open_spread
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 2026-10-03, from aapl-earnings-day-moves.
| et_time | avg_spread_bps | p95_spread_bps | quote_count_millions |
|---|---|---|---|
| 09:00 | 4.32 | 12.55 | 0.001 |
| 09:10 | 4.1 | 10.43 | 0.001 |
| 09:20 | 5.2 | 15.79 | 0.002 |
| 09:30 | 2.45 | 4.87 | 0.051 |
| 09:40 | 1.98 | 3.3 | 0.045 |
| 09:50 | 1.92 | 3.29 | 0.036 |
| 10:00 | 1.74 | 2.89 | 0.036 |
| 10:10 | 2 | 3.3 | 0.028 |
| 10:20 | 1.81 | 2.91 | 0.029 |
| 10:30 | 1.54 | 2.49 | 0.022 |
| 10:40 | 1.74 | 2.5 | 0.028 |
| 10:50 | 1.54 | 2.49 | 0.017 |
- Rows × columns
- 12 × 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 |
|---|---|---|---|
et_time |
text | 12 distinct values (09:00, 09:10, 09:20…) | |
avg_spread_bps |
number | 1.54 to 5.2 | |
p95_spread_bps |
number | 2.49 to 15.79 | |
quote_count_millions |
number | 0.001 to 0.051 | count |
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.
SELECT
formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 10 MINUTE), '%H:%i') AS et_time,
round(avg((toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000), 2) AS avg_spread_bps,
round(quantileDeterministic(0.95)((toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, toUInt64(sequence_number)), 2) AS p95_spread_bps,
round(count() / 1000000, 3) AS quote_count_millions
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= '2025-01-31 14:00:00'
AND sip_timestamp < '2025-01-31 16:00:00'
AND bid_price > 0
AND ask_price > bid_price
AND bid_size > 0
AND ask_size > 0
GROUP BY et_time
ORDER BY et_time
اس ڈیٹا کے ساتھ اپنے AI اسسٹنٹ میں کام کریں
اس صفحے کے ڈیٹا کے ساتھ، کوئری کے لیے تیار کھلتا ہے۔ مفت، بغیر اکاؤنٹ۔