How the tape behaved into the final session
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 2026-09-27, from What Happens When an ETF Closes.
| wind_down_stage | median_daily_range_pct | median_dollar_volume_k |
|---|---|---|
| 121 to 250 days out | 2.49 | 70.1 |
| 61 to 120 days out | 2.12 | 72.8 |
| 31 to 60 days out | 1.76 | 82.9 |
| 11 to 30 days out | 1.76 | 89.4 |
| final 10 days | 2.53 | 112.4 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
wind_down_stage |
text | 5 distinct values | |
median_daily_range_pct |
number | 1.76 to 2.53 | percent |
median_dollar_volume_k |
number | 70.1 to 112.4 | 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 retired AS
(
SELECT
ticker,
max(date) AS last_session
FROM global_markets.stocks_daily_aggs
WHERE date >= '2018-01-01'
AND ticker NOT IN ('SPCX')
GROUP BY ticker
HAVING max(date) >= today() - 1130
AND max(date) < today() - 250
)
SELECT
multiIf(
dateDiff('day', d.date, r.last_session) <= 10, 'final 10 days',
dateDiff('day', d.date, r.last_session) <= 30, '11 to 30 days out',
dateDiff('day', d.date, r.last_session) <= 60, '31 to 60 days out',
dateDiff('day', d.date, r.last_session) <= 120, '61 to 120 days out',
'121 to 250 days out') AS wind_down_stage,
round(quantileDeterministic(0.5)(
toFloat64(d.high - d.low) / toFloat64(d.close) * 100,
cityHash64(d.ticker, d.date)), 2) AS median_daily_range_pct,
round(quantileDeterministic(0.5)(
toFloat64(d.volume) * toFloat64(d.close) / 1000,
cityHash64(d.ticker, d.date)), 1) AS median_dollar_volume_k
FROM global_markets.stocks_daily_aggs AS d
INNER JOIN retired AS r ON r.ticker = d.ticker
WHERE d.date >= today() - 1500
AND d.date > r.last_session - 250
AND d.date <= r.last_session
AND d.close > 0
GROUP BY wind_down_stage
ORDER BY min(dateDiff('day', d.date, r.last_session)) DESC
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