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Distance from the 10:00 a.m. ET price to the close, SPY, by month

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 How Mutual Fund NAV Is Calculated: Example.

as of series 12×4read in context →
Distance from the 10:00 a.m. ET price to the close, SPY, by month — 12 rows by 4 columns, computed from US exchange, SIP and OPRA data.
monthmonth_labelavg_move_pctlargest_move_pct
2025-08Aug 20250.320.9
2025-09Sep 20250.250.64
2025-10Oct 20250.482.98
2025-11Nov 20250.663.34
2025-12Dec 20250.341.11
2026-01Jan 20260.240.59
2026-02Feb 20260.471.62
2026-03Mar 20260.682.11
2026-04Apr 20260.440.96
2026-05May 20260.310.73
2026-06Jun 20260.591.5
2026-07Jul 20260.361.09
Rows × columns
12 × 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 Distance from the 10:00 a.m. ET price to the close, SPY, by month, derived from the stored result.
ColumnTypeRangeNotes
month date 2025-08 to 2026-07
month_label text 12 distinct values (Apr 2026, Aug 2025, Dec 2025…)
avg_move_pct number 0.24 to 0.68 percent
largest_move_pct number 0.59 to 3.34 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 session_marks AS
(
    SELECT
        toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
        argMinIf(toFloat64(close), window_start,
                 (toHour(toTimeZone(window_start, 'America/New_York')) * 60
                  + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 600) AS price_at_10am,
        argMax(toFloat64(close), window_start)                                      AS price_at_close,
        countIf((toHour(toTimeZone(window_start, 'America/New_York')) * 60
                 + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 600)  AS bars_after_10am
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND window_start >= toDateTime('2025-08-01 00:00:00', 'UTC')
      AND window_start <  toDateTime('2026-08-01 00:00:00', 'UTC')
      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 session_date
    HAVING bars_after_10am > 30
)
SELECT
    formatDateTime(session_date, '%Y-%m')                       AS month,
    formatDateTime(session_date, '%b %Y')                       AS month_label,
    round(avg(abs(price_at_close / price_at_10am - 1) * 100), 2) AS avg_move_pct,
    round(max(abs(price_at_close / price_at_10am - 1) * 100), 2) AS largest_move_pct
FROM session_marks
GROUP BY month, month_label
ORDER BY month

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