us_quoted_spread
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 2026-09-23, from krx-after-hours-trading.
| et_time | median_spread_bps | p90_spread_bps |
|---|---|---|
| 08:00 | 4.52 | 7.84 |
| 08:30 | 5.58 | 9.36 |
| 09:00 | 7.57 | 14.54 |
| 09:30 | 1.51 | 3.64 |
| 10:00 | 1.21 | 1.82 |
| 10:30 | 1.21 | 1.82 |
| 11:00 | 0.91 | 1.52 |
| 11:30 | 0.91 | 1.52 |
| 12:00 | 0.91 | 1.21 |
| 12:30 | 0.91 | 1.21 |
| 13:00 | 0.61 | 1.21 |
| 13:30 | 0.61 | 1.21 |
| 14:00 | 0.6 | 0.91 |
| 14:30 | 0.61 | 0.91 |
| 15:00 | 0.61 | 1.21 |
| 15:30 | 0.6 | 1.21 |
| 16:00 | 4.53 | 8.76 |
| 16:30 | 3.02 | 4.52 |
| 17:00 | 3.02 | 6.33 |
| 17:30 | 2.71 | 3.32 |
| 18:00 | 4.22 | 8.74 |
| 18:30 | 3.32 | 5.73 |
| 19:00 | 3.16 | 5.73 |
| 19:30 | 2.71 | 4.52 |
- Rows × columns
- 24 × 3
- 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 |
|---|---|---|---|
et_time |
text | 24 distinct values (08:00, 08:30, 09:00…) | |
median_spread_bps |
number | 0.6 to 7.57 | |
p90_spread_bps |
number | 0.91 to 14.54 |
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.
SELECT
formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
round(quantileDeterministic(0.5)(20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price), toUInt64(sequence_number)), 2) AS median_spread_bps,
round(quantileDeterministic(0.9)(20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price), toUInt64(sequence_number)), 2) AS p90_spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= toDateTime('2026-09-15 08:00:00', 'America/New_York')
AND sip_timestamp < toDateTime('2026-09-15 20:00:00', 'America/New_York')
AND bid_price > 0
AND ask_price > bid_price
GROUP BY et_time
ORDER BY et_time
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