STRASMORE/EXPLORE 3,293 QUERIES

SPY volume in each Santa Claus window session as a share of its year's average daily volume

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 2026-11-01, from Santa Claus Rally: Hit Rate and Returns by Year.

as of ranking 7×4read in context →
SPY volume in each Santa Claus window session as a share of its year's average daily volume — 7 rows by 4 columns, computed from US exchange, SIP and OPRA data.
bucketavg_volume_vs_year_pctmedian_volume_vs_year_pctyears_measured
Dec -552.339.223
Dec -457.852.323
Dec -372.165.323
Dec -266.356.823
Dec -190.488.123
Jan +1110.592.223
Jan +295.190.323
Rows × columns
7 × 4
Computed
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

Column definitions for SPY volume in each Santa Claus window session as a share of its year's average daily volume, derived from the stored result.
ColumnTypeRangeNotes
bucket text 7 distinct values (Dec -1, Dec -2, Dec -3…)
avg_volume_vs_year_pct number 52.3 to 110.5 percent
median_volume_vs_year_pct number 39.2 to 92.2 percent
years_measured number every row is 23

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
    spy_days AS
    (
        SELECT
            date,
            toYear(date)                                   AS y,
            toMonth(date)                                  AS m,
            argMax(toFloat64(volume), _ingest_time)        AS volume
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
        GROUP BY date
    ),
    yearly AS
    (
        SELECT
            y,
            avg(volume)                                    AS avg_volume
        FROM spy_days
        GROUP BY y
    ),
    ranked AS
    (
        SELECT
            date,
            y,
            m,
            volume,
            row_number() OVER (PARTITION BY y, m ORDER BY date DESC) AS sessions_from_end,
            row_number() OVER (PARTITION BY y, m ORDER BY date ASC)  AS sessions_from_start
        FROM spy_days
        WHERE m IN (12, 1)
    ),
    slots AS
    (
        SELECT
            if(r.m = 12, concat('Dec -', toString(r.sessions_from_end)),
                         concat('Jan +', toString(r.sessions_from_start)))  AS bucket,
            if(r.m = 12, toInt32(0) - toInt32(r.sessions_from_end),
                         toInt32(r.sessions_from_start))                    AS slot_order,
            r.y                                                             AS y,
            r.volume / yr.avg_volume * 100                                  AS volume_vs_year_pct
        FROM ranked AS r
        INNER JOIN yearly AS yr ON yr.y = r.y
        WHERE (r.m = 12 AND r.sessions_from_end <= 5)
           OR (r.m = 1 AND r.sessions_from_start <= 2)
    )
SELECT
    bucket,
    round(avg(volume_vs_year_pct), 1)                                       AS avg_volume_vs_year_pct,
    round(quantileDeterministic(0.5)(volume_vs_year_pct, toUInt32(y)), 1)   AS median_volume_vs_year_pct,
    count()                                                                 AS years_measured
FROM slots
GROUP BY bucket, slot_order
ORDER BY slot_order
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