Median quoted spread by phase of the trading day, in basis points (ET clock)
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 2026-10-04, from Why Are Spreads Wider at the Open? Real Data.
| phase | spy_bps | aapl_bps | etsy_bps |
|---|---|---|---|
| Premarket 04:00-07:00 | 0.65 | 8 | 450 |
| Premarket 07:00-09:30 | 0.52 | 5.34 | 319.76 |
| Open 09:30-10:00 | 0.26 | 1.79 | 28.65 |
| Midday 12:00-14:00 | 0.26 | 0.89 | 9.65 |
| After-hours 16:00-20:00 | 0.52 | 3.33 | 243.18 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
phase |
text | 5 distinct values | |
spy_bps |
number | 0.26 to 0.65 | |
aapl_bps |
number | 0.89 to 8 | |
etsy_bps |
number | 9.65 to 450 |
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 phase,
round(quantileExact(0.5)(spy_b), 2) AS spy_bps,
round(quantileExact(0.5)(aapl_b), 2) AS aapl_bps,
round(quantileExact(0.5)(etsy_b), 2) AS etsy_bps
FROM (
SELECT multiIf(et_min >= 240 AND et_min < 420, 'Premarket 04:00-07:00',
et_min >= 420 AND et_min < 570, 'Premarket 07:00-09:30',
et_min >= 570 AND et_min < 600, 'Open 09:30-10:00',
et_min >= 720 AND et_min < 840, 'Midday 12:00-14:00',
et_min >= 960 AND et_min < 1200, 'After-hours 16:00-20:00', 'other') AS phase,
if(ticker = 'SPY', spread_bps, NULL) AS spy_b,
if(ticker = 'AAPL', spread_bps, NULL) AS aapl_b,
if(ticker = 'ETSY', spread_bps, NULL) AS etsy_b
FROM (
SELECT ticker,
toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60
+ toMinute(toTimeZone(sip_timestamp, 'America/New_York')) AS et_min,
toFloat64(ask_price - bid_price) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000 AS spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'AAPL', 'ETSY')
AND sip_timestamp >= toDateTime(today() - 14)
AND sip_timestamp < toDateTime(today() - 3)
AND bid_price > 0
AND ask_price > bid_price
)
WHERE phase != 'other'
)
GROUP BY phase
ORDER BY indexOf(['Premarket 04:00-07:00', 'Premarket 07:00-09:30', 'Open 09:30-10:00', 'Midday 12:00-14:00', 'After-hours 16:00-20:00'], phase)
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