spread_by_session
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 2026-10-08, from us-premarket-and-after-hours-india-time.
| ticker | premarket_spread_bps | regular_spread_bps | afterhours_spread_bps |
|---|---|---|---|
| AAPL | 7.54 | 1.2 | 6.31 |
| KO | 13.58 | 1.13 | 18.19 |
| MSFT | 8.7 | 2.23 | 7.34 |
| NVDA | 3.29 | 0.93 | 2.34 |
- Rows × columns
- 4 × 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 |
|---|---|---|---|
ticker |
text | 4 distinct values (AAPL, KO, MSFT…) | |
premarket_spread_bps |
number | 3.29 to 13.58 | |
regular_spread_bps |
number | 0.93 to 2.23 | |
afterhours_spread_bps |
number | 2.34 to 18.19 |
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.
WITH q AS
(
SELECT
ticker,
toUInt64(sequence_number) AS seq_w,
(toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60
+ toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) AS et_min,
10000 * (toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) AS spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('AAPL', 'KO', 'MSFT', 'NVDA')
AND sip_timestamp >= '2026-09-16 08:00:00'
AND sip_timestamp < '2026-09-17 01:00:00'
AND bid_price > 0
AND ask_price > bid_price
)
SELECT
ticker,
round(quantileDeterministicIf(0.5)(spread_bps, seq_w, et_min >= 240 AND et_min < 570), 2) AS premarket_spread_bps,
round(quantileDeterministicIf(0.5)(spread_bps, seq_w, et_min >= 570 AND et_min < 960), 2) AS regular_spread_bps,
round(quantileDeterministicIf(0.5)(spread_bps, seq_w, et_min >= 960 AND et_min < 1200), 2) AS afterhours_spread_bps
FROM q
GROUP BY ticker
HAVING countIf(et_min >= 240 AND et_min < 570) > 0
AND countIf(et_min >= 960 AND et_min < 1200) > 0
ORDER BY ticker
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