Share of SPY's session volume by half hour, June 2026 average
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.
| et_time | share_of_volume_pct |
|---|---|
| 09:30 | 11.24 |
| 10:00 | 7.73 |
| 10:30 | 6.28 |
| 11:00 | 5.7 |
| 11:30 | 6.72 |
| 12:00 | 5 |
| 12:30 | 4.64 |
| 13:00 | 5.02 |
| 13:30 | 5.08 |
| 14:00 | 5.92 |
| 14:30 | 6.31 |
| 15:00 | 8.45 |
| 15:30 | 21.92 |
- Rows × columns
- 13 × 2
- 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 |
|---|---|---|---|
et_time |
text | 13 distinct values (09:30, 10:00, 10:30…) | |
share_of_volume_pct |
number | 4.64 to 21.92 | 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 minute_bars AS
(
SELECT
toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
formatDateTime(
toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 30 MINUTE),
'%H:%i') AS et_time,
toFloat64(volume) AS shares
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= toDateTime('2026-06-01 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'))) >= 570
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
),
bucket_totals AS
(
SELECT session_date, et_time, sum(shares) AS bucket_shares
FROM minute_bars
GROUP BY session_date, et_time
),
session_totals AS
(
SELECT session_date, sum(bucket_shares) AS session_shares
FROM bucket_totals
GROUP BY session_date
)
SELECT
b.et_time AS et_time,
round(avg(b.bucket_shares / s.session_shares) * 100, 2) AS share_of_volume_pct
FROM bucket_totals AS b
INNER JOIN session_totals AS s ON s.session_date = b.session_date
GROUP BY b.et_time
ORDER BY b.et_time