{"slug":"etf-creation-and-redemption","qid":"spread_by_clock","label":"Quoted spread through the session: large cap fund vs micro cap fund","post_title":"How ETF Creation and Redemption Works","post_url":"/blog/etf-creation-and-redemption#q-spread_by_clock","columns":["et_time","voo_spread_bps","iwc_spread_bps"],"rows":[{"et_time":"09:30","voo_spread_bps":0.55,"iwc_spread_bps":54.65},{"et_time":"09:35","voo_spread_bps":0.62,"iwc_spread_bps":52.26},{"et_time":"09:40","voo_spread_bps":0.55,"iwc_spread_bps":40.61},{"et_time":"09:45","voo_spread_bps":0.55,"iwc_spread_bps":32.94},{"et_time":"09:50","voo_spread_bps":0.58,"iwc_spread_bps":33.56},{"et_time":"09:55","voo_spread_bps":0.57,"iwc_spread_bps":52.44},{"et_time":"10:00","voo_spread_bps":0.65,"iwc_spread_bps":81.57},{"et_time":"10:05","voo_spread_bps":0.56,"iwc_spread_bps":44.43},{"et_time":"10:10","voo_spread_bps":0.54,"iwc_spread_bps":31.23},{"et_time":"10:15","voo_spread_bps":0.53,"iwc_spread_bps":25.83},{"et_time":"10:20","voo_spread_bps":0.53,"iwc_spread_bps":17.09},{"et_time":"10:25","voo_spread_bps":0.59,"iwc_spread_bps":33.96},{"et_time":"10:30","voo_spread_bps":0.54,"iwc_spread_bps":21.74},{"et_time":"10:35","voo_spread_bps":0.58,"iwc_spread_bps":34.75},{"et_time":"10:40","voo_spread_bps":0.58,"iwc_spread_bps":31.87},{"et_time":"10:45","voo_spread_bps":0.84,"iwc_spread_bps":40.92},{"et_time":"10:50","voo_spread_bps":0.69,"iwc_spread_bps":34.75},{"et_time":"10:55","voo_spread_bps":0.65,"iwc_spread_bps":38.39},{"et_time":"11:00","voo_spread_bps":0.7,"iwc_spread_bps":39.59},{"et_time":"11:05","voo_spread_bps":0.66,"iwc_spread_bps":39.87},{"et_time":"11:10","voo_spread_bps":0.63,"iwc_spread_bps":38.76},{"et_time":"11:15","voo_spread_bps":0.58,"iwc_spread_bps":31.41},{"et_time":"11:20","voo_spread_bps":0.5,"iwc_spread_bps":40.9},{"et_time":"11:25","voo_spread_bps":0.56,"iwc_spread_bps":38.95},{"et_time":"11:30","voo_spread_bps":0.54,"iwc_spread_bps":32.6},{"et_time":"11:35","voo_spread_bps":0.46,"iwc_spread_bps":30.73},{"et_time":"11:40","voo_spread_bps":0.56,"iwc_spread_bps":28.88},{"et_time":"11:45","voo_spread_bps":0.56,"iwc_spread_bps":31.8},{"et_time":"11:50","voo_spread_bps":0.41,"iwc_spread_bps":32.52},{"et_time":"11:55","voo_spread_bps":0.52,"iwc_spread_bps":24.32},{"et_time":"12:00","voo_spread_bps":0.45,"iwc_spread_bps":18.38},{"et_time":"12:05","voo_spread_bps":0.41,"iwc_spread_bps":21.54},{"et_time":"12:10","voo_spread_bps":0.46,"iwc_spread_bps":27.09},{"et_time":"12:15","voo_spread_bps":0.67,"iwc_spread_bps":25.63},{"et_time":"12:20","voo_spread_bps":0.65,"iwc_spread_bps":30.59},{"et_time":"12:25","voo_spread_bps":0.55,"iwc_spread_bps":21.76},{"et_time":"12:30","voo_spread_bps":0.47,"iwc_spread_bps":23.4},{"et_time":"12:35","voo_spread_bps":0.42,"iwc_spread_bps":26.29},{"et_time":"12:40","voo_spread_bps":0.51,"iwc_spread_bps":28.45},{"et_time":"12:45","voo_spread_bps":0.57,"iwc_spread_bps":28.73},{"et_time":"12:50","voo_spread_bps":0.53,"iwc_spread_bps":26.44},{"et_time":"12:55","voo_spread_bps":0.58,"iwc_spread_bps":26.44},{"et_time":"13:00","voo_spread_bps":0.53,"iwc_spread_bps":25.11},{"et_time":"13:05","voo_spread_bps":0.77,"iwc_spread_bps":30.59},{"et_time":"13:10","voo_spread_bps":0.6,"iwc_spread_bps":25.96},{"et_time":"13:15","voo_spread_bps":0.52,"iwc_spread_bps":18.41},{"et_time":"13:20","voo_spread_bps":0.48,"iwc_spread_bps":27.77},{"et_time":"13:25","voo_spread_bps":0.49,"iwc_spread_bps":28.78},{"et_time":"13:30","voo_spread_bps":0.49,"iwc_spread_bps":28.8},{"et_time":"13:35","voo_spread_bps":0.52,"iwc_spread_bps":21.5},{"et_time":"13:40","voo_spread_bps":0.52,"iwc_spread_bps":25.96},{"et_time":"13:45","voo_spread_bps":0.5,"iwc_spread_bps":21.81},{"et_time":"13:50","voo_spread_bps":0.52,"iwc_spread_bps":26.75},{"et_time":"13:55","voo_spread_bps":0.61,"iwc_spread_bps":31.3},{"et_time":"14:00","voo_spread_bps":1.29,"iwc_spread_bps":57.4},{"et_time":"14:05","voo_spread_bps":1.2,"iwc_spread_bps":45.8},{"et_time":"14:10","voo_spread_bps":0.88,"iwc_spread_bps":39.96},{"et_time":"14:15","voo_spread_bps":0.81,"iwc_spread_bps":34.93},{"et_time":"14:20","voo_spread_bps":0.82,"iwc_spread_bps":43.43},{"et_time":"14:25","voo_spread_bps":0.91,"iwc_spread_bps":35.94},{"et_time":"14:30","voo_spread_bps":1.24,"iwc_spread_bps":38.57},{"et_time":"14:35","voo_spread_bps":1.09,"iwc_spread_bps":41.84},{"et_time":"14:40","voo_spread_bps":1.02,"iwc_spread_bps":42.19},{"et_time":"14:45","voo_spread_bps":0.92,"iwc_spread_bps":34.8},{"et_time":"14:50","voo_spread_bps":0.83,"iwc_spread_bps":34.97},{"et_time":"14:55","voo_spread_bps":1.01,"iwc_spread_bps":33.06},{"et_time":"15:00","voo_spread_bps":1.13,"iwc_spread_bps":39.31},{"et_time":"15:05","voo_spread_bps":1.06,"iwc_spread_bps":36.13},{"et_time":"15:10","voo_spread_bps":1.14,"iwc_spread_bps":36.64},{"et_time":"15:15","voo_spread_bps":1,"iwc_spread_bps":38.87},{"et_time":"15:20","voo_spread_bps":1.01,"iwc_spread_bps":37.69},{"et_time":"15:25","voo_spread_bps":1.07,"iwc_spread_bps":37.37},{"et_time":"15:30","voo_spread_bps":1.09,"iwc_spread_bps":38},{"et_time":"15:35","voo_spread_bps":1.02,"iwc_spread_bps":30.48},{"et_time":"15:40","voo_spread_bps":1.06,"iwc_spread_bps":31.51},{"et_time":"15:45","voo_spread_bps":1.06,"iwc_spread_bps":31.37},{"et_time":"15:50","voo_spread_bps":1.16,"iwc_spread_bps":39.38},{"et_time":"15:55","voo_spread_bps":0.88,"iwc_spread_bps":26.89},{"et_time":"16:00","voo_spread_bps":1.36,"iwc_spread_bps":271.06}],"shape":"series","sql":"SELECT\n    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 5 MINUTE), '%H:%i') AS et_time,\n    round(10000 * avgIf(2 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price), ticker = 'VOO'), 2) AS voo_spread_bps,\n    round(10000 * avgIf(2 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price), ticker = 'IWC'), 2) AS iwc_spread_bps\nFROM global_markets.cache_stocks_quotes\nWHERE ticker IN ('VOO', 'IWC')\n  AND sip_timestamp >= '2026-06-17 13:00:00'\n  AND sip_timestamp <  '2026-06-17 21:00:00'\n  AND bid_price > 0\n  AND ask_price > bid_price\nGROUP BY et_time\nHAVING countIf(ticker = 'VOO') >= 50 AND countIf(ticker = 'IWC') >= 50\nORDER BY et_time","computed_at":"2026-08-07T16:57:14.491161+00:00","elapsed":0.00254673}