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SPY median quoted spread on one labeled sample session per month (second Wednesdays), every NBBO update

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: H1 2026.

as of series 6×4read in context →
SPY median quoted spread on one labeled sample session per month (second Wednesdays), every NBBO update — 6 rows by 4 columns, computed from US exchange, SIP and OPRA data.
sessionmed_spread_bpsquote_updates_minvalid_dropped
2026-01-140.14510.651410
2026-02-110.14412.391365
2026-03-110.2957.595639
2026-04-150.2862.121047
2026-05-130.272.64661
2026-06-100.4097.4812382
Rows × columns
6 × 4
Period covered
to
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 SPY median quoted spread on one labeled sample session per month (second Wednesdays), every NBBO update, derived from the stored result.
ColumnTypeRangeNotes
session date 2026-01-14 to 2026-06-10
med_spread_bps number 0.144 to 0.409
quote_updates_m number 2.12 to 12.39
invalid_dropped number 661 to 12,382

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.

the exact SQL behind every number 
SELECT toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session,
       round(quantileDeterministicIf(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, toUInt64(toUnixTimestamp64Micro(sip_timestamp)), bid_price > 0 AND ask_price >= bid_price), 3) AS med_spread_bps,
       round(count() / 1e6, 2) AS quote_updates_m,
       countIf(NOT (bid_price > 0 AND ask_price > 0 AND ask_price >= bid_price)) AS invalid_dropped
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPY'
  AND ((sip_timestamp >= toDateTime64('2026-01-14 14:30:00', 9) AND sip_timestamp < toDateTime64('2026-01-14 21:00:00', 9))
    OR (sip_timestamp >= toDateTime64('2026-02-11 14:30:00', 9) AND sip_timestamp < toDateTime64('2026-02-11 21:00:00', 9))
    OR (sip_timestamp >= toDateTime64('2026-03-11 13:30:00', 9) AND sip_timestamp < toDateTime64('2026-03-11 20:00:00', 9))
    OR (sip_timestamp >= toDateTime64('2026-04-15 13:30:00', 9) AND sip_timestamp < toDateTime64('2026-04-15 20:00:00', 9))
    OR (sip_timestamp >= toDateTime64('2026-05-13 13:30:00', 9) AND sip_timestamp < toDateTime64('2026-05-13 20:00:00', 9))
    OR (sip_timestamp >= toDateTime64('2026-06-10 13:30:00', 9) AND sip_timestamp < toDateTime64('2026-06-10 20:00:00', 9)))
GROUP BY session
ORDER BY session ASC

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More from this analysisMarket Recap: H1 2026
The 2s10s spread, every print of the half table 124×2 → Every first half on the tape: DIA and IWM, same arithmetic table 46×4 → Every first half on the tape: SPY and QQQ, recomputed identically by year (per-year session counts shown) table 39×4 → The half, month by month (SPY and QQQ, recomputed identically in one query) ranking 12×4 → Median quoted spread by sector ETF, one representative session (June 29, 2026), regular hours ranking 11×4 → The eleven sector ETFs: H1 2026 return, Q1 and Q2 split, and H1 dollar volume table 11×5 → See all 2,170 queries →