NVDA median quoted spread by session, regular hours (bps of midpoint)

Name: NVDA median quoted spread by session, regular hours (bps of midpoint)
Creator: Strasmore
Published: 2026-07-26
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 2026-07-26, from NVDA: Sit-Out, Then Surge, Week of July 6.

as of 2026-07-26 series 5×3read in context →

NVDA median quoted spread by session, regular hours (bps of midpoint) — 5 rows by 3 columns, computed 2026-07-26 from US exchange, SIP and OPRA data.
session	med_spread_bps	quote_updates
2026-07-06	1.02	1516856
2026-07-07	1.03	2411154
2026-07-08	1.52	1762259
2026-07-09	0.99	1798944
2026-07-10	0.96	2214184

Rows × columns: 5 × 3
Period covered: 2026-07-06 to 2026-07-10
Computed: 2026-07-26
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 NVDA median quoted spread by session, regular hours (bps of midpoint), derived from the stored result.
Column	Type	Range
`session`	date	2026-07-06 to 2026-07-10
`med_spread_bps`	number	0.96 to 1.52
`quote_updates`	number	1,516,856 to 2,411,154

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 2026-07-26, and the query below is what returned them.

the exact SQL behind every number

SELECT
    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), 2) AS med_spread_bps,
    count() AS quote_updates
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'NVDA'
  AND sip_timestamp >= toDateTime64('2026-07-06 13:30:00', 9) AND sip_timestamp < toDateTime64('2026-07-11 00:00:00', 9)
  AND (toHour(sip_timestamp) * 60 + toMinute(sip_timestamp)) BETWEEN 810 AND 1199
GROUP BY toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session
ORDER BY session

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