Average move from the 11:30 a.m. ET European close to the 4:00 p.m. close, Q2 2026
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.
| ticker | avg_afternoon_move_pct | largest_afternoon_move_pct |
|---|---|---|
| EWG | 0.428 | 2.212 |
| VGK | 0.405 | 2.159 |
| EWJ | 0.388 | 2.31 |
| EFA | 0.381 | 2.146 |
| SPY | 0.366 | 1.465 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
ticker |
text | 5 distinct values (EFA, EWG, EWJ…) | |
avg_afternoon_move_pct |
number | 0.366 to 0.428 | percent |
largest_afternoon_move_pct |
number | 1.465 to 2.31 | 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 afternoon_bars AS
(
SELECT
ticker,
toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
toFloat64(close) AS px,
window_start
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('EWJ', 'EWG', 'VGK', 'EFA', 'SPY')
AND window_start >= toDateTime('2026-04-01 00:00:00', 'UTC')
AND window_start < toDateTime('2026-07-01 00:00:00', 'UTC')
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) >= 690
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
),
per_session AS
(
SELECT
ticker,
session_date,
abs(argMax(px, window_start) / argMin(px, window_start) - 1) * 100 AS afternoon_move_pct
FROM afternoon_bars
GROUP BY ticker, session_date
HAVING count() > 30
)
SELECT
ticker,
round(avg(afternoon_move_pct), 3) AS avg_afternoon_move_pct,
round(max(afternoon_move_pct), 3) AS largest_afternoon_move_pct
FROM per_session
GROUP BY ticker
ORDER BY avg_afternoon_move_pct DESC