{"slug":"market-with-protection-orders","qid":"move_distribution","label":"How big is a typical one minute move in SPY? September 2026 regular session","post_title":"Market Orders With Protection on CME Globex","post_url":"/blog/market-with-protection-orders#q-move_distribution","columns":["move_bucket","minute_count","share_of_minutes_pct"],"rows":[{"move_bucket":"under 2 bps","minute_count":5948,"share_of_minutes_pct":72.63},{"move_bucket":"2 to 5 bps","minute_count":1915,"share_of_minutes_pct":23.38},{"move_bucket":"5 to 10 bps","minute_count":292,"share_of_minutes_pct":3.57},{"move_bucket":"10 to 20 bps","minute_count":34,"share_of_minutes_pct":0.42},{"move_bucket":"20 to 50 bps","minute_count":1,"share_of_minutes_pct":0.01}],"shape":"ranking","sql":"WITH minute_moves AS\n(\n    SELECT abs(toFloat64(close) - toFloat64(open)) / toFloat64(open) * 10000 AS move_bps\n    FROM global_markets.delayed_stocks_minute_aggs\n    WHERE ticker = 'SPY'\n      AND window_start >= toDateTime('2026-09-01 04:00:00', 'UTC')\n      AND window_start <  toDateTime('2026-10-01 04:00:00', 'UTC')\n      AND open > 0\n      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60\n           + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570\n      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60\n           + toMinute(toTimeZone(window_start, 'America/New_York'))) < 960\n)\nSELECT\n    multiIf(move_bps < 2,  'under 2 bps',\n            move_bps < 5,  '2 to 5 bps',\n            move_bps < 10, '5 to 10 bps',\n            move_bps < 20, '10 to 20 bps',\n            move_bps < 50, '20 to 50 bps',\n                           '50 bps or more')                       AS move_bucket,\n    count()                                                        AS minute_count,\n    round(100 * count() / (SELECT count() FROM minute_moves), 2)   AS share_of_minutes_pct\nFROM minute_moves\nGROUP BY\n    move_bucket,\n    multiIf(move_bps < 2, 1, move_bps < 5, 2, move_bps < 10, 3, move_bps < 20, 4, move_bps < 50, 5, 6) AS bucket_order\nORDER BY bucket_order","computed_at":"2026-10-08T15:17:06.831933+00:00","elapsed":0.004440409}