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What it cost to trade the busiest contract: NBBO spread over its three sessions

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 2026-07-27, from SPCX: SpaceX's First Month on the Public Market.

as of series 3×6read in context →
What it cost to trade the busiest contract: NBBO spread over its three sessions — 3 rows by 6 columns, computed from US exchange, SIP and OPRA data.
sessionnbbo_updatesdropped_bad_quotesavg_spread_centsmed_spread_centsavg_spread_pct_of_mid
2026-06-1623567010.3106.7
2026-06-176248606.557.68
2026-06-1893198377.755.23
Rows × columns
3 × 6
Period covered
to
Computed
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 What it cost to trade the busiest contract: NBBO spread over its three sessions, derived from the stored result.
ColumnTypeRangeNotes
session date 2026-06-16 to 2026-06-18
nbbo_updates number 23,567 to 93,198
dropped_bad_quotes number 0 to 37
avg_spread_cents number 6.5 to 10.3
med_spread_cents number 5 to 10
avg_spread_pct_of_mid number 5.23 to 7.68 percent

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.

the exact SQL behind every number 
SELECT
    toDate(sip_timestamp) AS session,
    count() AS nbbo_updates,
    countIf(bid_price <= 0 OR ask_price < bid_price) AS dropped_bad_quotes,
    round(avgIf(toFloat64(ask_price) - toFloat64(bid_price), bid_price > 0 AND ask_price >= bid_price) * 100, 1) AS avg_spread_cents,
    round(quantileDeterministicIf(0.5)(toFloat64(ask_price) - toFloat64(bid_price), toUInt64(sequence_number), bid_price > 0 AND ask_price >= bid_price) * 100, 1) AS med_spread_cents,
    round(100 * avgIf((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2), bid_price > 0 AND ask_price >= bid_price), 2) AS avg_spread_pct_of_mid
FROM global_markets.cache_options_quotes
WHERE ticker = 'O:SPCX260618P00175000'
  AND sip_timestamp >= toDateTime64('2026-06-16 00:00:00', 9) AND sip_timestamp < toDateTime64('2026-06-19 00:00:00', 9)
GROUP BY session
ORDER BY session

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