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Quoted spread through the session: large cap fund vs micro cap fund

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 2026-08-07, from How ETF Creation and Redemption Works.

as of series 79×3read in context →
Quoted spread through the session: large cap fund vs micro cap fund — 79 rows by 3 columns, computed from US exchange, SIP and OPRA data.
et_timevoo_spread_bpsiwc_spread_bps
09:300.5554.65
09:350.6252.26
09:400.5540.61
09:450.5532.94
09:500.5833.56
09:550.5752.44
10:000.6581.57
10:050.5644.43
10:100.5431.23
10:150.5325.83
10:200.5317.09
10:250.5933.96
10:300.5421.74
10:350.5834.75
10:400.5831.87
10:450.8440.92
10:500.6934.75
10:550.6538.39
11:000.739.59
11:050.6639.87
11:100.6338.76
11:150.5831.41
11:200.540.9
11:250.5638.95
11:300.5432.6
11:350.4630.73
11:400.5628.88
11:450.5631.8
11:500.4132.52
11:550.5224.32
12:000.4518.38
12:050.4121.54
12:100.4627.09
12:150.6725.63
12:200.6530.59
12:250.5521.76
12:300.4723.4
12:350.4226.29
12:400.5128.45
12:450.5728.73
12:500.5326.44
12:550.5826.44
13:000.5325.11
13:050.7730.59
13:100.625.96
13:150.5218.41
13:200.4827.77
13:250.4928.78
13:300.4928.8
13:350.5221.5
13:400.5225.96
13:450.521.81
13:500.5226.75
13:550.6131.3
14:001.2957.4
14:051.245.8
14:100.8839.96
14:150.8134.93
14:200.8243.43
14:250.9135.94
14:301.2438.57
14:351.0941.84
14:401.0242.19
14:450.9234.8
14:500.8334.97
14:551.0133.06
15:001.1339.31
15:051.0636.13
15:101.1436.64
15:15138.87
15:201.0137.69
15:251.0737.37
15:301.0938
15:351.0230.48
15:401.0631.51
15:451.0631.37
15:501.1639.38
15:550.8826.89
16:001.36271.06
Rows × columns
79 × 3
Period covered
to
Computed
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

Column definitions for Quoted spread through the session: large cap fund vs micro cap fund, derived from the stored result.
ColumnTypeRangeNotes
et_time date 09:30 to 16:00
voo_spread_bps number 0.41 to 1.36
iwc_spread_bps number 17.09 to 271.06

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.

the exact SQL behind every number 
SELECT
    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 5 MINUTE), '%H:%i') AS et_time,
    round(10000 * avgIf(2 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price), ticker = 'VOO'), 2) AS voo_spread_bps,
    round(10000 * avgIf(2 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price), ticker = 'IWC'), 2) AS iwc_spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('VOO', 'IWC')
  AND sip_timestamp >= '2026-06-17 13:00:00'
  AND sip_timestamp <  '2026-06-17 21:00:00'
  AND bid_price > 0
  AND ask_price > bid_price
GROUP BY et_time
HAVING countIf(ticker = 'VOO') >= 50 AND countIf(ticker = 'IWC') >= 50
ORDER BY et_time

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