Calendar days from each weekday's session to the next SPY session

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 2026-08-18, from Does Theta Decay Over the Weekend?.

Rows × columns

5 × 3

Computed

2026-08-18

Completeness

No missing values

Source

US exchange, SIP and OPRA market data

Licence

Strasmore terms · free, no signup

Formats

JSON · CSV · the SQL below

What each column holds

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 2026-08-18, and the query below is what returned them.

WITH sessions AS
(
    SELECT date
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= '2025-08-01'
      AND date <  '2026-08-01'
    GROUP BY date
),
stepped AS
(
    SELECT
        toDayOfWeek(date) AS dow,
        dateDiff('day', date, leadInFrame(date) OVER (ORDER BY date ASC ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING)) AS gap_days
    FROM sessions
)
SELECT
    ['Monday', 'Tuesday', 'Wednesday', 'Thursday', 'Friday'][dow] AS bucket,
    round(avg(gap_days), 2)                                       AS avg_days_to_next_session,
    max(gap_days)                                                 AS max_days_to_next_session
FROM stepped
WHERE gap_days BETWEEN 1 AND 10
GROUP BY dow
ORDER BY dow ASC