SPY's median quoted spread by half hour, 4:00 am to 8:00 pm ET
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 Microstructure Deep-Dive: June 29, 2026.
| et_time | median_spread_cents | quote_updates |
|---|---|---|
| 04:00 | 8 | 90477 |
| 04:30 | 7 | 94194 |
| 05:00 | 6 | 85391 |
| 05:30 | 6 | 84732 |
| 06:00 | 6 | 80634 |
| 06:30 | 6 | 67515 |
| 07:00 | 6 | 78384 |
| 07:30 | 7 | 90251 |
| 08:00 | 6 | 82373 |
| 08:30 | 6 | 96858 |
| 09:00 | 5 | 75032 |
| 09:30 | 3 | 714684 |
| 10:00 | 3 | 828786 |
| 10:30 | 3 | 598922 |
| 11:00 | 3 | 415660 |
| 11:30 | 3 | 254713 |
| 12:00 | 3 | 194340 |
| 12:30 | 2 | 159115 |
| 13:00 | 2 | 150132 |
| 13:30 | 2 | 106726 |
| 14:00 | 2 | 104312 |
| 14:30 | 2 | 99685 |
| 15:00 | 2 | 135135 |
| 15:30 | 2 | 219316 |
| 16:00 | 4 | 51513 |
| 16:30 | 4 | 18896 |
| 17:00 | 7 | 233 |
| 17:30 | 8 | 1466 |
| 18:00 | 7 | 40608 |
| 18:30 | 6 | 21385 |
| 19:00 | 6 | 25428 |
| 19:30 | 6 | 7955 |
- Rows × columns
- 32 × 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 | 32 distinct values (04:00, 04:30, 05:00…) | |
median_spread_cents |
number | 2 to 8 | |
quote_updates |
number | 233 to 828,786 |
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(toTimeZone(toStartOfInterval(sip_timestamp, INTERVAL 30 MINUTE), 'America/New_York'), '%H:%i') AS et_time,
round(quantileExactIf(0.5)(toFloat64(ask_price - bid_price), bid_price > 0 AND ask_price >= bid_price) * 100, 1) AS median_spread_cents,
count() AS quote_updates
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPY' AND sip_timestamp >= '2026-06-29 08:00:00' AND sip_timestamp < '2026-06-30 00:00:00'
GROUP BY et_time
ORDER BY et_time
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