spread_by_et_hour
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 2026-09-30, from es-futures-trading-hours.
| et_hour | avg_spread_cents | quote_count |
|---|---|---|
| 04:00 | 5.91 | 808 |
| 05:00 | 5.97 | 629 |
| 06:00 | 4.39 | 540 |
| 07:00 | 6.05 | 7699 |
| 08:00 | 4 | 593 |
| 09:00 | 3.84 | 2618 |
| 10:00 | 1.98 | 7298 |
| 11:00 | 1.48 | 7668 |
| 12:00 | 1.78 | 3327 |
| 13:00 | 1.97 | 3439 |
| 14:00 | 8.41 | 18702 |
| 15:00 | 3.19 | 25416 |
| 16:00 | 3.53 | 6463 |
| 17:00 | 10 | 3 |
| 18:00 | 7.37 | 308 |
| 19:00 | 5.08 | 378 |
- Rows × columns
- 16 × 3
- 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_hour |
text | 16 distinct values (04:00, 05:00, 06:00…) | |
avg_spread_cents |
number | 1.48 to 10 | |
quote_count |
number | 3 to 25,416 | 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.
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SELECT
formatDateTime(toTimeZone(sip_timestamp, 'America/New_York'), '%H:00') AS et_hour,
round(avg(toFloat64(ask_price) - toFloat64(bid_price)) * 100, 2) AS avg_spread_cents,
count() AS quote_count
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPY'
AND sip_timestamp >= toDateTime('2026-09-16 08:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-09-17 01:00:00', 'UTC')
AND toMinute(toTimeZone(sip_timestamp, 'America/New_York')) = 0
AND bid_price > 0
AND ask_price > bid_price
GROUP BY et_hour
ORDER BY et_hour
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