Open, midday and close volume against an average session minute
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 2026-09-28, from Why Trading Volume Dies at Midday: U-Shape.
| ticker | open30_index | midday_index | close30_index |
|---|---|---|---|
| KO | 1.55 | 0.52 | 4.65 |
| MSFT | 1.9 | 0.56 | 3.97 |
| AAPL | 1.92 | 0.58 | 3.79 |
| SPY | 1.54 | 0.68 | 2.63 |
| NVDA | 2.14 | 0.66 | 2.35 |
| QQQ | 1.84 | 0.73 | 1.88 |
- Rows × columns
- 6 × 4
- 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 |
|---|---|---|---|
ticker |
text | 6 distinct values (AAPL, KO, MSFT…) | |
open30_index |
number | 1.54 to 2.14 | |
midday_index |
number | 0.52 to 0.73 | |
close30_index |
number | 1.88 to 4.65 |
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 session_minutes AS
(
SELECT
ticker,
toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York')) AS et_minute,
toFloat64(volume) AS share_volume,
0 AS is_print
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('SPY', 'QQQ', 'AAPL', 'MSFT', 'NVDA', 'KO')
AND window_start >= '2025-01-02 00:00:00'
AND window_start < '2026-07-01 00:00:00'
UNION ALL
SELECT
ticker,
959 AS et_minute,
toFloat64(maxIf(size, has(conditions, 8))) AS share_volume,
1 AS is_print
FROM global_markets.stocks_trades
WHERE ticker IN ('SPY', 'QQQ', 'AAPL', 'MSFT', 'NVDA', 'KO')
AND sip_timestamp >= '2025-01-02 00:00:00'
AND sip_timestamp < '2026-07-01 00:00:00'
AND toHour(sip_timestamp, 'America/New_York') = 16
AND toMinute(sip_timestamp, 'America/New_York') < 10
GROUP BY ticker, toDate(toTimeZone(sip_timestamp, 'America/New_York'))
HAVING countIf(has(conditions, 8)) > 0
)
SELECT
ticker AS ticker,
round((sumIf(share_volume, et_minute >= 570 AND et_minute < 600)
/ countIf(et_minute >= 570 AND et_minute < 600 AND NOT is_print))
/ (sum(share_volume) / countIf(NOT is_print)), 2) AS open30_index,
round((sumIf(share_volume, et_minute >= 690 AND et_minute < 840)
/ countIf(et_minute >= 690 AND et_minute < 840 AND NOT is_print))
/ (sum(share_volume) / countIf(NOT is_print)), 2) AS midday_index,
round((sumIf(share_volume, et_minute >= 930 AND et_minute < 960)
/ countIf(et_minute >= 930 AND et_minute < 960 AND NOT is_print))
/ (sum(share_volume) / countIf(NOT is_print)), 2) AS close30_index
FROM session_minutes
WHERE et_minute >= 570 AND et_minute < 960
GROUP BY ticker
HAVING countIf(et_minute >= 570 AND et_minute < 600 AND NOT is_print) > 0
AND countIf(et_minute >= 690 AND et_minute < 840 AND NOT is_print) > 0
AND countIf(et_minute >= 930 AND et_minute < 960 AND NOT is_print) > 0
ORDER BY close30_index DESC
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