Quadruple Witching vs Triple Witching
SPY volume on quarterly expiration Fridays, against the ordinary Fridays around each oneseries ·
2026-10-04 · 14×4
Share of SPY regular hours volume by half hour: expiration Friday vs the Friday afterseries ·
2026-10-04 · 14×3
Average absolute open to close move on SPY Fridays, expiration vs ordinary, by yearranking ·
2026-10-04 · 11×4
Percent of regular hours volume in the closing auction print, six large listingsranking ·
2026-10-04 · 6×3
SPY volume on quarterly expiration Fridays, against the ordinary Fridays around each one
SPY volume on quarterly expiration Fridays, against the ordinary Fridays around each one
| session_date | session_label | spy_volume_millions | vs_nearby_friday_ratio |
|---|---|---|---|
| 2023-03-17 | Mar 2023 | 140.4 | 1.23 |
| 2023-06-16 | Jun 2023 | 114.2 | 1.28 |
| 2023-09-15 | Sep 2023 | 111.8 | 1.21 |
| 2023-12-15 | Dec 2023 | 141.6 | 1.85 |
| 2024-03-15 | Mar 2024 | 107.6 | 1.37 |
| 2024-06-21 | Jun 2024 | 63.4 | 1.15 |
| 2024-09-20 | Sep 2024 | 77.5 | 1.56 |
| 2024-12-20 | Dec 2024 | 124.7 | 2.81 |
| 2025-03-21 | Mar 2025 | 83.8 | 0.81 |
| 2025-06-20 | Jun 2025 | 94.1 | 1.19 |
| 2025-09-19 | Sep 2025 | 97.9 | 1.11 |
| 2025-12-19 | Dec 2025 | 103.5 | 1.37 |
| 2026-03-20 | Mar 2026 | 165.6 | 1.94 |
| 2026-09-18 | Sep 2026 | 65.4 | 1.64 |
the exact SQL behind every number
WITH fridays AS
(
SELECT
date,
toFloat64(volume) AS vol,
(toDayOfMonth(date) BETWEEN 15 AND 21) AS is_third_friday,
(toMonth(date) IN (3, 6, 9, 12) AND toDayOfMonth(date) BETWEEN 15 AND 21) AS is_expiry
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'SPY'
AND date >= '2022-12-01'
AND date < today()
AND toDayOfWeek(date) = 5
)
SELECT
toString(e.date) AS session_date,
formatDateTime(e.date, '%b %Y') AS session_label,
round(any(e.vol) / 1e6, 1) AS spy_volume_millions,
round(any(e.vol) / avg(o.vol), 2) AS vs_nearby_friday_ratio
FROM fridays AS e
CROSS JOIN fridays AS o
WHERE e.is_expiry = 1
AND e.date >= '2023-01-01'
AND o.is_third_friday = 0
AND o.date BETWEEN e.date - 28 AND e.date + 28
GROUP BY e.date
ORDER BY e.date
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