Nanex ~ 10-May-2013 ~ Tighter Spreads? Not at Market Open
The chart below shows the price and quote spread at market open for Microsoft stock
from January 2004 through May 7, 2013. The opening quote spread - the best ask price
minus the best bid price is plotted in log scale (right side) and ranges from $0.01
and $0.28. A 50 period moving average of the quote spread is drawn in dark blue and
helps us see the longer term trend. Regulation NMS (and nefarious High Frequency Trading)
came about in early 2007. Note that quotes at the open are significantly wider than they were before 2007.
1. MSFT - Price and quote spread during market open from January 2004 through
May 7, 2013.