{"slug":"etf-creation-and-redemption","qid":"volume_vs_spread","label":"Quoted spread against average share volume, US listed ETFs","post_title":"How ETF Creation and Redemption Works","post_url":"/blog/etf-creation-and-redemption#q-volume_vs_spread","columns":["ticker","spread_bps","avg_daily_shares"],"rows":[{"ticker":"SPY","spread_bps":0.29,"avg_daily_shares":"64.43 million"},{"ticker":"VOO","spread_bps":0.57,"avg_daily_shares":"8.77 million"},{"ticker":"VV","spread_bps":1.69,"avg_daily_shares":"393.02 thousand"},{"ticker":"EPHE","spread_bps":5.88,"avg_daily_shares":"113.12 thousand"},{"ticker":"IWC","spread_bps":30.89,"avg_daily_shares":"131.11 thousand"}],"shape":"ranking","sql":"WITH\n    quoted AS\n    (\n        SELECT\n            ticker,\n            round(10000 * avg(2 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price)), 2) AS spread_bps\n        FROM global_markets.cache_stocks_quotes\n        WHERE ticker IN ('SPY', 'VOO', 'VV', 'SPLG', 'IWC', 'EPHE')\n          AND sip_timestamp >= '2026-06-17 15:00:00'\n          AND sip_timestamp <  '2026-06-17 16:00:00'\n          AND bid_price > 0\n          AND ask_price > bid_price\n        GROUP BY ticker\n    ),\n    traded AS\n    (\n        SELECT\n            ticker,\n            formatReadableQuantity(round(avg(volume))) AS avg_daily_shares\n        FROM global_markets.stocks_daily_aggs\n        WHERE ticker IN ('SPY', 'VOO', 'VV', 'SPLG', 'IWC', 'EPHE')\n          AND date >= '2026-03-17'\n          AND date <  '2026-06-18'\n        GROUP BY ticker\n    )\nSELECT\n    q.ticker           AS ticker,\n    q.spread_bps       AS spread_bps,\n    t.avg_daily_shares AS avg_daily_shares\nFROM quoted AS q\nINNER JOIN traded AS t ON t.ticker = q.ticker\nORDER BY q.spread_bps ASC","computed_at":"2026-08-07T16:57:14.292902+00:00","elapsed":0.002960776}