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Share of SPY session volume printed in the opening minute, third Friday vs other Fridays

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 2026-08-16, from When Is SQ Day for Nikkei 225 Options?.

as of series 11×4read in context →
Share of SPY session volume printed in the opening minute, third Friday vs other Fridays — 11 rows by 4 columns, computed from US exchange, SIP and OPRA data.
monthmonth_labelthird_friday_pctother_friday_pct
2025-08-01Aug 20251.330.95
2025-09-01Sep 20251.891.07
2025-10-01Oct 20251.70.92
2025-11-01Nov 20251.141.44
2025-12-01Dec 20251.261.23
2026-01-01Jan 20261.311.31
2026-02-01Feb 20260.811.34
2026-03-01Mar 20260.60.96
2026-04-01Apr 20261.451.71
2026-05-01May 20261.441.25
2026-07-01Jul 20261.671.13
Rows × columns
11 × 4
Period covered
to
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 Share of SPY session volume printed in the opening minute, third Friday vs other Fridays, derived from the stored result.
ColumnTypeRangeNotes
month date 2025-08-01 to 2026-07-01
month_label text 11 distinct values (Apr 2026, Aug 2025, Dec 2025…)
third_friday_pct number 0.6 to 1.89 percent
other_friday_pct number 0.92 to 1.71 percent

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
WITH per_session AS
(
    SELECT
        toDate(toTimeZone(window_start, 'America/New_York'))            AS session_date,
        sumIf(toFloat64(volume), et_minute = 570)                       AS opening_minute_volume,
        sumIf(toFloat64(volume), et_minute >= 570 AND et_minute < 960)  AS session_volume,
        countIf(et_minute >= 570 AND et_minute < 960)                   AS session_minutes
    FROM
    (
        SELECT
            window_start,
            volume,
            toHour(toTimeZone(window_start, 'America/New_York')) * 60
              + toMinute(toTimeZone(window_start, 'America/New_York'))  AS et_minute
        FROM global_markets.delayed_stocks_minute_aggs
        WHERE ticker = 'SPY'
          AND window_start >= '2025-08-01'
          AND window_start <  '2026-08-01'
    )
    GROUP BY session_date
    HAVING session_volume > 0 AND session_minutes > 300
)
SELECT
    toString(toStartOfMonth(session_date))                     AS month,
    formatDateTime(toStartOfMonth(session_date), '%b %Y')      AS month_label,
    round(100 * avgIf(opening_minute_volume / session_volume,
                      toDayOfMonth(session_date) BETWEEN 15 AND 21), 2)      AS third_friday_pct,
    round(100 * avgIf(opening_minute_volume / session_volume,
                      toDayOfMonth(session_date) NOT BETWEEN 15 AND 21), 2)  AS other_friday_pct
FROM per_session
WHERE toDayOfWeek(session_date) = 5
GROUP BY month, month_label
HAVING countIf(toDayOfMonth(session_date) BETWEEN 15 AND 21) > 0
   AND countIf(toDayOfMonth(session_date) NOT BETWEEN 15 AND 21) > 0
ORDER BY month

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