spread_zoom
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 2026-09-30, from mass-cancel-and-purge-ports.
| et_time | avg_spread_bps | p90_spread_bps |
|---|---|---|
| 09:30 | 6.56 | 10.78 |
| 09:31 | 5.09 | 7.97 |
| 09:32 | 5.68 | 9.05 |
| 09:33 | 4.58 | 7.36 |
| 09:34 | 4.24 | 6.78 |
| 09:35 | 3.18 | 5.09 |
| 09:36 | 3.23 | 4.53 |
| 09:37 | 2.89 | 4.51 |
| 09:38 | 2.89 | 4.51 |
| 09:39 | 2.72 | 3.96 |
| 09:40 | 3.05 | 4.51 |
| 09:41 | 3.38 | 5.09 |
| 09:42 | 3.5 | 5.12 |
| 09:43 | 2.94 | 4.55 |
| 09:44 | 3.13 | 5.09 |
| 09:45 | 2.63 | 3.97 |
| 09:46 | 2.93 | 4.5 |
| 09:47 | 2.9 | 4.49 |
| 09:48 | 3.2 | 5.05 |
| 09:49 | 2.83 | 3.92 |
| 09:50 | 2.77 | 3.92 |
| 09:51 | 2.74 | 3.9 |
| 09:52 | 2.4 | 3.89 |
| 09:53 | 2.43 | 3.35 |
| 09:54 | 2.67 | 3.91 |
| 09:55 | 2.5 | 3.89 |
| 09:56 | 2.59 | 3.89 |
| 09:57 | 2.44 | 3.88 |
| 09:58 | 2.06 | 3.32 |
| 09:59 | 2.34 | 3.32 |
| 10:00 | 2.49 | 3.87 |
| 10:01 | 2.51 | 3.89 |
| 10:02 | 2.93 | 4.45 |
| 10:03 | 2.68 | 3.89 |
| 10:04 | 2.98 | 4.43 |
| 10:05 | 2.67 | 3.88 |
| 10:06 | 2.82 | 4.41 |
| 10:07 | 2.45 | 3.85 |
| 10:08 | 2.56 | 3.85 |
| 10:09 | 2.42 | 3.31 |
| 10:10 | 2.56 | 3.84 |
| 10:11 | 3.34 | 5.38 |
| 10:12 | 3.76 | 6.46 |
| 10:13 | 3.24 | 4.82 |
| 10:14 | 4.23 | 6.39 |
| 10:15 | 3.81 | 5.83 |
| 10:16 | 4.12 | 5.78 |
| 10:17 | 4.66 | 6.74 |
| 10:18 | 5.62 | 9.38 |
| 10:19 | 5.36 | 7.94 |
| 10:20 | 4.38 | 6.4 |
| 10:21 | 4.22 | 5.89 |
| 10:22 | 5.46 | 8.63 |
| 10:23 | 5.41 | 8.1 |
| 10:24 | 5.05 | 7.6 |
| 10:25 | 5.07 | 8.16 |
| 10:26 | 5.24 | 8.64 |
| 10:27 | 4.95 | 7.56 |
| 10:28 | 4.45 | 7.1 |
| 10:29 | 4.23 | 6.6 |
- Rows × columns
- 60 × 3
- 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 |
|---|---|---|---|
et_time |
text | 60 distinct values (09:30, 09:31, 09:32…) | |
avg_spread_bps |
number | 2.06 to 6.56 | |
p90_spread_bps |
number | 3.31 to 10.78 |
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
formatDateTime(toStartOfMinute(toTimeZone(sip_timestamp, 'America/New_York')), '%H:%i') AS et_time,
round(avg(spread_bps), 2) AS avg_spread_bps,
round(quantileDeterministic(0.90)(spread_bps, toUInt64(sequence_number)), 2) AS p90_spread_bps
FROM
(
SELECT
sip_timestamp,
sequence_number,
20000 * (toFloat64(ask_price) - toFloat64(bid_price))
/ (toFloat64(ask_price) + toFloat64(bid_price)) AS spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= '2025-04-07 13:30:00'
AND sip_timestamp < '2025-04-07 14:30:00'
AND bid_price > 0
AND ask_price > bid_price
)
GROUP BY et_time
ORDER BY et_time
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