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Market Making in Prediction Markets
Quoted spread and quoted size through one KO session, by New York clockseries · 2026-09-24 · 32×3Preview: a 16-point series, roughly flat. Call delta and put delta at matched strikes, SPY, 20 to 45 days outtable · 2026-09-24 · 11×5 Where traded contracts sat, session by session, into one SPY expiryseries · 2026-09-24 · 31×5Preview: a 16-point series, ending higher. Implied volatility and delta sensitivity by time left, near-the-money SPYranking · 2026-09-24 · 6×4Preview: 6 ranked values, largest first.
Trade Markouts Explained: Execution Quality
Effective spread split into realized spread and adverse selection, by half hourseries · 2026-08-15 · 13×5Preview: a 13-point series, ending lower. INTC markout curve, June 10 2026, measured from two reference basesranking · 2026-08-15 · 5×4Preview: 5 ranked values, largest first. The same curve, split by print size: small fills against blocksranking · 2026-08-15 · 5×4Preview: 5 ranked values, largest first.
Why Market Makers Lose Money: Adverse Selection
AAPL prints by distance from the midpoint: share of volume and 60 second markoutranking · 2026-08-13 · 4×3Preview: 4 ranked values, smallest first. How much of the spread survives: AAPL markout curve, 1 second to 5 minutesranking · 2026-08-13 · 6×3Preview: 6 ranked values, smallest first. AAPL fills by print size: credit at the fill and value 60 seconds laterranking · 2026-08-13 · 4×4Preview: 4 ranked values, largest first. How far the price travels while a position waits: SPY and NVDA, May 2026ranking · 2026-08-13 · 6×3Preview: 6 ranked values, smallest first.
Quoted spread and quoted size through one KO session, by New York clock

Quoted spread and quoted size through one KO session, by New York clock

most recentas of series 32×3read in context →
Quoted spread and quoted size through one KO session, by New York clock — 32 rows by 3 columns, computed from US exchange, SIP and OPRA data.
et_timemedian_spread_bpsmedian_quoted_size
04:0031.78200
04:3012.48300
05:0019.34250
05:3013.72200
06:008.74300
06:306.24300
07:006.24300
07:3010300
08:0011.26300
08:3013.76500
09:0021.28300
09:302.53900
10:001.261000
10:301.26900
11:001.251100
11:301.251200
12:001.251200
12:301.251200
13:001.251200
13:301.251200
14:001.251100
14:301.251200
15:001.251100
15:301.251300
16:0051.34500
16:3015500
17:0032.58200
17:3035.06600
18:006.25700
18:3010.63700
19:0010.01200
19:3010.01300
the exact SQL behind every number 
SELECT
    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
    round(quantileDeterministic(0.5)(10000 * (toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2), toUInt64(sequence_number)), 2) AS median_spread_bps,
    round(quantileDeterministic(0.5)(toFloat64(bid_size) + toFloat64(ask_size), toUInt64(sequence_number)), 0) AS median_quoted_size
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'KO'
  AND sip_timestamp >= '2026-06-17 08:00:00'
  AND sip_timestamp <  '2026-06-18 00:00:00'
  AND bid_price > 0
  AND ask_price > bid_price
  AND sequence_number >= 0
GROUP BY et_time
ORDER BY et_time
More from this analysisMarket Making in Prediction Markets
Where traded contracts sat, session by session, into one SPY expiry series 31×5 → Call delta and put delta at matched strikes, SPY, 20 to 45 days out table 11×5 → Implied volatility and delta sensitivity by time left, near-the-money SPY ranking 6×4 → Near the money SPY put marks, May to June 2026 series 41×4 → See all 3,256 queries →
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