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Share of quote updates at the one-cent minimum spread, by half hour (regular hours, ET)

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 series 13×4read in context →
Share of quote updates at the one-cent minimum spread, by half hour (regular hours, ET) — 13 rows by 4 columns, computed from US exchange, SIP and OPRA data.
et_timespy_pct_pennyaapl_pct_pennyetsy_pct_penny
09:3024.23.30.4
10:0023.24.20.2
10:3023.85.90.3
11:0021.26.31.2
11:3022.98.21.4
12:0028.48.51
12:3026.611.21.4
13:0029.512.81.2
13:3026.614.10.8
14:0022.315.50.8
14:3021.515.21.1
15:0025.220.62
15:3036.323.17.6
Rows × columns
13 × 4
Period covered
to
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 Share of quote updates at the one-cent minimum spread, by half hour (regular hours, ET), derived from the stored result.
ColumnTypeRangeNotes
et_time date 09:30 to 15:30
spy_pct_penny number 21.2 to 36.3 percent
aapl_pct_penny number 3.3 to 23.1 percent
etsy_pct_penny number 0.2 to 7.6 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 et_time,
       round(100 * countIf(ticker = 'SPY' AND spread_c <= 1.0001) / countIf(ticker = 'SPY'), 1) AS spy_pct_penny,
       round(100 * countIf(ticker = 'AAPL' AND spread_c <= 1.0001) / countIf(ticker = 'AAPL'), 1) AS aapl_pct_penny,
       round(100 * countIf(ticker = 'ETSY' AND spread_c <= 1.0001) / countIf(ticker = 'ETSY'), 1) AS etsy_pct_penny
FROM (
    SELECT ticker,
           formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
           toFloat64(ask_price - bid_price) * 100 AS spread_c
    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 et_time
ORDER BY et_time

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