How far volume falls from the open to the 12:30 half hour, five liquid names
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 2026-09-28, from TWAP vs VWAP vs POV Orders Explained.
| ticker | opening_share_pct | lunch_share_pct | closing_share_pct | open_to_lunch_ratio | pov_lunch_fill_k_shares |
|---|---|---|---|---|---|
| MSFT | 14.9 | 4.4 | 29.5 | 3.4 | 145 |
| KO | 11.8 | 3.6 | 39.2 | 3.3 | 56 |
| NVDA | 15.1 | 4.7 | 24.5 | 3.2 | 586 |
| AAPL | 13 | 4.4 | 32.5 | 3 | 210 |
| SPY | 11 | 4.7 | 24.4 | 2.3 | 197 |
- Rows × columns
- 5 × 6
- 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 |
|---|---|---|---|
ticker |
text | 5 distinct values (AAPL, KO, MSFT…) | |
opening_share_pct |
number | 11 to 15.1 | percent |
lunch_share_pct |
number | 3.6 to 4.7 | percent |
closing_share_pct |
number | 24.4 to 39.2 | percent |
open_to_lunch_ratio |
number | 2.3 to 3.4 | US dollars |
pov_lunch_fill_k_shares |
number | 56 to 586 | count |
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 bars AS
(
SELECT
ticker,
toDate(toTimeZone(window_start, 'America/New_York')) AS et_date,
toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York')) AS minute_of_day,
toFloat64(volume) AS shares
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO')
AND window_start >= toDateTime('2026-06-01 00:00:00', 'UTC')
AND window_start < toDateTime('2026-09-01 00:00:00', 'UTC')
UNION ALL
SELECT
ticker,
toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS et_date,
959 AS minute_of_day,
toFloat64(maxIf(size, has(conditions, 8))) AS shares
FROM global_markets.stocks_trades
WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO')
AND sip_timestamp >= toDateTime('2026-06-01 00:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-09-01 00:00:00', 'UTC')
AND toHour(sip_timestamp, 'America/New_York') IN (13, 16)
AND toMinute(sip_timestamp, 'America/New_York') < 10
GROUP BY ticker, et_date
HAVING countIf(has(conditions, 8)) > 0
)
SELECT
ticker,
round(100 * sumIf(shares, minute_of_day < 600) / sum(shares), 1) AS opening_share_pct,
round(100 * sumIf(shares, minute_of_day >= 750 AND minute_of_day < 780) / sum(shares), 1) AS lunch_share_pct,
round(100 * sumIf(shares, minute_of_day >= 930) / sum(shares), 1) AS closing_share_pct,
round(sumIf(shares, minute_of_day < 600)
/ sumIf(shares, minute_of_day >= 750 AND minute_of_day < 780), 1) AS open_to_lunch_ratio,
toUInt32(round(0.10 * sumIf(shares, minute_of_day >= 750 AND minute_of_day < 780)
/ countDistinct(et_date) / 1e3)) AS pov_lunch_fill_k_shares
FROM bars
WHERE minute_of_day >= 570
AND minute_of_day < 960
GROUP BY ticker
HAVING sumIf(shares, minute_of_day >= 750 AND minute_of_day < 780) > 0
ORDER BY open_to_lunch_ratio DESC
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