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

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 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