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Median session move by month, 2026 first half

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 2026-08-06, from ETF Premium and Discount to NAV, Explained.

as of series 6×4read in context →
Median session move by month, 2026 first half — 6 rows by 4 columns, computed from US exchange, SIP and OPRA data.
monthspy_median_move_pctefa_median_move_pcthyg_median_move_pct
2026-010.3220.3190.074
2026-020.6130.4130.074
2026-030.7610.6760.258
2026-040.3990.4170.131
2026-050.3540.2870.112
2026-060.5450.4060.063
Rows × columns
6 × 4
Period covered
to
Computed
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

Column definitions for Median session move by month, 2026 first half, derived from the stored result.
ColumnTypeRangeNotes
month date 2026-01 to 2026-06
spy_median_move_pct number 0.322 to 0.761 percent
efa_median_move_pct number 0.287 to 0.676 percent
hyg_median_move_pct number 0.063 to 0.258 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.

the exact SQL behind every number 
WITH sessions AS
(
    SELECT
        ticker,
        toDate(toTimeZone(window_start, 'America/New_York'))  AS session_date,
        argMin(toFloat64(open),  window_start)                AS px_open,
        argMax(toFloat64(close), window_start)                AS px_close
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker IN ('SPY', 'EFA', 'HYG')
      AND window_start >= '2026-01-02 00:00:00'
      AND window_start <  '2026-07-01 00:00:00'
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
    GROUP BY ticker, session_date
    HAVING px_open > 0
)
SELECT
    formatDateTime(session_date, '%Y-%m')                                            AS month,
    round(quantileExactIf(0.5)(abs(px_close / px_open - 1) * 100, ticker = 'SPY'), 3) AS spy_median_move_pct,
    round(quantileExactIf(0.5)(abs(px_close / px_open - 1) * 100, ticker = 'EFA'), 3) AS efa_median_move_pct,
    round(quantileExactIf(0.5)(abs(px_close / px_open - 1) * 100, ticker = 'HYG'), 3) AS hyg_median_move_pct
FROM sessions
GROUP BY month
HAVING countIf(ticker = 'SPY') > 0
   AND countIf(ticker = 'EFA') > 0
   AND countIf(ticker = 'HYG') > 0
ORDER BY month

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