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.
| session | med_spread_bps | quote_updates_m | invalid_dropped |
|---|---|---|---|
| 2026-01-14 | 0.145 | 10.65 | 1410 |
| 2026-02-11 | 0.144 | 12.39 | 1365 |
| 2026-03-11 | 0.295 | 7.59 | 5639 |
| 2026-04-15 | 0.286 | 2.12 | 1047 |
| 2026-05-13 | 0.27 | 2.64 | 661 |
| 2026-06-10 | 0.409 | 7.48 | 12382 |
- 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
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
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.
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 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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