How far SPY travels between month end and the third-week release window
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 2026-09-20, from FINRA Margin Debt Statistics, Explained.
| move_bucket | months_count | share_pct |
|---|---|---|
| 0 to 1% | 52 | 21.1 |
| 1 to 2% | 54 | 21.9 |
| 2 to 3% | 45 | 18.2 |
| 3 to 5% | 52 | 21.1 |
| 5 to 8% | 29 | 11.7 |
| 8% or more | 15 | 6.1 |
- Rows × columns
- 6 × 3
- 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 |
|---|---|---|---|
move_bucket |
text | 6 distinct values (0 to 1%, 1 to 2%, 2 to 3%…) | |
months_count |
number | 15 to 54 | count |
share_pct |
number | 6.1 to 21.9 | 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 daily AS
(
SELECT
toDate(toTimeZone(window_start, 'America/New_York')) AS d,
argMax(close, window_start) AS px
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= toDateTime('2006-01-01 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 d
),
reference_month AS
(
SELECT
toStartOfMonth(d) AS m,
max(d) AS as_of,
argMax(px, d) AS as_of_close
FROM daily
GROUP BY m
),
release AS
(
SELECT
m,
as_of,
as_of_close,
addDays(toStartOfMonth(addMonths(m, 1)), 19) AS release_day
FROM reference_month
),
gaps AS
(
SELECT
r.m AS m,
abs(round(100 * (toFloat64(argMax(d.px, d.d))
/ toFloat64(any(r.as_of_close)) - 1), 2)) AS abs_move_pct
FROM release AS r
CROSS JOIN daily AS d
WHERE d.d > r.as_of
AND d.d <= r.release_day
AND r.release_day < today()
GROUP BY r.m
)
SELECT
multiIf(abs_move_pct < 1, '0 to 1%',
abs_move_pct < 2, '1 to 2%',
abs_move_pct < 3, '2 to 3%',
abs_move_pct < 5, '3 to 5%',
abs_move_pct < 8, '5 to 8%',
'8% or more') AS move_bucket,
count() AS months_count,
round(100 * count() / (SELECT count() FROM gaps), 1) AS share_pct
FROM gaps
GROUP BY move_bucket
ORDER BY min(abs_move_pct)