Closing auction share of consolidated daily volume, by day type
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 2026-10-03, from How Much Volume Trades at the Close.
| label | nyse_listed_pct | nasdaq_listed_pct |
|---|---|---|
| quiet Tuesday, Aug 11 | 19.17 | 17.39 |
| monthly opex Friday, Aug 21 | 10.35 | 12.62 |
| quarterly rebalance Friday, Sep 18 | 26.6 | 35.5 |
| ordinary Wednesday, Sep 23 | 14.52 | 21.6 |
- Rows × columns
- 4 × 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 |
|---|---|---|---|
label |
text | 4 distinct values | |
nyse_listed_pct |
number | 10.35 to 26.6 | percent |
nasdaq_listed_pct |
number | 12.62 to 35.5 | 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
auction AS
(
SELECT
toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session,
ticker,
max(size) AS auction_shares
FROM global_markets.stocks_trades
WHERE ticker IN ('KO', 'JNJ', 'XOM', 'WMT', 'AAPL', 'MSFT', 'COST', 'CSCO')
AND toDate(sip_timestamp) IN ('2026-08-11', '2026-08-21', '2026-09-18', '2026-09-23')
AND toHour(toTimeZone(sip_timestamp, 'America/New_York')) = 16
AND toMinute(toTimeZone(sip_timestamp, 'America/New_York')) = 0
GROUP BY session, ticker
),
day_volume AS
(
SELECT
date AS session,
ticker,
max(volume) AS day_shares
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('KO', 'JNJ', 'XOM', 'WMT', 'AAPL', 'MSFT', 'COST', 'CSCO')
AND date IN ('2026-08-11', '2026-08-21', '2026-09-18', '2026-09-23')
GROUP BY session, ticker
)
SELECT
multiIf(
session = '2026-08-11', 'quiet Tuesday, Aug 11',
session = '2026-08-21', 'monthly opex Friday, Aug 21',
session = '2026-09-18', 'quarterly rebalance Friday, Sep 18',
'ordinary Wednesday, Sep 23') AS label,
round(100 * sumIf(toFloat64(auction_shares), ticker IN ('KO', 'JNJ', 'XOM', 'WMT'))
/ sumIf(toFloat64(day_shares), ticker IN ('KO', 'JNJ', 'XOM', 'WMT')), 2) AS nyse_listed_pct,
round(100 * sumIf(toFloat64(auction_shares), ticker IN ('AAPL', 'MSFT', 'COST', 'CSCO'))
/ sumIf(toFloat64(day_shares), ticker IN ('AAPL', 'MSFT', 'COST', 'CSCO')), 2) AS nasdaq_listed_pct
FROM auction
INNER JOIN day_volume USING (session, ticker)
GROUP BY session
ORDER BY session
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