Quoted bid-ask spread by fund: venue quotes, 11:00 to 13:59 ET, July 22, 2026

Name: Quoted bid-ask spread by fund: venue quotes, 11:00 to 13:59 ET, July 22, 2026
Creator: Strasmore
Published: 2026-08-02
License: https://www.strasmore.com/terms/

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 2026-08-02, from Mutual Funds vs ETFs: What Actually Differs.

as of 2026-08-02 ranking 7×4read in context →

Quoted bid-ask spread by fund: venue quotes, 11:00 to 13:59 ET, July 22, 2026 — 7 rows by 4 columns, computed 2026-08-02 from US exchange, SIP and OPRA data.
ticker	quote_count_millions	median_spread_bps	p90_spread_bps
XLU	0.07	2.19	2.19
AMLP	0.02	1.83	3.65
VNQ	0.21	1.01	1.01
VOO	0.27	0.58	0.73
QQQ	0.91	0.42	0.57
IWM	0.53	0.34	0.68
SPY	0.79	0.27	0.27

Rows × columns: 7 × 4
Computed: 2026-08-02
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 Quoted bid-ask spread by fund: venue quotes, 11:00 to 13:59 ET, July 22, 2026, derived from the stored result.
Column	Type	Range	Notes
`ticker`	text	7 distinct values (AMLP, IWM, QQQ…)
`quote_count_millions`	number	0.02 to 0.91	count
`median_spread_bps`	number	0.27 to 2.19
`p90_spread_bps`	number	0.27 to 3.65

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 2026-08-02, and the query below is what returned them.

the exact SQL behind every number

SELECT ticker,
       round(count() / 1000000, 2) AS quote_count_millions,
       round(quantileDeterministic(0.5)(20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price),
                                        cityHash64(sip_timestamp)), 2) AS median_spread_bps,
       round(quantileDeterministic(0.9)(20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price),
                                        cityHash64(sip_timestamp)), 2) AS p90_spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'VOO', 'QQQ', 'IWM', 'VNQ', 'XLU', 'AMLP')
  AND toDate(toTimeZone(sip_timestamp, 'America/New_York')) = toDate('2026-07-22')
  AND toHour(toTimeZone(sip_timestamp, 'America/New_York')) BETWEEN 11 AND 13
  AND bid_price > 0
  AND ask_price > bid_price
  AND toFloat64(ask_price - bid_price) / toFloat64(ask_price) < 0.05
GROUP BY ticker
ORDER BY median_spread_bps DESC

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