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The penny tick and the quoted gap, in basis points

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 2026-08-07, from The Sub-Penny Rule and Price Improvement.

as of table 7×5read in context →
The penny tick and the quoted gap, in basis points — 7 rows by 5 columns, computed from US exchange, SIP and OPRA data.
nameavg_spread_centsone_cent_bpsspread_bpstier
MSFT ($388)6.230.261.61above $0.015
AAPL ($300)3.190.331.06above $0.015
NVDA ($207)1.520.480.74above $0.015
KO ($80)1.541.261.94above $0.015
BAC ($58)11.731.73at or under $0.015
T ($23)14.444.44at or under $0.015
F ($14)16.946.94at or under $0.015
Rows × columns
7 × 5
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 The penny tick and the quoted gap, in basis points, derived from the stored result.
ColumnTypeRangeNotes
name text 7 distinct values (AAPL ($300), BAC ($58), F ($14)…)
avg_spread_cents number 1 to 6.23
one_cent_bps number 0.26 to 6.94
spread_bps number 0.74 to 6.94
tier text 2 distinct values (above $0.015, at or under $0.015)

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
WITH best_quote AS
(
    SELECT
        ticker,
        toStartOfSecond(sip_timestamp) AS sec,
        toFloat64(max(bid_price))      AS best_bid,
        toFloat64(min(ask_price))      AS best_ask
    FROM global_markets.cache_stocks_quotes
    WHERE ticker IN ('MSFT', 'AAPL', 'NVDA', 'KO', 'BAC', 'T', 'F')
      AND sip_timestamp >= '2026-06-17 14:00:00'
      AND sip_timestamp <  '2026-06-17 14:15:00'
      AND bid_price > 0
      AND ask_price > bid_price
    GROUP BY ticker, sec
    HAVING min(ask_price) > max(bid_price)
)
SELECT
    concat(ticker, ' ($', toString(round(avg((best_bid + best_ask) / 2), 0)), ')') AS name,
    round(avg(best_ask - best_bid) * 100, 2)                                       AS avg_spread_cents,
    round(10000 * 0.01 / avg((best_bid + best_ask) / 2), 2)                        AS one_cent_bps,
    round(10000 * avg(best_ask - best_bid) / avg((best_bid + best_ask) / 2), 2)    AS spread_bps,
    if(avg(best_ask - best_bid) <= 0.015, 'at or under $0.015', 'above $0.015')     AS tier
FROM best_quote
GROUP BY ticker
ORDER BY avg((best_bid + best_ask) / 2) DESC

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