Self-Hosted A-Share Quant Workbench, Explained
What crossing the spread costs: average quoted spread, six US listings, midday 17 June 2026ranking ·
2026-08-13 · 6×2
How far the price travels inside one minute: KO, by New York clock time, 17 June 2026series ·
2026-08-13 · 18×2
Brier Score: How to Grade a Forecast
Brier score of the market's own stated probability, by underlyingranking ·
2026-08-13 · 6×4
The market's Brier score across expiry horizons, SPYranking ·
2026-08-13 · 6×4
SPY option deltas against how often those contracts finished in the moneyranking ·
2026-08-13 · 10×4
Ratio Spreads: Breakevens and Naked Risk
AAPL 25-session moves since January 2021, by sizeranking ·
2026-08-13 · 6×3
Pairs Trading and Cointegration Explained
Weekly z score of the KO/PEP spread, hedge ratio fitted on 2023 onlyseries ·
2026-08-13 · 105×2
Where the KO/PEP spread sat twenty sessions later, by starting z score (2019-2025)ranking ·
2026-08-13 · 6×4
Daily-return correlation vs price-level correlation, five familiar pairs (2024-2025)ranking ·
2026-08-13 · 5×3
Hedge ratio refitted each calendar year, two sector pairsranking ·
2026-08-13 · 7×3
Implied Volatility vs Vega: The Difference
Where vega peaks: AAPL vega and IV across strikes, 20 to 45 days out (July 2026)ranking ·
2026-08-13 · 12×4
Same underlying, same IV, rising vega: AAPL by days to expiry (July 2026)ranking ·
2026-08-13 · 14×4
Contract days behind the weekly IV series, by monthseries ·
2026-08-13 · 12×5
One input, three levels: weekly average IV for AAPL, NVDA and KO (20 to 45 days out)series ·
2026-08-13 · 53×5
Half-Penny Tick Sizes Under Rule 612
Average quoted spread and time on the penny floor, pinned sessionranking ·
2026-08-13 · 8×3
Share of the session spent at each quoted spread, three namesranking ·
2026-08-13 · 5×4
Share of each 15 minute bucket spent at a one cent quoted spreadseries ·
2026-08-13 · 30×3
What one cent is worth, as a share of the closing priceranking ·
2026-08-13 · 8×3
Heston Model and the Volatility Smile
How far at-the-money implied volatility itself travelled (Jan to Jun 2026)ranking ·
2026-08-12 · 6×4
Near-the-money implied volatility by time to expiry (Jan to Jun 2026)ranking ·
2026-08-12 · 6×3
SPY implied volatility by strike distance, 20 to 45 days to expiry (Jan to Jun 2026)ranking ·
2026-08-12 · 13×4
Put-side versus call-side implied volatility, 20 to 45 days (Jan to Jun 2026)ranking ·
2026-08-12 · 6×4
Daily at-the-money implied volatility, SPY and NVDA (Apr to Jun 2026)series ·
2026-08-12 · 62×3
PCAP Market Data: How Market Replay Works
Trade prints per second across the electronic day, June 10 2026series ·
2026-08-12 · 64×3
One minute of AAPL quotes, second by second, 09:30 ET on June 10 2026series ·
2026-08-12 · 60×3
Quote messages per trade, 09:30 to 10:00 ET on June 10 2026ranking ·
2026-08-12 · 5×3
AAPL quote clocks, SIP stamp minus exchange stamp, 09:30 to 11:00 ET on June 10 2026series ·
2026-08-12 · 9×4
Options Volume vs. Open Interest, Explained
Volume accumulates live: July 6, 2026 in half-hour buckets (ET), with a running totalseries ·
2026-08-12 · 14×3
Top 10 underlying roots by contracts traded, July 6, 2026table ·
2026-08-12 · 10×5
One day of the US options tape: Monday, July 6, 2026scalar ·
2026-08-12 · 1×860.6
July 6, 2026 volume by time to expiration: the tape is short-dated, the listed universe is nottable ·
2026-08-12 · 5×5
Ten sessions of one long-dated contract: the SPY $620 put expiring 2026-12-18series ·
2026-08-12 · 10×3
The ten busiest option contracts of July 6, 2026table ·
2026-08-12 · 10×5
MBO vs MBP Order Book Data Explained
Trade size mix in the same window (AAPL, 10:00 to 10:30 a.m. ET, June 16, 2026)ranking ·
2026-08-12 · 5×4
What changed between consecutive top-of-book messages (AAPL, 10:00 to 10:30 a.m. ET, June 16, 2026)ranking ·
2026-08-12 · 4×3
Top-of-book messages against prints, 10:00 to 10:30 a.m. ET, June 16, 2026ranking ·
2026-08-12 · 5×4
Market Recap: Week of July 20, 2026
Next week on the calendar: closures, ex-dividends, splits, and the expiry pullscalar ·
2026-08-12 · 1×60
SPY median quoted spread and NBBO updates per session, regular hours, July 20-24series ·
2026-08-12 · 5×5
SPY by session: close, change, and share volume, July 20-24series ·
2026-08-12 · 5×4
Options contracts, same-day share, and call share by session, July 20-24series ·
2026-08-12 · 5×5
SEC filings by session and form type, July 20-24series ·
2026-08-12 · 5×5
Advancers and decliners per session, names with $5M+ traded, July 20-24series ·
2026-08-12 · 5×5
Top names by regular-hours dollar volume, full week July 20-24ranking ·
2026-08-12 · 8×3
Daily short-volume file coverage: tickers on file and short shares, July 20-24series ·
2026-08-12 · 5×4
Session verification: sessions, bars, holiday rows, up and down closes, next closurescalar ·
2026-08-12 · 1×95
The week's corporate calendar: dividends, splits, listings, newsscalar ·
2026-08-12 · 1×917,144
SPY's week in trailing-year context (open-to-close weekly returns)scalar ·
2026-08-12 · 1×5-1.1
SPY / QQQ / DIA / IWM: week of July 20 vs the July 17 close, with the prior week's changetable ·
2026-08-12 · 4×5
Sector ETFs, full-week change: July 24 close vs July 17 closeranking ·
2026-08-12 · 11×3
Treasury curve by session, July 17 print through July 24series ·
2026-08-12 · 6×6
Weekly movers: ten biggest gainers and decliners, regular-hours closes, $5M+ traded, splits excludedtable ·
2026-08-12 · 20×6
Weekly breadth: July 24 regular close vs July 17 regular close, names with $5M+ traded during the weekscalar ·
2026-08-12 · 1×62,437
How to Estimate Queue Position From L2 Data
How AAPL prints break down by trade size, June 10 2026ranking ·
2026-08-12 · 5×3
Average quoted spread and time at a one cent spread, midday June 10 2026ranking ·
2026-08-12 · 6×3
Top of book messages against prints on the tape, AAPL, June 10 2026series ·
2026-08-12 · 8×4
The best bid and the price levels it visited, AAPL, 15 minute bucketsseries ·
2026-08-12 · 24×3
Held vs Not-Held Orders: Broker Discretion
Distance from AAPL's daily VWAP to that morning's opening printseries ·
2026-08-12 · 9×2
Average gap between the daily VWAP and the open, June 2026ranking ·
2026-08-12 · 6×3
Share of AAPL prints and volume by trade size, June 17 2026ranking ·
2026-08-12 · 5×3
Average quoted spread by half hour, AAPL and KO, June 17 2026series ·
2026-08-12 · 15×3
How Fractional Shares Hit the Tape
Small AAPL print sizes: five sessions in January 2026 against five in July 2026table ·
2026-08-12 · 26×3
Average shares per print by month, September 2025 through July 2026series ·
2026-08-12 · 11×5
Odd lots, round lots and sub-one-share prints across six names, July 8 to 10, 2026ranking ·
2026-08-12 · 6×4
AAPL average print size across the February 2026 boundaryseries ·
2026-08-12 · 19×4
How Buffer ETFs Work: Caps and Resets
A 15% cap and 9% buffer, seen from three entry pointsranking ·
2026-08-12 · 21×4
SPY calendar-year price return against a 15% cap and 9% bufferranking ·
2026-08-12 · 12×3
Remaining buffer and remaining cap by entry pointranking ·
2026-08-12 · 11×3
Compounding the index against the buffered payoff, net of a 0.79% feeranking ·
2026-08-12 · 12×3
Who Are the Biggest Market Makers?
Where Apple trades printed on June 10, 2026, by venueranking ·
2026-08-11 · 15×3
Quoted spread and quote traffic over fifteen minutes, June 10, 2026table ·
2026-08-11 · 5×5
Listed option series carrying data on one date, by underlyingranking ·
2026-08-11 · 5×4
Share of Apple volume printed off exchange, by monthseries ·
2026-08-11 · 12×2
What Is the Put-Call Ratio? A Data Guide
A decade of SPY put-call ratios: median, low and high of the daily reading by yeartable ·
2026-08-11 · 12×5
Put-call ratio by underlying: five of the most active names, June 2026ranking ·
2026-08-11 · 5×3
Market-wide put-call ratio by day: every listed US option, June 1 through July 10, 2026series ·
2026-08-11 · 28×4
The June 2026 put-call range: median, high and low of the daily market-wide ratioscalar ·
2026-08-11 · 1×50.793
Index-linked vs single-stock options: put-call ratio by population, June 2026ranking ·
2026-08-11 · 3×4
Put-call ratio by days to expiration: every listed US option, June 2026ranking ·
2026-08-11 · 5×4
What Is 0DTE? Zero Days to Expiry Options
July 6, 2026: top roots by same-day-expiry options volumeranking ·
2026-08-11 · 8×3
The receipt: July 6, 2026 session completeness and OCC parse coveragescalar ·
2026-08-11 · 1×6390
June 2026: whole-month options volume and its same-day-expiry sharescalar ·
2026-08-11 · 1×41,477.9
How July 6's same-day SPY contracts finished: out of the money vs. in the moneytable ·
2026-08-11 · 2×5
July 6, 2026: whole-tape options volume by days to expiryranking ·
2026-08-11 · 5×3
One 0DTE contract, all day: SPY's busiest same-day call and put, July 6, 2026series ·
2026-08-11 · 14×4
July 6, 2026: SPY's two busiest same-day contractsranking ·
2026-08-11 · 2×3
DTE Meaning in Options: Days to Expiration
DTE menus compared: expirations traded and 0DTE share by underlying, July 8, 2026table ·
2026-08-11 · 6×6
0DTE's rise: same-day share of SPY option volume, June 8-12 of each yearranking ·
2026-08-11 · 7×4
The front of the curve: share of July 8, 2026 volume within a week of expiryscalar ·
2026-08-11 · 1×361.8
Options volume by days to expiration: every US option traded July 8, 2026ranking ·
2026-08-11 · 6×3
DTE, worked on real contracts: SPY's most-traded option in each DTE band, July 8, 2026table ·
2026-08-11 · 6×5
The price of time: at-the-money SPY call price by DTE, midday July 8, 2026series ·
2026-08-11 · 11×3
The January Effect: Does It Still Work?
SPY share volume around the turn of the year, averaged since 2011ranking ·
2026-08-11 · 19×3
Distinct symbols printing at least one session, by yearranking ·
2026-08-11 · 20×2
The tape by average dollar volume, June 2026ranking ·
2026-08-11 · 5×3
Every January on the daily tape, in trading sessionsranking ·
2026-08-11 · 23×2
Quote-Driven vs Order-Driven Markets
Quoted spread and displayed size at the NBBO, one June 2026 hourranking ·
2026-08-11 · 5×3
AAPL option trade sizes, one June 2026 sessionranking ·
2026-08-11 · 5×4
Share of consolidated volume reported off exchange, by monthseries ·
2026-08-11 · 12×5
How US share volume concentrates across symbols, May 2026ranking ·
2026-08-11 · 5×4
OTC Markets Tiers and SEC Rule 15c2-11
Sessions traded in June 2026, share of exchange-listed symbolsranking ·
2026-08-11 · 5×2
spy_open_ramp
spy_open_ramp
| et_time | contract_volume | active_pct |
|---|---|---|
| 09:15 | 0 | 0 |
| 09:16 | 0 | 0 |
| 09:17 | 0 | 0 |
| 09:18 | 0 | 0 |
| 09:19 | 0 | 0 |
| 09:20 | 0 | 0 |
| 09:21 | 0 | 0 |
| 09:22 | 0 | 0 |
| 09:23 | 0 | 0 |
| 09:24 | 0 | 0 |
| 09:25 | 0 | 0 |
| 09:26 | 0 | 0 |
| 09:27 | 0 | 0 |
| 09:28 | 0 | 0 |
| 09:29 | 0 | 0 |
| 09:30 | 79450 | 100 |
| 09:31 | 7850 | 100 |
| 09:32 | 26796 | 100 |
| 09:33 | 45414 | 100 |
| 09:34 | 15329 | 100 |
| 09:35 | 49108 | 100 |
| 09:36 | 18352 | 100 |
| 09:37 | 31470 | 100 |
| 09:38 | 20996 | 100 |
| 09:39 | 36490 | 100 |
| 09:40 | 42035 | 100 |
| 09:41 | 21718 | 100 |
| 09:42 | 28877 | 100 |
| 09:43 | 39642 | 100 |
| 09:44 | 35376 | 100 |
| 09:45 | 41167 | 100 |
| 09:46 | 40783 | 100 |
| 09:47 | 54856 | 100 |
| 09:48 | 29440 | 100 |
| 09:49 | 51570 | 100 |
| 09:50 | 28752 | 100 |
| 09:51 | 29558 | 100 |
| 09:52 | 31180 | 100 |
| 09:53 | 21258 | 100 |
| 09:54 | 20868 | 100 |
| 09:55 | 22009 | 100 |
| 09:56 | 34339 | 100 |
| 09:57 | 18496 | 100 |
| 09:58 | 25615 | 100 |
| 09:59 | 27794 | 100 |
| 10:00 | 35862 | 100 |
the exact SQL behind every number
WITH tape AS
(
SELECT
toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York')) AS minute_of_day,
countDistinct(toDate(toTimeZone(window_start, 'America/New_York'))) AS days_traded,
sum(volume) AS contracts
FROM global_markets.options_minute_aggs
WHERE startsWith(ticker, 'O:SPY')
AND length(ticker) = 20
AND window_start >= today() - 12
AND window_start < today() - 2
GROUP BY minute_of_day
)
SELECT
formatDateTime(toDateTime('2026-01-01 00:00:00') + grid.minute_of_day * 60, '%H:%i') AS et_time,
toUInt64(round(ifNull(t.contracts, 0) / greatest((SELECT max(days_traded) FROM tape), 1))) AS contract_volume,
round(100 * ifNull(t.days_traded, 0) / greatest((SELECT max(days_traded) FROM tape), 1), 1) AS active_pct
FROM
(
SELECT 555 + arrayJoin(range(46)) AS minute_of_day
) AS grid
LEFT JOIN tape AS t ON t.minute_of_day = grid.minute_of_day
ORDER BY grid.minute_of_day
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