Average quoted spread at the open and at midday, 2026-09-15
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 2026-10-08, from Market Orders With Protection on CME Globex.
| symbol | open_spread_bps | midday_spread_bps | open_minus_midday_bps |
|---|---|---|---|
| F | 8.34 | 7.37 | 0.97 |
| MSFT | 6.71 | 1.8 | 4.91 |
| KO | 4 | 1.29 | 2.71 |
| AAPL | 3.15 | 0.88 | 2.27 |
| NVDA | 2.22 | 0.67 | 1.55 |
| SPY | 0.45 | 0.25 | 0.2 |
- Rows × columns
- 6 × 4
- 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 |
|---|---|---|---|
symbol |
text | 6 distinct values (AAPL, F, KO…) | |
open_spread_bps |
number | 0.45 to 8.34 | US dollars |
midday_spread_bps |
number | 0.25 to 7.37 | |
open_minus_midday_bps |
number | 0.2 to 4.91 | US dollars |
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
symbol,
round(avgIf(spread_bps, phase = 'open'), 2) AS open_spread_bps,
round(avgIf(spread_bps, phase = 'midday'), 2) AS midday_spread_bps,
round(avgIf(spread_bps, phase = 'open') - avgIf(spread_bps, phase = 'midday'), 2) AS open_minus_midday_bps
FROM
(
SELECT
ticker AS symbol,
if(sip_timestamp < toDateTime('2026-09-15 13:40:00', 'UTC'), 'open', 'midday') AS phase,
(toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000 AS spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO', 'F')
AND (
(sip_timestamp >= toDateTime('2026-09-15 13:30:00', 'UTC')
AND sip_timestamp < toDateTime('2026-09-15 13:35:00', 'UTC'))
OR (sip_timestamp >= toDateTime('2026-09-15 16:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-09-15 16:05:00', 'UTC'))
)
AND bid_price > 0
AND ask_price > bid_price
AND (toFloat64(ask_price) - toFloat64(bid_price)) / toFloat64(bid_price) < 0.05
)
GROUP BY symbol
HAVING countIf(phase = 'open') > 0 AND countIf(phase = 'midday') > 0
ORDER BY open_spread_bps DESC
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