open_gap_curve
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-09-30, from asx-options-expiry-and-settlement.
| et_time | avg_gap_bps |
|---|---|
| 09:30 | 5.7 |
| 09:31 | 7.4 |
| 09:32 | 8.2 |
| 09:33 | 9.4 |
| 09:34 | 10.2 |
| 09:35 | 11.1 |
| 09:36 | 11.5 |
| 09:37 | 12.1 |
| 09:38 | 12.3 |
| 09:39 | 12.9 |
| 09:40 | 12.5 |
| 09:41 | 13.3 |
| 09:42 | 14.1 |
| 09:43 | 14.3 |
| 09:44 | 14.9 |
| 09:45 | 15.5 |
| 09:46 | 16 |
| 09:47 | 16.5 |
| 09:48 | 16.5 |
| 09:49 | 16.8 |
| 09:50 | 17.6 |
| 09:51 | 17.9 |
| 09:52 | 17.9 |
| 09:53 | 18.4 |
| 09:54 | 18.5 |
| 09:55 | 18.8 |
| 09:56 | 19.3 |
| 09:57 | 20 |
| 09:58 | 21.1 |
| 09:59 | 21.5 |
| 10:00 | 21.3 |
- Rows × columns
- 31 × 2
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
et_time |
text | 31 distinct values (09:30, 09:31, 09:32…) | |
avg_gap_bps |
number | 5.7 to 21.5 |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH session_open AS (
SELECT
toDate(toTimeZone(window_start, 'America/New_York')) AS session_day,
argMin(toFloat64(open), window_start) AS first_print
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= today() - 300
AND window_start < today() - 2
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
GROUP BY session_day
)
SELECT
formatDateTime(toTimeZone(m.window_start, 'America/New_York'), '%H:%i') AS et_time,
round(avg(abs(toFloat64(m.close) / s.first_print - 1) * 10000), 1) AS avg_gap_bps
FROM global_markets.delayed_stocks_minute_aggs AS m
INNER JOIN session_open AS s
ON toDate(toTimeZone(m.window_start, 'America/New_York')) = s.session_day
WHERE m.ticker = 'SPY'
AND m.window_start >= today() - 300
AND m.window_start < today() - 2
AND (toHour(toTimeZone(m.window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(m.window_start, 'America/New_York'))) BETWEEN 570 AND 600
AND s.first_print > 0
GROUP BY et_time
HAVING count() > 0
ORDER BY et_time
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