Share of SPY regular hours volume by half hour: expiration Friday vs the Friday after

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 trades AS
(
    SELECT
        toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session,
        toTimeZone(sip_timestamp, 'America/New_York')         AS et,
        toFloat64(size)                                       AS shares,
        has(conditions, 8)                                    AS is_closing_print
    FROM global_markets.stocks_trades
    WHERE ticker = 'SPY'
      AND ((sip_timestamp >= '2026-03-20 00:00:00' AND sip_timestamp < '2026-03-21 00:00:00')
        OR (sip_timestamp >= '2026-03-27 00:00:00' AND sip_timestamp < '2026-03-28 00:00:00'))
      AND NOT hasAny(conditions, [15, 16, 38])
),
buckets AS
(
    SELECT
        session,
        if(is_closing_print, '16:00',
           formatDateTime(toStartOfInterval(et, INTERVAL 30 MINUTE), '%H:%i')) AS et_time,
        shares
    FROM trades
    WHERE is_closing_print
       OR (toHour(et) * 60 + toMinute(et)) BETWEEN 570 AND 959
),
day_totals AS
(
    SELECT
        sumIf(shares, session = '2026-03-20') AS expiry_total,
        sumIf(shares, session = '2026-03-27') AS ordinary_total
    FROM buckets
)
SELECT
    b.et_time                                                                             AS et_time,
    round(100 * sumIf(b.shares, b.session = '2026-03-20') / any(t.expiry_total), 2)      AS expiry_friday_pct,
    round(100 * sumIf(b.shares, b.session = '2026-03-27') / any(t.ordinary_total), 2)    AS ordinary_friday_pct
FROM buckets AS b
CROSS JOIN day_totals AS t
GROUP BY et_time
ORDER BY et_time