When rendering images using Spherical Harmonics (SH), the projection of a spherical function on the SH basis remains a computational challenge both for high-frequency functions and for emission functions from complex light sources. Recent works investigate efficient SH projection of the light field coming from polygonal and spherical lights. To further reduce the rendering time, instead of computing the SH coefficients at each vertex of a mesh or at each fragment on an image, it has been shown, for polygonal area light, that computing both the SH coefficients and their spatial gradients on a grid covering the scene allows the efficient and accurate interpolation of these coefficients at each shaded point. In this paper, we develop analytical recursive formulae to compute the spatial gradients of SH coefficients for spherical light. This requires the efficient computation of the spatial gradients of the SH basis function that we also derive. Compared to existing method for polygonal light, our method is faster, requires less memory and scales better with respect to the SH band limit. We also show how to approximate polygonal lights using spherical lights to benefit from our derivations. To demonstrate the effectiveness of our proposal, we integrate our algorithm in a shading system able to render fully dynamic scenes with several hundreds of spherical lights in real time.