Where an average session's share volume lands on the clock, September 1 to 15, 2026
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 2026-09-22, from Do Mutual Funds Trade in the Primary Market?.
| et_time | avg_shares_millions |
|---|---|
| 04:00 | 0.07 |
| 04:15 | 0.01 |
| 04:30 | 0.01 |
| 04:45 | 0.01 |
| 05:00 | 0.01 |
| 05:15 | 0.01 |
| 05:30 | 0.01 |
| 05:45 | 0.01 |
| 06:00 | 0.01 |
| 06:15 | 0.01 |
| 06:30 | 0.01 |
| 06:45 | 0.02 |
| 07:00 | 0.05 |
| 07:15 | 0.04 |
| 07:30 | 0.04 |
| 07:45 | 0.04 |
| 08:00 | 0.06 |
| 08:15 | 0.09 |
| 08:30 | 0.24 |
| 08:45 | 0.16 |
| 09:00 | 0.13 |
| 09:15 | 0.14 |
| 09:30 | 2.3 |
| 09:45 | 1.71 |
| 10:00 | 1.53 |
| 10:15 | 1.37 |
| 10:30 | 1.05 |
| 10:45 | 1.21 |
| 11:00 | 1.17 |
| 11:15 | 1.1 |
| 11:30 | 1.07 |
| 11:45 | 0.83 |
| 12:00 | 0.86 |
| 12:15 | 0.72 |
| 12:30 | 0.77 |
| 12:45 | 0.7 |
| 13:00 | 0.76 |
| 13:15 | 0.56 |
| 13:30 | 0.65 |
| 13:45 | 0.57 |
| 14:00 | 0.84 |
| 14:15 | 0.77 |
| 14:30 | 1.37 |
| 14:45 | 1.48 |
| 15:00 | 1.07 |
| 15:15 | 1.24 |
| 15:30 | 1.56 |
| 15:45 | 5.2 |
| 16:00 | 3.27 |
| 16:15 | 0.91 |
| 16:30 | 0.09 |
| 16:45 | 0.15 |
| 17:00 | 0.15 |
| 17:15 | 0.1 |
| 17:30 | 0.16 |
| 17:45 | 0.02 |
| 18:00 | 0.03 |
| 18:15 | 0.01 |
| 18:30 | 0.01 |
| 18:45 | 0.01 |
| 19:00 | 0.01 |
| 19:15 | 0.01 |
| 19:30 | 0.01 |
| 19:45 | 0.01 |
- Rows × columns
- 64 × 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 | 64 distinct values (04:00, 04:15, 04:30…) | |
avg_shares_millions |
number | 0.01 to 5.2 | count |
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.
SELECT
et_time,
round(avg(bucket_shares) / 1e6, 2) AS avg_shares_millions
FROM
(
SELECT
toDate(toTimeZone(window_start, 'America/New_York')) AS session_day,
formatDateTime(toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 15 minute), '%H:%i') AS et_time,
sum(toFloat64(volume)) AS bucket_shares
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= toDateTime('2026-09-01 08:00:00')
AND window_start < toDateTime('2026-09-16 00:00:00')
GROUP BY session_day, et_time
)
GROUP BY et_time
ORDER BY et_time
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