Stats › Intraday en marktmicrostructuur › E-mini spread
The E-mini quotes one tick ninety seven percent of the time, even on the worst days
| Mean | Median | Maximum | |
|---|---|---|---|
| E-mini, benchmark days | 1.003 | 1 | 6 |
| E-mini, high volatility days | 1.030 | 1 | 24 |
| S&P 500 fund, benchmark days | 1.005 | 1 | 7 |
| S&P 500 fund, high volatility days | 1.005 | 1 | 105 |
Quoted spreads in ticks, regular trading hours only, across twenty selected days from January 2014 to August 2017: the ten highest volatility days and ten matched benchmark days one year earlier. 553.73 million messages across 23.4 million ten millisecond intervals. These are not representative unconditional averages, because half the sample is extreme by construction.
The E-mini S&P 500 quotes a one tick spread about 97% of the time. On the ten most volatile days in a four year window its mean spread is 1.030 ticks and its maximum 24, while the equivalent exchange traded fund reached 105.
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