STRASMORE/EXPLORE 2,170 QUERIES

Session by session: how often, and by how much, the open ran wider than midday

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 2026-08-08, from Why Are Spreads Wider at the Open? Real Data.

as of table 3×6read in context →
Session by session: how often, and by how much, the open ran wider than midday — 3 rows by 6 columns, computed from US exchange, SIP and OPRA data.
tickersessionsmedian_session_xcalmest_session_xworst_session_xpct_sessions_open_wider
SPY71.490.662.0186
AAPL72.31.746.91100
ETSY73.322.244.13100
Rows × columns
3 × 6
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for Session by session: how often, and by how much, the open ran wider than midday, derived from the stored result.
ColumnTypeRangeNotes
ticker text 3 distinct values (AAPL, ETSY, SPY)
sessions number every row is 7
median_session_x number 1.49 to 3.32
calmest_session_x number 0.66 to 2.24
worst_session_x number 2.01 to 6.91
pct_sessions_open_wider number 86 to 100 percent

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.

the exact SQL behind every number 
SELECT ticker,
       count() AS sessions,
       round(quantileExact(0.5)(ratio), 2) AS median_session_x,
       round(min(ratio), 2) AS calmest_session_x,
       round(max(ratio), 2) AS worst_session_x,
       round(100 * countIf(ratio > 1) / count(), 0) AS pct_sessions_open_wider
FROM (
    SELECT ticker,
           toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session_date,
           quantileExactIf(0.5)(spread_bps, clock_min BETWEEN 810 AND 839)
             / quantileExactIf(0.5)(spread_bps, clock_min BETWEEN 960 AND 1079) AS ratio
    FROM (
        SELECT ticker,
               sip_timestamp,
               toHour(sip_timestamp) * 60 + toMinute(sip_timestamp) AS clock_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 (toHour(sip_timestamp) * 60 + toMinute(sip_timestamp)) BETWEEN 810 AND 1199
          AND bid_price > 0
          AND ask_price > bid_price
    )
    GROUP BY ticker, session_date
    HAVING countIf(clock_min BETWEEN 810 AND 839) > 0
       AND countIf(clock_min BETWEEN 960 AND 1079) > 0
)
GROUP BY ticker
ORDER BY indexOf(['SPY', 'AAPL', 'ETSY'], ticker)

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More from this analysisWhy Are Spreads Wider at the Open? Real Data
The opening premium priced: median and 90th-percentile spread at the open (9:30-10:00 ET) vs. midday (12:00-14:00 ET) table 3×12 → Share of quote updates at the one-cent minimum spread, by half hour (regular hours, ET) series 13×4 → Median spread each half hour, as a multiple of each name's tightest bucket (regular hours, ET) series 13×4 → MU: median quoted spread by half hour on July 7, 2026 (ET, regular hours) series 13×5 → Median quoted spread by phase of the trading day, in basis points (ET clock) ranking 5×4 → Window guard: the UTC session filter maps to a 9:30 a.m. ET start on both ends of the rolling window scalar 1×2 → See all 2,170 queries →