SPY share volume around the turn of the year, averaged since 2011
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 2026-08-11, from The January Effect: Does It Still Work?.
| label | avg_volume_millions | relative_activity |
|---|---|---|
| Dec 21 | 126.2 | 1.24 |
| Dec 22 | 85.8 | 0.85 |
| Dec 23 | 71.5 | 0.7 |
| Dec 24 | 50.8 | 0.5 |
| Dec 26 | 73.5 | 0.72 |
| Dec 27 | 80.6 | 0.79 |
| Dec 28 | 83.2 | 0.82 |
| Dec 29 | 80.1 | 0.79 |
| Dec 30 | 67.2 | 0.66 |
| Dec 31 | 105.3 | 1.04 |
| Jan 02 | 107.7 | 1.06 |
| Jan 03 | 104.4 | 1.03 |
| Jan 04 | 114.5 | 1.13 |
| Jan 05 | 105.2 | 1.04 |
| Jan 06 | 107 | 1.05 |
| Jan 07 | 102.4 | 1.01 |
| Jan 08 | 96.6 | 0.95 |
| Jan 09 | 82.6 | 0.81 |
| Jan 10 | 90 | 0.89 |
- Rows × columns
- 19 × 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 |
|---|---|---|---|
label |
text | 19 distinct values (Dec 21, Dec 22, Dec 23…) | |
avg_volume_millions |
number | 50.8 to 126.2 | count |
relative_activity |
number | 0.5 to 1.24 |
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.
the exact SQL behind every number
SELECT
concat(
if(toMonth(date) = 12, 'Dec ', 'Jan '),
if(toDayOfMonth(date) < 10, concat('0', toString(toDayOfMonth(date))), toString(toDayOfMonth(date)))
) AS label,
round(avg(toFloat64(volume)) / 1e6, 1) AS avg_volume_millions,
round(avg(toFloat64(volume)) / (
SELECT avg(toFloat64(volume))
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2011-01-01'
AND date < '2026-08-01'
), 2) AS relative_activity
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2011-01-01'
AND date < '2026-08-01'
AND ((toMonth(date) = 12 AND toDayOfMonth(date) >= 21)
OR (toMonth(date) = 1 AND toDayOfMonth(date) <= 10))
GROUP BY toMonth(date), toDayOfMonth(date)
ORDER BY if(toMonth(date) = 12, 0, 1), toDayOfMonth(date)
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