Average quoted spread by half hour, AAPL and KO, June 17 2026

Name: Average quoted spread by half hour, AAPL and KO, June 17 2026
Creator: Strasmore
Published: 2026-08-12
License: https://www.strasmore.com/terms/

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 2026-08-12, from Held vs Not-Held Orders: Broker Discretion.

as of 2026-08-12 series 15×3read in context →

Average quoted spread by half hour, AAPL and KO, June 17 2026 — 15 rows by 3 columns, computed 2026-08-12 from US exchange, SIP and OPRA data.
et_time	aapl_spread_bps	ko_spread_bps
09:00	6.57	21.21
09:30	1.81	2.88
10:00	1.22	1.97
10:30	1.32	1.93
11:00	1.11	1.66
11:30	0.91	1.43
12:00	0.89	1.42
12:30	0.73	1.4
13:00	0.82	1.4
13:30	0.73	1.39
14:00	1.18	1.85
14:30	1.05	1.45
15:00	1.06	1.44
15:30	0.98	1.39
16:00	6.72	58.27

Rows × columns: 15 × 3
Period covered: 09:00 to 16:00
Computed: 2026-08-12
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 Average quoted spread by half hour, AAPL and KO, June 17 2026, derived from the stored result.
Column	Type	Range
`et_time`	date	09:00 to 16:00
`aapl_spread_bps`	number	0.73 to 6.72
`ko_spread_bps`	number	1.39 to 58.27

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 2026-08-12, and the query below is what returned them.

the exact SQL behind every number

SELECT
    formatDateTime(
        toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE),
        '%H:%i')                                       AS et_time,
    round(avgIf(toFloat64(ask_price - bid_price)
                / toFloat64((ask_price + bid_price) / 2) * 10000,
                ticker = 'AAPL'), 2)                   AS aapl_spread_bps,
    round(avgIf(toFloat64(ask_price - bid_price)
                / toFloat64((ask_price + bid_price) / 2) * 10000,
                ticker = 'KO'), 2)                     AS ko_spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('AAPL', 'KO')
  AND sip_timestamp >= '2026-06-17 13:00:00'
  AND sip_timestamp <  '2026-06-17 20:30:00'
  AND bid_price > 0
  AND ask_price > bid_price
  AND toFloat64(ask_price - bid_price) / toFloat64(bid_price) < 0.02
GROUP BY et_time
HAVING countIf(ticker = 'AAPL') > 0
   AND countIf(ticker = 'KO') > 0
ORDER BY et_time

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