How big is a typical one minute move in SPY? September 2026 regular session
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 2026-10-08, from Market Orders With Protection on CME Globex.
| move_bucket | minute_count | share_of_minutes_pct |
|---|---|---|
| under 2 bps | 5948 | 72.63 |
| 2 to 5 bps | 1915 | 23.38 |
| 5 to 10 bps | 292 | 3.57 |
| 10 to 20 bps | 34 | 0.42 |
| 20 to 50 bps | 1 | 0.01 |
- 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 |
|---|---|---|---|
move_bucket |
text | 5 distinct values (10 to 20 bps, 2 to 5 bps, 20 to 50 bps…) | |
minute_count |
number | 1 to 5,948 | count |
share_of_minutes_pct |
number | 0.01 to 72.63 | 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_moves AS
(
SELECT abs(toFloat64(close) - toFloat64(open)) / toFloat64(open) * 10000 AS move_bps
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= toDateTime('2026-09-01 04:00:00', 'UTC')
AND window_start < toDateTime('2026-10-01 04:00:00', 'UTC')
AND open > 0
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
)
SELECT
multiIf(move_bps < 2, 'under 2 bps',
move_bps < 5, '2 to 5 bps',
move_bps < 10, '5 to 10 bps',
move_bps < 20, '10 to 20 bps',
move_bps < 50, '20 to 50 bps',
'50 bps or more') AS move_bucket,
count() AS minute_count,
round(100 * count() / (SELECT count() FROM minute_moves), 2) AS share_of_minutes_pct
FROM minute_moves
GROUP BY
move_bucket,
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
ORDER BY bucket_order
Work with this data in your AI assistant
Opens ready to query, with this page's data. Free, no account.