spread_cost
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 when-do-index-funds-trade.
| symbol | avg_spread_bps | p90_spread_bps |
|---|---|---|
| SPY | 0.273 | 0.395 |
| QQQ | 0.332 | 0.423 |
| VOO | 0.428 | 0.573 |
| IWM | 0.471 | 0.7 |
| IVV | 0.739 | 0.92 |
| DIA | 0.798 | 0.96 |
- Rows × columns
- 6 × 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 |
|---|---|---|---|
symbol |
text | 6 distinct values (DIA, IVV, IWM…) | |
avg_spread_bps |
number | 0.273 to 0.798 | |
p90_spread_bps |
number | 0.395 to 0.96 |
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
ticker AS symbol,
round(avg(20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price)), 3) AS avg_spread_bps,
round(quantileDeterministic(0.9)(20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price), toUInt64(sequence_number)), 3) AS p90_spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'VOO', 'IVV', 'QQQ', 'DIA', 'IWM')
AND sip_timestamp >= toDateTime('2026-09-15 14:00:00')
AND sip_timestamp < toDateTime('2026-09-15 14:05:00')
AND ask_price > bid_price
AND bid_price > 0
GROUP BY ticker
ORDER BY avg_spread_bps
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