thin_spread_intraday
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 2026-09-26, from what-is-liquidity.
| et_time | median_spread_pct | quote_update_count |
|---|---|---|
| 09:30 | 1.9 | 20 |
| 10:00 | 1.82 | 54 |
| 10:30 | 0.336 | 62 |
| 11:00 | 0.184 | 50 |
| 12:00 | 0.428 | 26 |
| 12:30 | 0.914 | 23 |
| 13:00 | 0.904 | 27 |
| 13:30 | 0.691 | 9 |
| 14:00 | 0.458 | 6 |
| 14:30 | 0.428 | 7 |
| 15:00 | 0.428 | 37 |
| 15:30 | 0.574 | 40 |
- Rows × columns
- 12 × 3
- 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 | 12 distinct values (09:30, 10:00, 10:30…) | |
median_spread_pct |
number | 0.184 to 1.9 | percent |
quote_update_count |
number | 6 to 62 | 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.
SELECT
formatDateTime(toStartOfInterval(sip_timestamp, INTERVAL 30 MINUTE), '%H:%i', 'America/New_York') AS et_time,
round(quantileDeterministic(0.5)(spread_pct, det), 3) AS median_spread_pct,
count() AS quote_update_count
FROM
(
SELECT
sip_timestamp,
(toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 100 AS spread_pct,
cityHash64(toString(sip_timestamp), ifNull(toString(sequence_number), '')) AS det
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'NATH'
AND sip_timestamp >= toDateTime('2026-09-10 08:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-09-11 01:00:00', 'UTC')
AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60
+ toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) >= 570
AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60
+ toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) < 960
AND bid_price > 0
AND ask_price > bid_price
)
GROUP BY et_time
ORDER BY et_time
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