SPY volume on quarterly expiration Fridays, against the average ordinary Friday

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 Quadruple Witching vs Triple Witching.

Rows × columns

13 × 4

Period covered

2023-03-17 to 2026-03-20

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.

WITH fridays AS
(
    SELECT
        date,
        toFloat64(volume) AS vol,
        (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 >= '2023-01-01'
      AND date <  today()
      AND toDayOfWeek(date) = 5
),
ordinary AS
(
    SELECT avg(vol) AS avg_ordinary_friday
    FROM fridays
    WHERE is_expiry = 0
)
SELECT
    toString(f.date)                         AS session_date,
    formatDateTime(f.date, '%b %Y')          AS session_label,
    round(f.vol / 1e6, 1)                    AS spy_volume_millions,
    round(f.vol / o.avg_ordinary_friday, 2)  AS vs_ordinary_friday_ratio
FROM fridays AS f
CROSS JOIN ordinary AS o
WHERE f.is_expiry = 1
ORDER BY f.date