),
        ('FB', '2013-11-08', 47.53),
        ('FB', '2013-11-07', 47.56),
        ('FB', '2013-11-06', 49.12),
        ('FB', '2013-11-05', 50.11),
        ('FB', '2013-11-04', 48.22),
        ('FB', '2013-11-01', 49.75),
        ('FB', '2013-10-31', 50.21),
        ('FB', '2013-10-30', 49.01),
        ('FB', '2013-10-29', 49.4),
        ('FB', '2013-10-28', 50.23),
        ('FB', '2013-10-25', 51.95),
        ('FB', '2013-10-24', 52.45),
        ('FB', '2013-10-23', 51.9),
        ('FB', '2013-10-22', 52.68),
        ('FB', '2013-10-21', 53.85),
        ('FB', '2013-10-18', 54.22),
        ('FB', '2013-10-17', 52.21),
        ('FB', '2013-10-16', 51.14),
        ('FB', '2013-10-15', 49.5),
        ('FB', '2013-10-14', 49.51),
        ('FB', '2013-10-11', 49.11),
        ('FB', '2013-10-10', 49.05),
        ('FB', '2013-10-09', 46.77),
        ('FB', '2013-10-08', 47.14),
        ('FB', '2013-10-07', 50.52),
        ('FB', '2013-10-04', 51.04),
        ('FB', '2013-10-03', 49.18),
        ('FB', '2013-10-02', 50.28),
        ('FB', '2013-10-01', 50.42),
        ('FB', '2013-09-30', 50.23),
        ('ORCL', '2013-12-27', 37.98),
        ('ORCL', '2013-12-26', 37.69),
        ('ORCL', '2013-12-24', 37.32),
        ('ORCL', '2013-12-23', 36.93),
        ('ORCL', '2013-12-20', 36.37),
        ('ORCL', '2013-12-19', 36.6),
        ('ORCL', '2013-12-18', 34.6),
        ('ORCL', '2013-12-17', 33.63),
        ('ORCL', '2013-12-16', 33.54),
        ('ORCL', '2013-12-13', 33.23),
        ('ORCL', '2013-12-12', 33.6),
        ('ORCL', '2013-12-11', 34.56),
        ('ORCL', '2013-12-10', 34.8),
        ('ORCL', '2013-12-09', 35.6),
        ('ORCL', '2013-12-06', 35.48),
        ('ORCL', '2013-12-05', 34.85),
        ('ORCL', '2013-12-04', 35.07),
        ('ORCL', '2013-12-03', 35.07),
        ('ORCL', '2013-12-02', 35.08),
        ('ORCL', '2013-11-29', 35.29),
        ('ORCL', '2013-11-27', 35.29),
        ('ORCL', '2013-11-26', 34.93),
        ('ORCL', '2013-11-25', 34.78),
        ('ORCL', '2013-11-22', 34.83),
        ('ORCL', '2013-11-21', 34.94),
        ('ORCL', '2013-11-20', 34.75),
        ('ORCL', '2013-11-19', 34.76),
        ('ORCL', '2013-11-18', 34.93),
        ('ORCL', '2013-11-15', 34.92),
        ('ORCL', '2013-11-14', 34.38),
        ('ORCL', '2013-11-13', 35),
        ('ORCL', '2013-11-12', 34.7),
        ('ORCL', '2013-11-11', 34.37),
        ('ORCL', '2013-11-08', 34.35),
        ('ORCL', '2013-11-07', 34),
        ('ORCL', '2013-11-06', 34.07),
        ('ORCL', '2013-11-05', 33.5),
        ('ORCL', '2013-11-04', 33.71),
        ('ORCL', '2013-11-01', 33.53),
        ('ORCL', '2013-10-31', 33.5),
        ('ORCL', '2013-10-30', 33.53),
        ('ORCL', '2013-10-29', 33.71),
        ('ORCL', '2013-10-28', 33.14),
        ('ORCL', '2013-10-25', 33.15),
        ('ORCL', '2013-10-24', 33.07),
        ('ORCL', '2013-10-23', 32.7),
        ('ORCL', '2013-10-22', 32.9),
        ('ORCL', '2013-10-21', 32.95),
        ('ORCL', '2013-10-18', 32.9),
        ('ORCL', '2013-10-17', 32.87),
        ('ORCL', '2013-10-16', 33.02),
        ('ORCL', '2013-10-15', 32.75),
        ('ORCL', '2013-10-14', 33.28),
        ('ORCL', '2013-10-11', 33.26),
        ('ORCL', '2013-10-10', 32.99),
        ('ORCL', '2013-10-09', 32.19),
        ('ORCL', '2013-10-08', 32.37),
        ('ORCL', '2013-10-07', 32.84),
        ('ORCL', '2013-10-04', 33.21),
        ('ORCL', '2013-10-03', 33.12),
        ('ORCL', '2013-10-02', 33.56),
        ('ORCL', '2013-10-01', 33.38),
        ('ORCL', '2013-09-30', 33.05),
        ('MSFT', '2013-12-27', 37.29),
        ('MSFT', '2013-12-26', 37.44),
        ('MSFT', '2013-12-24', 37.08),
        ('MSFT', '2013-12-23', 36.62),
        ('MSFT', '2013-12-20', 36.8),
        ('MSFT', '2013-12-19', 36.25),
        ('MSFT', '2013-12-18', 36.58),
        ('MSFT', '2013-12-17', 36.52),
        ('MSFT', '2013-12-16', 36.89),
        ('MSFT', '2013-12-13', 36.69),
        ('MSFT', '2013-12-12', 37.22),
        ('MSFT', '2013-12-11', 37.61),
        ('MSFT', '2013-12-10', 38.11),
        ('MSFT', '2013-12-09', 38.71),
        ('MSFT', '2013-12-06', 38.36),
        ('MSFT', '2013-12-05', 38),
        ('MSFT', '2013-12-04', 38.94),
        ('MSFT', '2013-12-03', 38.31),
        ('MSFT', '2013-12-02', 38.45),
        ('MSFT', '2013-11-29', 38.13),
        ('MSFT', '2013-11-27', 37.6),
        ('MSFT', '2013-11-26', 37.35),
        ('MSFT', '2013-11-25', 37.64),
        ('MSFT', '2013-11-22', 37.57),
        ('MSFT', '2013-11-21', 37.4),
        ('MSFT', '2013-11-20', 37.08),
        ('MSFT', '2013-11-19', 36.74),
        ('MSFT', '2013-11-18', 36.92),
        ('MSFT', '2013-11-15', 37.56),
        ('MSFT', '2013-11-14', 37.73),
        ('MSFT', '2013-11-13', 37.87),
        ('MSFT', '2013-11-12', 37.08),
        ('MSFT', '2013-11-11', 37.31),
        ('MSFT', '2013-11-08', 37.5),
        ('MSFT', '2013-11-07', 37.22),
        ('MSFT', '2013-11-06', 37.89),
        ('MSFT', '2013-11-05', 36.36),
        ('MSFT', '2013-11-04', 35.67),
        ('MSFT', '2013-11-01', 35.26),
        ('MSFT', '2013-10-31', 35.14),
        ('MSFT', '2013-10-30', 35.27),
        ('MSFT', '2013-10-29', 35.25),
        ('MSFT', '2013-10-28', 35.3),
        ('MSFT', '2013-10-25', 35.46),
        ('MSFT', '2013-10-24', 33.47),
        ('MSFT', '2013-10-23', 33.51),
        ('MSFT', '2013-10-22', 34.32),
        ('MSFT', '2013-10-21', 34.73),
        ('MSFT', '2013-10-18', 34.7),
        ('MSFT', '2013-10-17', 34.66),
        ('MSFT', '2013-10-16', 34.38),
        ('MSFT', '2013-10-15', 34.23),
        ('MSFT', '2013-10-14', 34.19),
        ('MSFT', '2013-10-11', 33.87),
        ('MSFT', '2013-10-10', 33.51),
        ('MSFT', '2013-10-09', 32.82),
        ('MSFT', '2013-10-08', 32.76),
        ('MSFT', '2013-10-07', 33.05),
        ('MSFT', '2013-10-04', 33.62),
        ('MSFT', '2013-10-03', 33.61),
        ('MSFT', '2013-10-02', 33.66),
        ('MSFT', '2013-10-01', 33.33),
        ('MSFT', '2013-09-30', 33.03),
        ('AAPL', '2013-12-27', 560.09),
        ('AAPL', '2013-12-26', 563.9),
        ('AAPL', '2013-12-24', 567.67),
        ('AAPL', '2013-12-23', 570.09),
        ('AAPL', '2013-12-20', 549.02),
        ('AAPL', '2013-12-19', 544.46),
        ('AAPL', '2013-12-18', 550.77),
        ('AAPL', '2013-12-17', 554.99),
        ('AAPL', '2013-12-16', 557.5),
        ('AAPL', '2013-12-13', 554.43),
        ('AAPL', '2013-12-12', 560.54),
        ('AAPL', '2013-12-11', 561.36),
        ('AAPL', '2013-12-10', 565.55),
        ('AAPL', '2013-12-09', 566.43),
        ('AAPL', '2013-12-06', 560.02),
        ('AAPL', '2013-12-05', 567.9),
        ('AAPL', '2013-12-04', 565),
        ('AAPL', '2013-12-03', 566.32),
        ('AAPL', '2013-12-02', 551.23),
        ('AAPL', '2013-11-29', 556.07),
        ('AAPL', '2013-11-27', 545.96),
        ('AAPL', '2013-11-26', 533.4),
        ('AAPL', '2013-11-25', 523.74),
        ('AAPL', '2013-11-22', 519.8),
        ('AAPL', '2013-11-21', 521.14),
        ('AAPL', '2013-11-20', 515),
        ('AAPL', '2013-11-19', 519.55),
        ('AAPL', '2013-11-18', 518.63),
        ('AAPL', '2013-11-15', 524.99),
        ('AAPL', '2013-11-14', 528.16),
        ('AAPL', '2013-11-13', 520.63),
        ('AAPL', '2013-11-12', 520.01),
        ('AAPL', '2013-11-11', 519.05),
        ('AAPL', '2013-11-08', 520.56),
        ('AAPL', '2013-11-07', 512.49),
        ('AAPL', '2013-11-06', 520.92),
        ('AAPL', '2013-11-05', 522.4),
        ('AAPL', '2013-11-04', 523.69),
        ('AAPL', '2013-11-01', 517.01),
        ('AAPL', '2013-10-31', 519.67),
        ('AAPL', '2013-10-30', 521.85),
        ('AAPL', '2013-10-29', 513.68),
        ('AAPL', '2013-10-28', 526.8),
        ('AAPL', '2013-10-25', 522.91),
        ('AAPL', '2013-10-24', 528.82),
        ('AAPL', '2013-10-23', 521.91),
        ('AAPL', '2013-10-22', 516.85),
        ('AAPL', '2013-10-21', 518.33),
        ('AAPL', '2013-10-18', 505.94),
        ('AAPL', '2013-10-17', 501.57),
        ('AAPL', '2013-10-16', 498.2),
        ('AAPL', '2013-10-15', 495.79),
        ('AAPL', '2013-10-14', 493.16),
        ('AAPL', '2013-10-11', 489.95),
        ('AAPL', '2013-10-10', 486.8),
        ('AAPL', '2013-10-09', 483.77),
        ('AAPL', '2013-10-08', 478.15),
        ('AAPL', '2013-10-07', 484.92),
        ('AAPL', '2013-10-04', 480.23),
        ('AAPL', '2013-10-03', 480.6),
        ('AAPL', '2013-10-02', 486.72),
        ('AAPL', '2013-10-01', 485.13),
        ('AAPL', '2013-09-30', 473.98)
) n (ticker, tdate, price);

This produces the following result.

In this example, we use the same data as in the previous example, except that the data are no longer in 3^rd normal form. The closing prices for each of the 5 tickers are now stored in columns with each each date containing a 5 columns, one for each ticker. We can use the @Id variable to calculate the 5 moving volatilities in a single select. Additionally, we will only return the non-null values.

SELECT *
FROM
(
    SELECT tdate,
           wct.MovingVOLATILITY(AAPL, 252, 30, ROW_NUMBER() OVER (ORDER BY tdate)
                     , 0, 'True') as AAPL,
           wct.MovingVOLATILITY(FB, 252, 30, ROW_NUMBER() OVER (ORDER BY tdate), 
                     1, 'True') as FB,
           wct.MovingVOLATILITY(IBM, 252, 30, ROW_NUMBER() OVER (ORDER BY tdate),
                     2, 'True') as IBM,
           wct.MovingVOLATILITY(MSFT, 252, 30, ROW_NUMBER() OVER (ORDER BY tdate)
                     , 3, 'True') as MSFT,
           wct.MovingVOLATILITY(ORCL, 252, 30, ROW_NUMBER() OVER (ORDER BY tdate)
                     , 4, 'True') as ORCL
    FROM
    (
        VALUES
            ('2013-09-30', 473.98, 50.23, 184.19, 33.03, 33.05),
            ('2013-10-01', 485.13, 50.42, 185.38, 33.33, 33.38),
            ('2013-10-02', 486.72, 50.28, 183.97, 33.66, 33.56),
            ('2013-10-03', 480.6, 49.18, 182.88, 33.61, 33.12),
            ('2013-10-04', 480.23, 51.04, 183.12, 33.62, 33.21),
            ('2013-10-07', 484.92, 50.52, 181.04, 33.05, 32.84),
            ('2013-10-08', 478.15, 47.14, 177.77, 32.76, 32.37),
            ('2013-10-09', 483.77, 46.77, 180.35, 32.82, 32.19),
            ('2013-10-10', 486.8, 49.05, 183.78, 33.51, 32.99),
            ('2013-10-11', 489.95, 49.11, 185.17, 33.87, 33.26),
            ('2013-10-14', 493.16, 49.51, 185.97, 34.19, 33.28),
            ('2013-10-15', 495.79, 49.5, 183.67, 34.23, 32.75),
            ('2013-10-16', 498.2, 51.14, 185.73, 34.38, 33.02),
            ('2013-10-17', 501.57, 52.21, 173.9, 34.66, 32.87),
            ('2013-10-18', 505.94, 54.22, 172.85, 34.7, 32.9),
            ('2013-10-21', 518.33, 53.85, 171.94, 34.73, 32.95),
            ('2013-10-22', 516.85, 52.68, 174.04, 34.32, 32.9),
            ('2013-10-23', 521.91, 51.9, 174.83, 33.51, 32.7),
            ('2013-10-24', 528.82, 52.45, 176.85, 33.47, 33.07),
            ('2013-10-25', 522.91, 51.95, 175.91, 35.46, 33.15),
            ('2013-10-28', 526.8, 50.23, 176.4, 35.3, 33.14),
            ('2013-10-29', 513.68, 49.4, 181.15, 35.25, 33.71),
            ('2013-10-30', 521.85, 49.01, 179.19, 35.27, 33.53),
            ('2013-10-31', 519.67, 50.21, 178.25, 35.14, 33.5),
            ('2013-11-01', 517.01, 49.75, 178.27, 35.26, 33.53),
            ('2013-11-04', 523.69, 48.22, 179.31, 35.67, 33.71),
            ('2013-11-05', 522.4, 50.11, 176.9, 36.36, 33.5),
            ('2013-11-06', 520.92, 49.12, 179.19, 37.89, 34.07),
            ('2013-11-07', 512.49, 47.56, 180, 37.22, 34),
            ('2013-11-08', 520.56, 47.53, 179.99, 37.5, 34.35),
            ('2013-11-11', 519.05, 46.2, 182.88, 37.31, 34.37),
            ('2013-11-12', 520.01, 46.61, 183.07, 37.08, 34.7),
            ('2013-11-13', 520.63, 48.71, 183.55, 37.87, 35),
            ('2013-11-14', 528.16, 48.99, 182.21, 37.73, 34.38),
            ('2013-11-15', 524.99, 49.01, 183.19, 37.56, 34.92),
            ('2013-11-18', 518.63, 45.83, 184.47, 36.92, 34.93),
            ('2013-11-19', 519.55, 46.36, 185.25, 36.74, 34.76),
            ('2013-11-20', 515, 46.43, 185.19, 37.08, 34.75),
            ('2013-11-21', 521.14, 46.7, 184.13, 37.4, 34.94),
            ('2013-11-22', 519.8, 46.23, 181.3, 37.57, 34.83),
            ('2013-11-25', 523.74, 44.82, 178.94, 37.64, 34.78),
            ('2013-11-26', 533.4, 45.89, 177.31, 37.35, 34.93),
            ('2013-11-27', 545.96, 46.49, 178.97, 37.6, 35.29),
            ('2013-11-29', 556.07, 47.01, 179.68, 38.13, 35.29),
            ('2013-12-02', 551.23, 47.06, 177.48, 38.45, 35.08),
            ('2013-12-03', 566.32, 46.73, 176.08, 38.31, 35.07),
            ('2013-12-04', 565, 48.62, 175.74, 38.94, 35.07),
            ('2013-12-05', 567.9, 48.34, 176.08, 38, 34.85),
            ('2013-12-06', 560.02, 47.94, 177.67, 38.36, 35.48),
            ('2013-12-09', 566.43, 48.84, 177.46, 38.71, 35.6),
            ('2013-12-10', 565.55, 50.25, 177.12, 38.11, 34.8),
            ('2013-12-11', 561.36, 49.38, 175.2, 37.61, 34.56),
            ('2013-12-12', 560.54, 51.83, 173.37, 37.22, 33.6),
            ('2013-12-13', 554.43, 53.32, 172.8, 36.69, 33.23),
            ('2013-12-16', 557.5, 53.81, 177.85, 36.89, 33.54),
            ('2013-12-17', 554.99, 54.86, 175.76, 36.52, 33.63),
            ('2013-12-18', 550.77, 55.57, 178.7, 36.58, 34.6),
            ('2013-12-19', 544.46, 55.05, 180.22, 36.25, 36.6),
            ('2013-12-20', 549.02, 55.12, 180.02, 36.8, 36.37),
            ('2013-12-23', 570.09, 57.77, 182.23, 36.62, 36.93),
            ('2013-12-24', 567.67, 57.96, 183.22, 37.08, 37.32),
            ('2013-12-26', 563.9, 57.73, 185.35, 37.44, 37.69),
            ('2013-12-27', 560.09, 55.44, 185.08, 37.29, 37.98)
    ) n (tdate, AAPL, FB, IBM, MSFT, ORCL)
) p
WHERE AAPL IS NOT NULL
      AND FB IS NOT NULL
      AND IBM IS NOT NULL
      AND MSFT IS NOT NULL
      AND ORCL IS NOT NULL;

This produces the following result.