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Was liquidity unusual? SPY's regular-hours median spread vs the trailing month of sessions

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: July 2, 2026, The Day in Numbers.

as of scalar 1×6read in context →
jul2 median spread bps
0.27
trailing median bps
0.27
jul2 minus trailing bps
0
wider rank
11
sessions compared
22
widest session bps
0.409
Rows × columns
1 × 6
Computed
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 Was liquidity unusual? SPY's regular-hours median spread vs the trailing month of sessions, derived from the stored result.
ColumnTypeRangeNotes
jul2_median_spread_bps number every row is 0.27
trailing_median_bps number every row is 0.27
jul2_minus_trailing_bps number every row is 0
wider_rank number every row is 11
sessions_compared number every row is 22
widest_session_bps number every row is 0.409

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 per_day AS (
    SELECT toDate(sip_timestamp) AS d,
           quantileExact(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000) AS med_bps
    FROM global_markets.cache_stocks_quotes
    WHERE ticker = 'SPY'
      AND sip_timestamp >= '2026-06-02 00:00:00' AND sip_timestamp < '2026-07-03 00:00:00'
      AND (toHour(sip_timestamp) * 60 + toMinute(sip_timestamp)) BETWEEN 810 AND 1199
      AND toFloat64(bid_price) > 0 AND toFloat64(ask_price) > toFloat64(bid_price)
    GROUP BY d
)
SELECT
    round(anyIf(med_bps, d = toDate('2026-07-02')), 3) AS jul2_median_spread_bps,
    round(quantileExact(0.5)(med_bps), 3) AS trailing_median_bps,
    round(anyIf(med_bps, d = toDate('2026-07-02')) - quantileExact(0.5)(med_bps), 3) AS jul2_minus_trailing_bps,
    arrayCount(x -> x > anyIf(med_bps, d = toDate('2026-07-02')), groupArrayIf(med_bps, d != toDate('2026-07-02'))) + 1 AS wider_rank,
    count() AS sessions_compared,
    round(max(med_bps), 3) AS widest_session_bps
FROM per_day
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More from this analysisMarket Recap: July 2, 2026, The Day in Numbers
Session check: SPY's observed minute-bar span, and the July 3 closure on the tape scalar 1×6 → One row for the whole options day: volume, same-day expiry, the holiday-shifted week, and the July monthly scalar 1×19 → After the holiday: the next session, its ex-dividends and splits, the next scheduled closure, and the short-interest lag scalar 1×9 → The receipt: the July 2 treasury print is on file scalar 1×2 → SPY and QQQ ranked against the trailing month of sessions (rank 1 = biggest absolute move) scalar 1×7 → Stocks NBBO update count: July 2 vs July 1, with named-ticker updates (millions) scalar 1×6 → See all 2,985 queries →