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.
| month | spy_median_move_pct | efa_median_move_pct | hyg_median_move_pct |
|---|---|---|---|
| 2026-01 | 0.322 | 0.319 | 0.074 |
| 2026-02 | 0.613 | 0.413 | 0.074 |
| 2026-03 | 0.761 | 0.676 | 0.258 |
| 2026-04 | 0.399 | 0.417 | 0.131 |
| 2026-05 | 0.354 | 0.287 | 0.112 |
| 2026-06 | 0.545 | 0.406 | 0.063 |
- Rows × columns
- 6 × 4
- 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 |
|---|---|---|---|
month |
text | 6 distinct values (2026-01, 2026-02, 2026-03…) | |
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.
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 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