Open to close moves on monthly expiration Fridays, SPY since 2015
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 2026-09-26, from Mini Index Options Explained: XSP, XND, MRUT.
| move_bucket | expiration_fridays | bucket_high_pct |
|---|---|---|
| under 0.25% | 45 | 0.25 |
| 0.25% to 0.50% | 41 | 0.5 |
| 0.50% to 1% | 32 | 0.96 |
| 1% to 2% | 16 | 1.93 |
| over 2% | 3 | 5.66 |
- 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 (0.25% to 0.50%, 0.50% to 1%, 1% to 2%…) | |
expiration_fridays |
number | 3 to 45 | |
bucket_high_pct |
number | 0.25 to 5.66 | 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 expiry_sessions AS
(
SELECT
date,
abs(100 * (toFloat64(close) / toFloat64(open) - 1)) AS move_pct
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2015-01-01'
AND date < today()
AND toDayOfWeek(date) = 5
AND toDayOfMonth(date) BETWEEN 15 AND 21
AND toFloat64(open) > 0
)
SELECT
multiIf(
move_pct < 0.25, 'under 0.25%',
move_pct < 0.50, '0.25% to 0.50%',
move_pct < 1.00, '0.50% to 1%',
move_pct < 2.00, '1% to 2%',
'over 2%') AS move_bucket,
count() AS expiration_fridays,
round(max(move_pct), 2) AS bucket_high_pct
FROM expiry_sessions
GROUP BY move_bucket
ORDER BY min(move_pct)
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