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 2026-10-04, from Why Are Spreads Wider at the Open? Real Data.
| ticker | sessions | median_session_x | calmest_session_x | worst_session_x | pct_sessions_open_wider |
|---|---|---|---|---|---|
| SPY | 8 | 1 | 1 | 2.01 | 62 |
| AAPL | 8 | 2.01 | 1.41 | 2.31 | 100 |
| ETSY | 8 | 3.04 | 2.17 | 4.53 | 100 |
- Rows × columns
- 3 × 6
- 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 |
|---|---|---|---|
ticker |
text | 3 distinct values (AAPL, ETSY, SPY) | |
sessions |
number | every row is 8 | |
median_session_x |
number | 1 to 3.04 | |
calmest_session_x |
number | 1 to 2.17 | |
worst_session_x |
number | 2.01 to 4.53 | |
pct_sessions_open_wider |
number | 62 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.
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,
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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