How far SPY sat from its own closing print, by time of day
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 2026-10-04, from Mutual Fund Frequent Trading Limits Explained.
| et_time | median_gap_pct | p90_gap_pct |
|---|---|---|
| 09:30 | 0.33 | 0.947 |
| 10:00 | 0.292 | 0.874 |
| 10:30 | 0.271 | 0.785 |
| 11:00 | 0.231 | 0.77 |
| 11:30 | 0.217 | 0.713 |
| 12:00 | 0.189 | 0.639 |
| 12:30 | 0.174 | 0.594 |
| 13:00 | 0.163 | 0.545 |
| 13:30 | 0.14 | 0.525 |
| 14:00 | 0.126 | 0.457 |
| 14:30 | 0.115 | 0.392 |
| 15:00 | 0.1 | 0.325 |
| 15:30 | 0.063 | 0.205 |
- Rows × columns
- 13 × 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 |
|---|---|---|---|
et_time |
text | 13 distinct values (09:30, 10:00, 10:30…) | |
median_gap_pct |
number | 0.063 to 0.33 | percent |
p90_gap_pct |
number | 0.205 to 0.947 | 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 bars AS
(
SELECT
toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
toTimeZone(window_start, 'America/New_York') AS et_ts,
toFloat64(close) AS px
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= today() - 370
AND window_start < today() - 2
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
),
session_close AS
(
SELECT
session_date,
argMax(px, et_ts) AS close_px
FROM bars
GROUP BY session_date
)
SELECT
formatDateTime(toStartOfInterval(b.et_ts, INTERVAL 30 minute), '%H:%i') AS et_time,
round(quantileDeterministic(0.5)(abs(b.px / c.close_px - 1) * 100, toUInt32(toUnixTimestamp(b.et_ts))), 3) AS median_gap_pct,
round(quantileDeterministic(0.9)(abs(b.px / c.close_px - 1) * 100, toUInt32(toUnixTimestamp(b.et_ts))), 3) AS p90_gap_pct
FROM bars AS b
INNER JOIN session_close AS c ON c.session_date = b.session_date
GROUP BY et_time
ORDER BY et_time
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