{"slug":"leveraged-etf-rebalancing-and-the-close","qid":"reset_day_trace","label":"reset_day_trace","post_title":"leveraged-etf-rebalancing-and-the-close","post_url":"/blog/leveraged-etf-rebalancing-and-the-close#q-reset_day_trace","columns":["et_time","big_move_shares_m","typical_shares_m"],"rows":[{"et_time":"15:30","big_move_shares_m":0.39,"typical_shares_m":0.13},{"et_time":"15:31","big_move_shares_m":0.53,"typical_shares_m":0.11},{"et_time":"15:32","big_move_shares_m":0.45,"typical_shares_m":0.1},{"et_time":"15:33","big_move_shares_m":0.68,"typical_shares_m":0.1},{"et_time":"15:34","big_move_shares_m":0.42,"typical_shares_m":0.09},{"et_time":"15:35","big_move_shares_m":0.41,"typical_shares_m":0.12},{"et_time":"15:36","big_move_shares_m":0.21,"typical_shares_m":0.11},{"et_time":"15:37","big_move_shares_m":0.97,"typical_shares_m":0.12},{"et_time":"15:38","big_move_shares_m":0.3,"typical_shares_m":0.1},{"et_time":"15:39","big_move_shares_m":0.34,"typical_shares_m":0.1},{"et_time":"15:40","big_move_shares_m":0.16,"typical_shares_m":0.12},{"et_time":"15:41","big_move_shares_m":0.4,"typical_shares_m":0.12},{"et_time":"15:42","big_move_shares_m":0.27,"typical_shares_m":0.11},{"et_time":"15:43","big_move_shares_m":0.16,"typical_shares_m":0.12},{"et_time":"15:44","big_move_shares_m":0.3,"typical_shares_m":0.11},{"et_time":"15:45","big_move_shares_m":0.49,"typical_shares_m":0.14},{"et_time":"15:46","big_move_shares_m":0.22,"typical_shares_m":0.13},{"et_time":"15:47","big_move_shares_m":0.71,"typical_shares_m":0.14},{"et_time":"15:48","big_move_shares_m":0.38,"typical_shares_m":0.14},{"et_time":"15:49","big_move_shares_m":0.33,"typical_shares_m":0.15},{"et_time":"15:50","big_move_shares_m":0.86,"typical_shares_m":0.3},{"et_time":"15:51","big_move_shares_m":0.5,"typical_shares_m":0.21},{"et_time":"15:52","big_move_shares_m":0.72,"typical_shares_m":0.19},{"et_time":"15:53","big_move_shares_m":0.43,"typical_shares_m":0.21},{"et_time":"15:54","big_move_shares_m":0.66,"typical_shares_m":0.31},{"et_time":"15:55","big_move_shares_m":0.77,"typical_shares_m":0.34},{"et_time":"15:56","big_move_shares_m":0.72,"typical_shares_m":0.24},{"et_time":"15:57","big_move_shares_m":0.81,"typical_shares_m":0.28},{"et_time":"15:58","big_move_shares_m":0.97,"typical_shares_m":0.37},{"et_time":"15:59","big_move_shares_m":2.72,"typical_shares_m":1},{"et_time":"16:00","big_move_shares_m":0.45,"typical_shares_m":0.16}],"shape":"series","sql":"WITH\n(\n    SELECT date\n    FROM\n    (\n        SELECT\n            date,\n            abs(close_px / lagInFrame(close_px)\n                OVER (ORDER BY date ASC ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) - 1) AS abs_move\n        FROM\n        (\n            SELECT\n                date,\n                max(toFloat64(close)) AS close_px\n            FROM global_markets.stocks_daily_aggs\n            WHERE ticker = 'QQQ'\n              AND date >= '2024-12-16'\n              AND date <= '2025-12-31'\n            GROUP BY date\n        )\n    )\n    WHERE date >= '2025-01-02'\n    ORDER BY abs_move DESC\n    LIMIT 1\n) AS reset_date\nSELECT\n    formatDateTime(toTimeZone(window_start, 'America/New_York'), '%H:%i') AS et_time,\n    round(sumIf(volume,\n                toDate(toTimeZone(window_start, 'America/New_York')) = reset_date) / 1e6, 2) AS big_move_shares_m,\n    round(avg(volume) / 1e6, 2)                                                              AS typical_shares_m\nFROM global_markets.delayed_stocks_minute_aggs\nWHERE ticker = 'QQQ'\n  AND window_start >= '2025-01-01 00:00:00'\n  AND window_start <  '2026-01-01 00:00:00'\n  AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60\n       + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 930 AND 960\nGROUP BY et_time\nORDER BY et_time","computed_at":"2026-09-22T14:46:46.895129+00:00","elapsed":0.005669074}