SPY: opening and closing window share of session volume, by month

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 MOC and MOO Order Cutoff Times: NYSE & Nasdaq.

Rows × columns

25 × 3

Period covered

2024-08 to 2026-08

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.

SELECT
    formatDateTime(month_start, '%Y-%m')                                 AS month,
    round(100 * sumIf(volume, et_minute_of_day >= 955) / sum(volume), 2) AS close_window_pct,
    round(100 * sumIf(volume, et_minute_of_day <  575) / sum(volume), 2) AS open_window_pct
FROM
(
    SELECT
        toStartOfMonth(toTimeZone(window_start, 'America/New_York'))     AS month_start,
        toHour(toTimeZone(window_start, 'America/New_York')) * 60
            + toMinute(toTimeZone(window_start, 'America/New_York'))     AS et_minute_of_day,
        volume
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND window_start >= toStartOfMonth(today() - 730)
      AND window_start <  today() - 2
)
WHERE et_minute_of_day >= 570 AND et_minute_of_day <= 960
GROUP BY month_start
ORDER BY month_start