extended_hours_spreads
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 2026-10-01, from us-premarket-and-after-hours-uk-time.
| et_time | london_time | median_spread_bps | quote_update_count |
|---|---|---|---|
| 04:00 | 09:00 | 6.96 | 1528 |
| 05:00 | 10:00 | 5.74 | 434 |
| 06:00 | 11:00 | 7.26 | 655 |
| 07:00 | 12:00 | 4.84 | 1245 |
| 08:00 | 13:00 | 4.83 | 1386 |
| 09:00 | 14:00 | 1.51 | 101502 |
| 10:00 | 15:00 | 1.21 | 135693 |
| 11:00 | 16:00 | 0.91 | 105315 |
| 12:00 | 17:00 | 0.91 | 82479 |
| 13:00 | 18:00 | 0.61 | 66234 |
| 14:00 | 19:00 | 0.61 | 71955 |
| 15:00 | 20:00 | 0.61 | 114515 |
| 16:00 | 21:00 | 3.92 | 739 |
| 17:00 | 22:00 | 3.01 | 194 |
| 18:00 | 23:00 | 3.62 | 712 |
| 19:00 | 00:00 | 3.01 | 388 |
- Rows × columns
- 16 × 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_time |
text | 16 distinct values (04:00, 05:00, 06:00…) | |
london_time |
text | 16 distinct values (00:00, 09:00, 10:00…) | |
median_spread_bps |
number | 0.61 to 7.26 | |
quote_update_count |
number | 194 to 135,693 | count |
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
toTimeZone(sip_timestamp, 'America/New_York') AS et,
toTimeZone(sip_timestamp, 'Europe/London') AS uk,
toUInt64(sequence_number) AS seq,
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 = 'AAPL'
AND sip_timestamp >= '2026-09-15 08:00:00'
AND sip_timestamp < '2026-09-16 00:00:00'
AND bid_price > 0
AND ask_price >= bid_price
)
SELECT
formatDateTime(toStartOfHour(et), '%H:%i') AS et_time,
formatDateTime(toStartOfHour(uk), '%H:%i') AS london_time,
round(quantileDeterministic(0.5)(spread_bps, seq), 2) AS median_spread_bps
,
count() AS quote_update_count
FROM q
GROUP BY et_time, london_time
ORDER BY et_time
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