What it cost to cross the spread: NBBO updates and median quoted width, regular hours

Name: What it cost to cross the spread: NBBO updates and median quoted width, regular hours
Creator: Strasmore
Published: 2026-07-26
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 2026-07-26, from Market Recap: June 29, 2026, The Day in Numbers.

as of 2026-07-26 table 4×7read in context →

What it cost to cross the spread: NBBO updates and median quoted width, regular hours — 4 rows by 7 columns, computed 2026-07-26 from US exchange, SIP and OPRA data.
ticker	nbbo_updates_m	median_spread_bps	open_30min_spread_bps	midday_spread_bps	open_minus_midday_bps	dropped_invalid_quotes
MU	0.75	4.6	6.55	4.11	2.44	414
QQQ	4.42	0.84	0.98	0.55	0.42	629
SPY	3.98	0.41	0.41	0.27	0.14	1544
WDC	0.12	8.2	14.33	7.55	6.78	43

Rows × columns: 4 × 7
Computed: 2026-07-26
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 What it cost to cross the spread: NBBO updates and median quoted width, regular hours, derived from the stored result.
Column	Type	Range	Notes
`ticker`	text	4 distinct values (MU, QQQ, SPY…)
`nbbo_updates_m`	number	0.12 to 4.42
`median_spread_bps`	number	0.41 to 8.2
`open_30min_spread_bps`	number	0.41 to 14.33	US dollars
`midday_spread_bps`	number	0.27 to 7.55
`open_minus_midday_bps`	number	0.14 to 6.78	US dollars
`dropped_invalid_quotes`	number	43 to 1,544

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 2026-07-26, and the query below is what returned them.

the exact SQL behind every number

SELECT
    ticker,
    round(count() / 1e6, 2) AS nbbo_updates_m,
    round(quantileExactIf(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, bid_price > 0 AND ask_price >= bid_price), 2) AS median_spread_bps,
    round(quantileExactIf(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, bid_price > 0 AND ask_price >= bid_price AND sip_timestamp >= '2026-06-29 13:30:00' AND sip_timestamp < '2026-06-29 14:00:00'), 2) AS open_30min_spread_bps,
    round(quantileExactIf(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, bid_price > 0 AND ask_price >= bid_price AND sip_timestamp >= '2026-06-29 17:00:00' AND sip_timestamp < '2026-06-29 17:30:00'), 2) AS midday_spread_bps,
    round(quantileExactIf(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, bid_price > 0 AND ask_price >= bid_price AND sip_timestamp >= '2026-06-29 13:30:00' AND sip_timestamp < '2026-06-29 14:00:00')
        - quantileExactIf(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, bid_price > 0 AND ask_price >= bid_price AND sip_timestamp >= '2026-06-29 17:00:00' AND sip_timestamp < '2026-06-29 17:30:00'), 2) AS open_minus_midday_bps,
    countIf(NOT (bid_price > 0 AND ask_price >= bid_price)) AS dropped_invalid_quotes
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'QQQ', 'MU', 'WDC')
  AND sip_timestamp >= '2026-06-29 13:30:00' AND sip_timestamp < '2026-06-29 20:00:00'
GROUP BY ticker
ORDER BY ticker

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