Debut-day quoted spread by hour: the seasoning process, hour zero
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 SK Hynix's Nasdaq Debut, Measured.
| et_hour | med_spread_bps | quote_updates | two_sided_updates |
|---|---|---|---|
| 11 | 10 | 97165 | 96654 |
| 12 | 5.8 | 89901 | 89290 |
| 13 | 5.2 | 46980 | 46964 |
| 14 | 5.3 | 43489 | 43482 |
| 15 | 4.1 | 49685 | 49616 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
et_hour |
number | 11 to 15 | |
med_spread_bps |
number | 4.1 to 10 | |
quote_updates |
number | 43,489 to 97,165 | |
two_sided_updates |
number | 43,482 to 96,654 |
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
toHour(toTimeZone(sip_timestamp, 'America/New_York')) AS et_hour,
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), 1) AS med_spread_bps,
count() AS quote_updates,
countIf(bid_price > 0 AND ask_price > bid_price) AS two_sided_updates
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SKHYV'
AND sip_timestamp >= toDateTime64('2026-07-10 13:30:00', 9) AND sip_timestamp < toDateTime64('2026-07-10 20:00:00', 9)
AND (toHour(sip_timestamp) * 60 + toMinute(sip_timestamp)) BETWEEN 810 AND 1199
GROUP BY et_hour
HAVING countIf(bid_price > 0 AND ask_price > bid_price) > 0
ORDER BY et_hour
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