SPY on a calm day vs. a fast day: session range, per-minute movement, and 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 2026-07-26, from Market Order vs Limit Order, Measured.
| session | session_range_pct | avg_minute_range_cents | worst_minute_range_cents | median_spread_cents |
|---|---|---|---|---|
| 2026-07-08 | 0.9 | 37.2 | 133 | 2 |
| 2025-04-09 | 10.8 | 156.4 | 1638 | 5 |
- Rows × columns
- 2 × 5
- Period covered
- to
- 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 |
|---|---|---|---|
session |
date | 2025-04-09 to 2026-07-08 | |
session_range_pct |
number | 0.9 to 10.8 | percent |
avg_minute_range_cents |
number | 37.2 to 156.4 | |
worst_minute_range_cents |
number | 133 to 1,638 | |
median_spread_cents |
number | 2 to 5 |
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 quotes AS (
SELECT toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS d,
round(quantileDeterministicIf(0.5)(toFloat64(ask_price - bid_price) * 100, cityHash64(ticker, sip_timestamp), bid_price > 0 AND ask_price > bid_price), 1) AS median_spread_cents
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPY'
AND ((sip_timestamp >= '2026-07-08 04:00:00' AND sip_timestamp < '2026-07-09 04:00:00')
OR (sip_timestamp >= '2025-04-09 04:00:00' AND sip_timestamp < '2025-04-10 04:00:00'))
AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60 + toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY d
HAVING countIf(bid_price > 0 AND ask_price > bid_price) > 0
),
bars AS (
SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS d,
round(avg(toFloat64(high - low) * 100), 1) AS avg_minute_range_cents,
round(max(toFloat64(high - low) * 100), 0) AS worst_minute_range_cents,
round((max(high) - min(low)) / argMin(toFloat64(open), window_start) * 100, 1) AS session_range_pct
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND ((window_start >= '2026-07-08 04:00:00' AND window_start < '2026-07-09 04:00:00')
OR (window_start >= '2025-04-09 04:00:00' AND window_start < '2025-04-10 04:00:00'))
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY d
)
SELECT formatDateTime(quotes.d, '%Y-%m-%d') AS session,
bars.session_range_pct,
bars.avg_minute_range_cents,
bars.worst_minute_range_cents,
quotes.median_spread_cents
FROM quotes INNER JOIN bars ON quotes.d = bars.d
ORDER BY quotes.d DESC
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