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

Name: SPY's 2026-expiry option chain: one root's share of the quote firehose
Creator: Strasmore
Published: 2026-10-04
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 2026-10-04, from How Big Is the OPRA Options Quote Feed?.

as of 2026-10-04 scalar 1×13read in context →

session date

2026-09-29

spy quote updates m

352.9

spy contracts quoted

7,316

avg updates per contract k

48.2

same day expiry contracts

310

same day expiry pct of updates

11.2

same day median width cents

all spy median width cents

dropped invalid quotes k

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: 2026-09-29
Computed: 2026-10-04
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.
Column	Type	Range	Notes
`session_date`	date	2026-09-29
`spy_quote_updates_m`	number	every row is 352.9
`spy_contracts_quoted`	number	every row is 7,316	count
`avg_updates_per_contract_k`	number	every row is 48.2
`same_day_expiry_contracts`	number	every row is 310	count
`same_day_expiry_pct_of_updates`	number	every row is 11.2	percent
`same_day_median_width_cents`	number	every row is 1
`all_spy_median_width_cents`	number	every row is 2
`dropped_invalid_quotes_k`	number	every row is 61
`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 2026-10-04, and the query below is what returned them.

Run it yourself

This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.

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)

SQL to run

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)

⌘/Ctrl + Enter

Work with this data in your AI assistant

Opens ready to query, with this page's data. Free, no account.

Claude ChatGPT Gemini Muse Your own agent

More from this analysisHow Big Is the OPRA Options Quote Feed?

One session, two tapes: every options NBBO update vs. every stock NBBO update scalar 1×9 → The five busiest SPY option contracts of the session, symbol unpacked series 5×7 → The arc on one row: issue price, first print, June peak, and the latest close scalar 1×18 → News-feed attention from listing day to the latest reading: counts, concentration, and the trailing week scalar 1×14 → Every SPCX filing in the EDGAR index since the June 12 listing, on one row scalar 1×11 → SPY, the same measurement: the market's calm benchmark scalar 1×3 → See all 3,127 queries →