{"slug":"the-rule-of-16-in-options","qid":"weekday_sigma","label":"Does a Monday move like three calendar days? SPY by weekday","post_title":"The Rule of 16 in Options, and When It Breaks","post_url":"/blog/the-rule-of-16-in-options#q-weekday_sigma","columns":["label","sigma_pct","vs_all_days_ratio","sessions"],"rows":[{"label":"Mon","sigma_pct":0.806,"vs_all_days_ratio":0.85,"sessions":143},{"label":"Tue","sigma_pct":0.785,"vs_all_days_ratio":0.82,"sessions":157},{"label":"Wed","sigma_pct":1.18,"vs_all_days_ratio":1.24,"sessions":154},{"label":"Thu","sigma_pct":0.988,"vs_all_days_ratio":1.04,"sessions":149},{"label":"Fri","sigma_pct":1.001,"vs_all_days_ratio":1.05,"sessions":150}],"shape":"ranking","sql":"SELECT\n    label,\n    round(sigma * 100, 3)                AS sigma_pct,\n    round(sigma / avg(sigma) OVER (), 2) AS vs_all_days_ratio,\n    sessions\nFROM\n(\n    SELECT\n        formatDateTime(session_date, '%a') AS label,\n        min(toDayOfWeek(session_date))     AS dow,\n        stddevPop(daily_return)            AS sigma,\n        count()                            AS sessions\n    FROM\n    (\n        SELECT\n            session_date,\n            close_px / lagInFrame(close_px) OVER (ORDER BY session_date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) - 1 AS daily_return\n        FROM\n        (\n            SELECT\n                date                  AS session_date,\n                toFloat64(max(close)) AS close_px\n            FROM global_markets.stocks_daily_aggs\n            WHERE ticker = 'SPY'\n              AND date >= today() - 1100\n              AND date <  today() - 1\n            GROUP BY session_date\n        )\n    )\n    WHERE isFinite(daily_return)\n    GROUP BY label\n)\nORDER BY dow","computed_at":"2026-08-22T04:23:08.448592+00:00","elapsed":0.034729044}