Overnight vs. Intraday — SPY

Where does performance come from — overnight (Close→Open) or intraday (Open→Close)?

Methodology

Data Basis

  • Data source: Supabase (Yahoo Finance OHLC), updated daily
  • Requires: Open + Close prices (OHLC)
  • Period: Selectable 5–30 years or Max

Calculation

  • Overnight: (Open[t] / Close[t−1] − 1) × 100 — Return overnight (gap)
  • Intraday: (Close[t] / Open[t] − 1) × 100 — Return during the trading session
  • Total: Overnight + Intraday (residual approach, no cross-day OHLC)
  • Cumulative: Product of daily (1 + r/100), grouped by day of year

Interpretation

  • Many indices (SPY, QQQ) generate the majority of their return overnight
  • Intraday traders miss out on this structural advantage
  • Seasonal patterns can differ between Overnight and Intraday

Note

  • Open prices from Yahoo Finance are not always perfectly split-adjusted
  • The trends are nonetheless statistically meaningful over longer time periods