SPY move from Tuesday close to Friday close, the age of a COT snapshot

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 2026-08-22, from How to Read the COT Report: Columns Explained.

Rows × columns

11 × 4

Computed

2026-08-22

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

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 2026-08-22, and the query below is what returned them.

WITH spy AS
(
    SELECT
        date,
        toFloat64(close) AS close_px
    FROM global_markets.stocks_daily_aggs
    WHERE ticker = 'SPY'
      AND date >= '2016-01-01'
      AND date <  '2026-07-01'
)
SELECT
    toString(toYear(tue.date)) AS year,
    count()                    AS session_pair_count,
    round(quantileDeterministic(0.5)(abs(fri.close_px / tue.close_px - 1) * 100,
          toUInt64(toUnixTimestamp(tue.date))), 2) AS median_gap_move_pct,
    round(quantileDeterministic(0.9)(abs(fri.close_px / tue.close_px - 1) * 100,
          toUInt64(toUnixTimestamp(tue.date))), 2) AS p90_gap_move_pct
FROM spy AS tue
INNER JOIN spy AS fri ON fri.date = tue.date + 3
WHERE toDayOfWeek(tue.date) = 2
GROUP BY year
ORDER BY year