STRASMORE/EXPLORE 2,170 QUERIES

SPY's 2026-expiry option chain: one root's share of the quote firehose

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 2026-08-22, from How Big Is the OPRA Options Quote Feed?.

as of scalar 1×13read in context →
session date
2026-08-17
spy quote updates m
164
spy contracts quoted
9,594
avg updates per contract k
17.1
same day expiry contracts
422
same day expiry pct of updates
3.7
same day median width cents
16
all spy median width cents
3
dropped invalid quotes k
197
spy first quote et
09:30
spy last quote et
16:15
spy first quote et minute
570
spy last quote et minute
975
Rows × columns
1 × 13
Period covered
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 SPY's 2026-expiry option chain: one root's share of the quote firehose, derived from the stored result.
ColumnTypeRangeNotes
session_date date 2026-08-17
spy_quote_updates_m number every row is 164
spy_contracts_quoted number every row is 9,594 count
avg_updates_per_contract_k number every row is 17.1
same_day_expiry_contracts number every row is 422 count
same_day_expiry_pct_of_updates number every row is 3.7 percent
same_day_median_width_cents number every row is 16
all_spy_median_width_cents number every row is 3
dropped_invalid_quotes_k number every row is 197
spy_first_quote_et text 1 distinct value (09:30)
spy_last_quote_et text 1 distinct value (16:15)
spy_first_quote_et_minute number every row is 570
spy_last_quote_et_minute number every row is 975

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 
WITH (
    SELECT max(toDate(toTimeZone(window_start, 'America/New_York')))
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND window_start >= toDateTime(today() - 10)
      AND window_start < toDateTime(today() - 4)
) AS session_day
SELECT
    toString(session_day) AS session_date,
    round(count() / 1e6, 1) AS spy_quote_updates_m,
    uniqExact(ticker) AS spy_contracts_quoted,
    round(count() / uniqExact(ticker) / 1e3, 1) AS avg_updates_per_contract_k,
    uniqExactIf(ticker, substring(ticker, 6, 6) = formatDateTime(session_day, '%y%m%d')) AS same_day_expiry_contracts,
    round(100.0 * countIf(substring(ticker, 6, 6) = formatDateTime(session_day, '%y%m%d')) / count(), 1) AS same_day_expiry_pct_of_updates,
    quantileExactWeightedIf(0.5)(toInt32(round(toFloat64(ask_price - bid_price) * 100)), 1, bid_price > 0 AND ask_price >= bid_price AND substring(ticker, 6, 6) = formatDateTime(session_day, '%y%m%d')) AS same_day_median_width_cents,
    quantileExactWeightedIf(0.5)(toInt32(round(toFloat64(ask_price - bid_price) * 100)), 1, bid_price > 0 AND ask_price >= bid_price) AS all_spy_median_width_cents,
    round(countIf(NOT (bid_price > 0 AND ask_price >= bid_price)) / 1e3, 0) AS dropped_invalid_quotes_k,
    formatDateTime(toTimeZone(min(sip_timestamp), 'America/New_York'), '%H:%i') AS spy_first_quote_et,
    formatDateTime(toTimeZone(max(sip_timestamp), 'America/New_York'), '%H:%i') AS spy_last_quote_et,
    toHour(toTimeZone(min(sip_timestamp), 'America/New_York')) * 60 + toMinute(toTimeZone(min(sip_timestamp), 'America/New_York')) AS spy_first_quote_et_minute,
    toHour(toTimeZone(max(sip_timestamp), 'America/New_York')) * 60 + toMinute(toTimeZone(max(sip_timestamp), 'America/New_York')) AS spy_last_quote_et_minute
FROM global_markets.cache_options_quotes
WHERE ticker >= 'O:SPY26' AND ticker < 'O:SPY27'
  AND sip_timestamp >= toDateTime(session_day)
  AND sip_timestamp < toDateTime(session_day + 1)

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