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SPY, H1 2026: average absolute overnight gap vs average absolute intraday move

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 2026-07-26, from Why Do Stocks Gap Up or Down Overnight?.

as of scalar 1×4read in context →
sessions
123
avg abs overnight gap pct
0.45
avg abs intraday move pct
0.53
gaps of half pct or more
41
Rows × columns
1 × 4
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 SPY, H1 2026: average absolute overnight gap vs average absolute intraday move, derived from the stored result.
ColumnTypeRangeNotes
sessions number every row is 123
avg_abs_overnight_gap_pct number every row is 0.45 percent
avg_abs_intraday_move_pct number every row is 0.53 percent
gaps_of_half_pct_or_more number every row is 41 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 
SELECT count() AS sessions,
       round(avg(abs(100 * (rth_open - prior_close) / prior_close)), 2) AS avg_abs_overnight_gap_pct,
       round(avg(abs(100 * (rth_close - rth_open) / rth_open)), 2) AS avg_abs_intraday_move_pct,
       countIf(abs(100 * (rth_open - prior_close) / prior_close) >= 0.5) AS gaps_of_half_pct_or_more
FROM (SELECT day, rth_open, rth_close, lagInFrame(rth_close) OVER (ORDER BY day) AS prior_close
    FROM (
        SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS day,
               argMinIf(toFloat64(open), window_start, rth) AS rth_open,
               argMaxIf(toFloat64(close), window_start, rth) AS rth_close
        FROM (
            SELECT window_start, open, close,
                   toTimeZone(window_start, 'America/New_York') >= toDateTime(concat(toString(toDate(toTimeZone(window_start, 'America/New_York'))), ' 09:30:00'), 'America/New_York')
                   AND toTimeZone(window_start, 'America/New_York') < toDateTime(concat(toString(toDate(toTimeZone(window_start, 'America/New_York'))), ' 16:00:00'), 'America/New_York') AS rth
            FROM global_markets.delayed_stocks_minute_aggs
            WHERE ticker = 'SPY'
              AND window_start >= '2025-12-29 04:00:00'
              AND window_start < '2026-07-01 08:00:00'
        )
        GROUP BY day
    ))
WHERE day >= '2026-01-01' AND prior_close > 0 AND isFinite(prior_close)

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More from this analysisWhy Do Stocks Gap Up or Down Overnight?
MSFT: how the January 29, 2026 gap formed, 30-minute premarket buckets series 11×8 → Overnight gaps by ticker, H1 2026: average absolute gap and the single biggest gap series 6×5 → SPY's six biggest overnight gaps of H1 2026: and the same day's open-to-close move series 6×3 → SPY overnight gaps by weekday: every session, January 2024 through June 2026 series 5×4 → MSFT straddle prices at the close before the gap: Jan 28, 2026, Jan 30 expiry table 4×5 → What crossed the wire during SPY's biggest overnight gap of H1 2026 table 2×3 → See all 2,170 queries →