{"slug":"ai-daily-market-research-reports","qid":"report_clock","label":"SPY: average overnight repricing vs average regular-session move, monthly","post_title":"AI Daily Market Research Reports: What Breaks","post_url":"/blog/ai-daily-market-research-reports#q-report_clock","columns":["month","overnight_move_pct","session_move_pct"],"rows":[{"month":"2024-08","overnight_move_pct":0.618,"session_move_pct":0.634},{"month":"2024-09","overnight_move_pct":0.334,"session_move_pct":0.443},{"month":"2024-10","overnight_move_pct":0.301,"session_move_pct":0.423},{"month":"2024-11","overnight_move_pct":0.326,"session_move_pct":0.368},{"month":"2024-12","overnight_move_pct":0.316,"session_move_pct":0.53},{"month":"2025-01","overnight_move_pct":0.546,"session_move_pct":0.536},{"month":"2025-02","overnight_move_pct":0.318,"session_move_pct":0.667},{"month":"2025-03","overnight_move_pct":0.57,"session_move_pct":0.876},{"month":"2025-04","overnight_move_pct":1.305,"session_move_pct":1.898},{"month":"2025-05","overnight_move_pct":0.7,"session_move_pct":0.415},{"month":"2025-06","overnight_move_pct":0.32,"session_move_pct":0.414},{"month":"2025-07","overnight_move_pct":0.226,"session_move_pct":0.325},{"month":"2025-08","overnight_move_pct":0.255,"session_move_pct":0.442},{"month":"2025-09","overnight_move_pct":0.263,"session_move_pct":0.304},{"month":"2025-10","overnight_move_pct":0.382,"session_move_pct":0.512},{"month":"2025-11","overnight_move_pct":0.476,"session_move_pct":0.686},{"month":"2025-12","overnight_move_pct":0.237,"session_move_pct":0.384},{"month":"2026-01","overnight_move_pct":0.336,"session_move_pct":0.324},{"month":"2026-02","overnight_move_pct":0.313,"session_move_pct":0.672},{"month":"2026-03","overnight_move_pct":0.724,"session_move_pct":0.725},{"month":"2026-04","overnight_move_pct":0.45,"session_move_pct":0.466},{"month":"2026-05","overnight_move_pct":0.316,"session_move_pct":0.338},{"month":"2026-06","overnight_move_pct":0.513,"session_move_pct":0.619},{"month":"2026-07","overnight_move_pct":0.42,"session_move_pct":0.371}],"shape":"series","sql":"WITH bars AS (\n    SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS d,\n           argMin(open, window_start) AS session_open,\n           argMax(close, window_start) AS session_close\n    FROM global_markets.delayed_stocks_minute_aggs\n    WHERE ticker = 'SPY'\n      AND toDate(toTimeZone(window_start, 'America/New_York')) >= toDate('2024-08-01')\n      AND toDate(toTimeZone(window_start, 'America/New_York')) <= toDate('2026-07-31')\n      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60\n           + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959\n    GROUP BY d\n),\nlinked AS (\n    SELECT d,\n           session_open,\n           session_close,\n           lagInFrame(session_close) OVER (ORDER BY d ASC ROWS BETWEEN 1 PRECEDING AND 1 PRECEDING) AS prior_close\n    FROM bars\n)\nSELECT formatDateTime(toStartOfMonth(d), '%Y-%m') AS month,\n       round(avg(abs(session_open / prior_close - 1)) * 100, 3) AS overnight_move_pct,\n       round(avg(abs(session_close / session_open - 1)) * 100, 3) AS session_move_pct\nFROM linked\nWHERE prior_close > 0\nGROUP BY month\nORDER BY month ASC","computed_at":"2026-08-01T08:50:18.880996+00:00","elapsed":0.003421371}