Average absolute open to close move on SPY Fridays, expiration vs ordinary, by year
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 Quadruple Witching vs Triple Witching.
| year | expiry_friday_move_pct | other_friday_move_pct | expiry_session_count |
|---|---|---|---|
| 2016 | 0.22 | 0.49 | 4 |
| 2017 | 0.24 | 0.2 | 4 |
| 2018 | 0.78 | 0.61 | 4 |
| 2019 | 0.27 | 0.45 | 4 |
| 2020 | 2.33 | 0.7 | 4 |
| 2021 | 0.44 | 0.51 | 4 |
| 2022 | 0.61 | 1.18 | 4 |
| 2023 | 0.63 | 0.61 | 4 |
| 2024 | 0.44 | 0.45 | 4 |
| 2025 | 0.58 | 0.71 | 4 |
| 2026 | 0.63 | 0.39 | 2 |
- Rows × columns
- 11 × 4
- 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 |
|---|---|---|---|
year |
text | 11 distinct values (2016, 2017, 2018…) | |
expiry_friday_move_pct |
number | 0.22 to 2.33 | percent |
other_friday_move_pct |
number | 0.2 to 1.18 | percent |
expiry_session_count |
number | 2 to 4 | count |
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 fridays AS
(
SELECT
toYear(date) AS y,
abs(100 * (toFloat64(close) - toFloat64(open)) / toFloat64(open)) AS abs_move_pct,
(toMonth(date) IN (3, 6, 9, 12) AND toDayOfMonth(date) BETWEEN 15 AND 21) AS is_expiry
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2016-01-01'
AND date < today()
AND toDayOfWeek(date) = 5
AND toFloat64(open) > 0
)
SELECT
toString(y) AS year,
round(avgIf(abs_move_pct, is_expiry = 1), 2) AS expiry_friday_move_pct,
round(avgIf(abs_move_pct, is_expiry = 0), 2) AS other_friday_move_pct,
countIf(is_expiry = 1) AS expiry_session_count
FROM fridays
GROUP BY y
HAVING countIf(is_expiry = 1) >= 2
AND countIf(is_expiry = 0) >= 2
ORDER BY y
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