january effect — 4 answered market questions

SPY share volume around the turn of the year, averaged since 2011

most recentas of 2026-08-11 ranking 19×3read in context →

SPY share volume around the turn of the year, averaged since 2011 — 19 rows by 3 columns, computed 2026-08-11 from US exchange, SIP and OPRA data.
label	avg_volume_millions	relative_activity
Dec 21	126.2	1.24
Dec 22	85.8	0.85
Dec 23	71.5	0.7
Dec 24	50.8	0.5
Dec 26	73.5	0.72
Dec 27	80.6	0.79
Dec 28	83.2	0.82
Dec 29	80.1	0.79
Dec 30	67.2	0.66
Dec 31	105.3	1.04
Jan 02	107.7	1.06
Jan 03	104.4	1.03
Jan 04	114.5	1.13
Jan 05	105.2	1.04
Jan 06	107	1.05
Jan 07	102.4	1.01
Jan 08	96.6	0.95
Jan 09	82.6	0.81
Jan 10	90	0.89

the exact SQL behind every number

SELECT
    concat(
        if(toMonth(date) = 12, 'Dec ', 'Jan '),
        if(toDayOfMonth(date) < 10, concat('0', toString(toDayOfMonth(date))), toString(toDayOfMonth(date)))
    )                                      AS label,
    round(avg(toFloat64(volume)) / 1e6, 1) AS avg_volume_millions,
    round(avg(toFloat64(volume)) / (
        SELECT avg(toFloat64(volume))
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date >= '2011-01-01'
          AND date <  '2026-08-01'
    ), 2)                                  AS relative_activity
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
  AND date >= '2011-01-01'
  AND date <  '2026-08-01'
  AND ((toMonth(date) = 12 AND toDayOfMonth(date) >= 21)
    OR (toMonth(date) = 1  AND toDayOfMonth(date) <= 10))
GROUP BY toMonth(date), toDayOfMonth(date)
ORDER BY if(toMonth(date) = 12, 0, 1), toDayOfMonth(date)

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