SPY options quoted-spread distribution: percentiles in basis points
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 2026-08-14, from How Much Does It Cost to Trade Options?.
- Rows × columns
- 1 × 6
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
p10_bps |
number | every row is 35.51 | |
p25_bps |
number | every row is 49.65 | |
median_bps |
number | every row is 80.97 | |
p75_bps |
number | every row is 147.12 | |
p90_bps |
number | every row is 316.51 | |
valid_two_sided_quotes |
number | every row is 462,934,241 |
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.
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 opts AS (
SELECT
(toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000 AS spread_bps,
cityHash64(ticker, sip_timestamp) AS det
FROM global_markets.cache_options_quotes
WHERE sip_timestamp >= '2026-07-02 13:30:00' AND sip_timestamp < '2026-07-02 20:00:00'
AND ticker >= 'O:SPY26' AND ticker < 'O:SPY27'
AND bid_price > 0 AND ask_price > 0 AND ask_price > bid_price
)
SELECT
round(quantileDeterministic(0.10)(spread_bps, det), 2) AS p10_bps,
round(quantileDeterministic(0.25)(spread_bps, det), 2) AS p25_bps,
round(quantileDeterministic(0.50)(spread_bps, det), 2) AS median_bps,
round(quantileDeterministic(0.75)(spread_bps, det), 2) AS p75_bps,
round(quantileDeterministic(0.90)(spread_bps, det), 2) AS p90_bps,
count() AS valid_two_sided_quotes
FROM opts