Stock quote spread and depth by session: the four weeks from listing and the trailing three

Name: Stock quote spread and depth by session: the four weeks from listing and the trailing three
Creator: Strasmore
Published: 2026-10-05
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 2026-10-05, from SPCX: SpaceX Stock Price Decline From Peak.

as of 2026-10-05 series 34×5read in context →

Stock quote spread and depth by session: the four weeks from listing and the trailing three — 34 rows by 5 columns, computed 2026-10-05 from US exchange, SIP and OPRA data.
session_date	session_label	avg_spread_bps	avg_depth	dropped_invalid
2026-06-12	Jun 12	10.74	9506	24988
2026-06-15	Jun 15	5.19	2367	8411
2026-06-16	Jun 16	7.14	1478	7679
2026-06-17	Jun 17	8	1079	4348
2026-06-18	Jun 18	3.97	861	10114
2026-06-22	Jun 22	2.53	5530	3898
2026-06-23	Jun 23	3.44	4657	4050
2026-06-24	Jun 24	6.55	241	1970
2026-06-25	Jun 25	5.63	240	1335
2026-06-26	Jun 26	4.34	825	2960
2026-06-29	Jun 29	4.54	331	2280
2026-06-30	Jun 30	4.41	320	1227
2026-07-01	Jul 1	3.42	312	3839
2026-07-02	Jul 2	4.5	319	1411
2026-07-06	Jul 6	3.82	384	2449
2026-07-07	Jul 7	4.18	3265	3394
2026-07-08	Jul 8	4.81	456	2013
2026-07-09	Jul 9	4.72	328	1485
2026-07-10	Jul 10	3.6	685	3692
2026-09-14	Sep 14	2.48	296	3946
2026-09-15	Sep 15	1.85	378	7390
2026-09-16	Sep 16	2.04	386	11108
2026-09-17	Sep 17	1.89	442	8077
2026-09-18	Sep 18	1.58	390	17857
2026-09-21	Sep 21	1.96	341	8105
2026-09-22	Sep 22	1.78	402	7083
2026-09-23	Sep 23	1.83	443	5339
2026-09-24	Sep 24	1.56	326	7299
2026-09-25	Sep 25	1.71	319	5409
2026-09-28	Sep 28	1.89	339	6247
2026-09-29	Sep 29	2.4	368	1907
2026-09-30	Sep 30	1.76	319	5256
2026-10-01	Oct 1	1.59	376	6118
2026-10-02	Oct 2	1.55	345	9703

Rows × columns: 34 × 5
Period covered: 2026-06-12 to 2026-10-02
Computed: 2026-10-05
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 Stock quote spread and depth by session: the four weeks from listing and the trailing three, derived from the stored result.
Column	Type	Range
`session_date`	date	2026-06-12 to 2026-10-02
`session_label`	text	34 distinct values (Jul 1, Jul 10, Jul 2…)
`avg_spread_bps`	number	1.55 to 10.74
`avg_depth`	number	240 to 9,506
`dropped_invalid`	number	1,227 to 24,988

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 2026-10-05, 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
    toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session_date,
    formatDateTime(toDate(toTimeZone(sip_timestamp, 'America/New_York')), '%b %e') AS session_label,
    round(avgIf((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, bid_price > 0 AND ask_price > bid_price), 2) AS avg_spread_bps,
    round(avgIf((toFloat64(ask_size) + toFloat64(bid_size)) / 2, bid_price > 0 AND ask_price > bid_price), 0) AS avg_depth,
    countIf(NOT (bid_price > 0 AND ask_price > bid_price)) AS dropped_invalid
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPCX'
  AND sip_timestamp < now()
  AND ((sip_timestamp >= '2026-06-12 00:00:00' AND sip_timestamp < '2026-07-11 00:00:00')
       OR sip_timestamp >= now() - INTERVAL 21 DAY)
  AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60 + toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY session_date, session_label
HAVING countIf(bid_price > 0 AND ask_price > bid_price) > 0
ORDER BY session_date

SQL to run

SELECT
    toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session_date,
    formatDateTime(toDate(toTimeZone(sip_timestamp, 'America/New_York')), '%b %e') AS session_label,
    round(avgIf((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, bid_price > 0 AND ask_price > bid_price), 2) AS avg_spread_bps,
    round(avgIf((toFloat64(ask_size) + toFloat64(bid_size)) / 2, bid_price > 0 AND ask_price > bid_price), 0) AS avg_depth,
    countIf(NOT (bid_price > 0 AND ask_price > bid_price)) AS dropped_invalid
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPCX'
  AND sip_timestamp < now()
  AND ((sip_timestamp >= '2026-06-12 00:00:00' AND sip_timestamp < '2026-07-11 00:00:00')
       OR sip_timestamp >= now() - INTERVAL 21 DAY)
  AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60 + toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY session_date, session_label
HAVING countIf(bid_price > 0 AND ask_price > bid_price) > 0
ORDER BY session_date

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