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Typical and tail one-minute moves in the S&P 500 ETF, by half hour of the 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 2026-10-09, from Futures Price Limits and Price Banding.

as of series 13×3read in context →
Typical and tail one-minute moves in the S&P 500 ETF, by half hour of the session — 13 rows by 3 columns, computed from US exchange, SIP and OPRA data.
et_timemedian_minute_move_pctp99_minute_move_pct
09:300.0250.171
10:000.0220.158
10:300.0190.138
11:000.0160.123
11:300.0150.113
12:000.0140.116
12:300.0140.114
13:000.0140.102
13:300.0130.121
14:000.0130.114
14:300.0130.113
15:000.0130.114
15:300.0170.137
Rows × columns
13 × 3
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 Typical and tail one-minute moves in the S&P 500 ETF, by half hour of the session, derived from the stored result.
ColumnTypeRangeNotes
et_time text 13 distinct values (09:30, 10:00, 10:30…)
median_minute_move_pct number 0.013 to 0.025 percent
p99_minute_move_pct number 0.102 to 0.171 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.

SELECT
    formatDateTime(toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
    round(100 * quantileDeterministic(0.5)(abs(toFloat64(close) / toFloat64(open) - 1),
                                           toUInt64(toUnixTimestamp(window_start))), 3) AS median_minute_move_pct,
    round(100 * quantileDeterministic(0.99)(abs(toFloat64(close) / toFloat64(open) - 1),
                                            toUInt64(toUnixTimestamp(window_start))), 3) AS p99_minute_move_pct
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
  AND window_start >= '2024-01-01 00:00:00'
  AND window_start <  '2026-10-01 00:00:00'
  AND volume > 0
  AND open > 0
  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 et_time
ORDER BY et_time ASC
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