Depends on the index stock/ETF you're looking at. The more popular ones like BBH and SMH and of course QQQ and SPY and fairly decent spreads. Even today during holiday trading the spread is a few cents on these (at least as I write this). But I have seen spreads as much as 25 cents on the BBH and 10 cents on the SMH (particularly on low volume days). There are a lot of much lower volume ETFs where the spread will undoubtedly be fairly large.