Typical quoted spread on the three largest S&P 500 ETFs, trailing five days

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 2026-09-15, from Can You Day Trade an Index Fund? ETFs vs Funds.

Rows × columns

3 × 3

Computed

2026-09-15

Completeness

No missing values

Source

US exchange, SIP and OPRA market data

Licence

Strasmore terms · free, no signup

Formats

JSON · CSV · the SQL below

What each column holds

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 2026-09-15, and the query below is what returned them.

SELECT ticker,
       round(median_spread_usd * 100, 1) AS typical_spread_cents,
       round(median_spread_bps, 2) AS typical_spread_bps
FROM (
    SELECT ticker,
           quantileDeterministic(0.5)(toFloat64(ask_price - bid_price), toUInt64(sip_timestamp)) AS median_spread_usd,
           quantileDeterministic(0.5)(toFloat64(ask_price - bid_price) / (toFloat64(ask_price + bid_price) / 2), toUInt64(sip_timestamp)) * 10000 AS median_spread_bps
    FROM global_markets.cache_stocks_quotes
    WHERE ticker IN ('SPY', 'IVV', 'VOO')
      AND sip_timestamp >= now() - INTERVAL 5 DAY
      AND bid_price > 0
      AND ask_price > bid_price
    GROUP BY ticker
)
ORDER BY indexOf(['SPY', 'IVV', 'VOO'], ticker)