{"slug":"does-theta-decay-over-the-weekend","qid":"session_gaps","label":"Calendar days from each weekday's session to the next SPY session","post_title":"Does Theta Decay Over the Weekend?","post_url":"/blog/does-theta-decay-over-the-weekend#q-session_gaps","columns":["bucket","avg_days_to_next_session","max_days_to_next_session"],"rows":[{"bucket":"Monday","avg_days_to_next_session":1,"max_days_to_next_session":1},{"bucket":"Tuesday","avg_days_to_next_session":1,"max_days_to_next_session":1},{"bucket":"Wednesday","avg_days_to_next_session":1.06,"max_days_to_next_session":2},{"bucket":"Thursday","avg_days_to_next_session":1.18,"max_days_to_next_session":4},{"bucket":"Friday","avg_days_to_next_session":3.08,"max_days_to_next_session":4}],"shape":"series","sql":"WITH sessions AS\n(\n    SELECT date\n    FROM global_markets.stocks_daily_aggs\n    WHERE ticker = 'SPY'\n      AND date >= '2025-08-01'\n      AND date <  '2026-08-01'\n    GROUP BY date\n),\nstepped AS\n(\n    SELECT\n        toDayOfWeek(date) AS dow,\n        dateDiff('day', date, leadInFrame(date) OVER (ORDER BY date ASC ROWS BETWEEN CURRENT ROW AND 1 FOLLOWING)) AS gap_days\n    FROM sessions\n)\nSELECT\n    ['Monday', 'Tuesday', 'Wednesday', 'Thursday', 'Friday'][dow] AS bucket,\n    round(avg(gap_days), 2)                                       AS avg_days_to_next_session,\n    max(gap_days)                                                 AS max_days_to_next_session\nFROM stepped\nWHERE gap_days BETWEEN 1 AND 10\nGROUP BY dow\nORDER BY dow ASC","computed_at":"2026-08-18T14:58:29.311476+00:00","elapsed":0.004034975}