SPY: share of sessions opening a given distance from the prior close
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 2026-10-06, from Buy Stop vs Sell Stop Orders: How Each Fires.
| threshold | gap_down_share_pct | gap_up_share_pct |
|---|---|---|
| 0.25% | 23.56 | 32.07 |
| 0.5% | 13.19 | 15.81 |
| 1% | 4.89 | 4.3 |
| 2% | 1 | 0.81 |
| 3% | 0.44 | 0.33 |
- Rows × columns
- 5 × 3
- 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 |
|---|---|---|---|
threshold |
text | 5 distinct values (0.25%, 0.5%, 1%…) | |
gap_down_share_pct |
number | 0.44 to 23.56 | percent |
gap_up_share_pct |
number | 0.33 to 32.07 | percent |
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 px AS
(
SELECT
date,
toFloat64(open) AS open_px,
toFloat64(lagInFrame(close, 1) OVER (ORDER BY date)) AS prev_close
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2016-01-01'
AND date < '2026-10-01'
),
gaps AS
(
SELECT 100 * (open_px / prev_close - 1) AS gap_pct
FROM px
WHERE prev_close > 0
),
levels AS
(
SELECT arrayJoin([0.25, 0.5, 1.0, 2.0, 3.0]) AS threshold_pct
)
SELECT
concat(toString(threshold_pct), '%') AS threshold,
round(100 * countIf(gap_pct <= -threshold_pct) / count(), 2) AS gap_down_share_pct,
round(100 * countIf(gap_pct >= threshold_pct) / count(), 2) AS gap_up_share_pct
FROM levels
CROSS JOIN gaps
GROUP BY threshold_pct, threshold
ORDER BY threshold_pct
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