Closing auction prints of ten large S&P 500 members: dollar volume on witching day vs. a typical June 2026 session

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 sessions AS (
    SELECT b.day                                AS day,
           p.print_dollars                      AS close_dollars,
           b.continuous_dollars + p.print_dollars AS day_dollars
    FROM
    (
        SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS day,
               sum(toFloat64(close) * toFloat64(volume))            AS continuous_dollars
        FROM global_markets.delayed_stocks_minute_aggs
        WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'AMZN', 'GOOGL', 'META', 'AVGO', 'TSLA', 'JPM', 'LLY')
          AND window_start >= '2026-06-01 04:00:00'
          AND window_start <  '2026-07-01 04:00:00'
          AND toHour(toTimeZone(window_start, 'America/New_York')) * 60
              + toMinute(toTimeZone(window_start, 'America/New_York')) BETWEEN 570 AND 959
        GROUP BY day
    ) AS b
    INNER JOIN
    (
        SELECT day, sum(print_dollars) AS print_dollars
        FROM
        (
            SELECT ticker,
                   toDate(toTimeZone(sip_timestamp, 'America/New_York'))  AS day,
                   toFloat64(argMaxIf(price, size, has(conditions, 8)))
                     * toFloat64(maxIf(size, has(conditions, 8)))         AS print_dollars
            FROM global_markets.stocks_trades
            WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'AMZN', 'GOOGL', 'META', 'AVGO', 'TSLA', 'JPM', 'LLY')
              AND sip_timestamp >= '2026-06-01 04:00:00'
              AND sip_timestamp <  '2026-07-01 04:00:00'
              AND toHour(toTimeZone(sip_timestamp, 'America/New_York')) = 16
              AND toMinute(toTimeZone(sip_timestamp, 'America/New_York')) < 10
            GROUP BY ticker, day
            HAVING countIf(has(conditions, 8)) > 0
        )
        GROUP BY day
    ) AS p ON p.day = b.day
)
SELECT round(anyIf(close_dollars, day = '2026-06-18') / 1e9, 1) AS witching_close_dollars_b,
       round(quantileDeterministicIf(0.5)(close_dollars, cityHash64(toString(day)), day != '2026-06-18') / 1e9, 1) AS other_june_median_close_dollars_b,
       round(anyIf(close_dollars, day = '2026-06-18')
             / quantileDeterministicIf(0.5)(close_dollars, cityHash64(toString(day)), day != '2026-06-18'), 2) AS times_median,
       round(anyIf(close_dollars / day_dollars, day = '2026-06-18') * 100, 1) AS witching_close_pct_of_day,
       round(quantileDeterministicIf(0.5)(close_dollars / day_dollars, cityHash64(toString(day)), day != '2026-06-18') * 100, 1) AS other_june_median_close_pct_of_day
FROM sessions
HAVING countIf(day != '2026-06-18') > 0