# At What Time of Day Does SPY/S&P 500 Set High And Low?

September 16, 2012 | Posted by Oddmund Grotte under strategies, trading topics |

This morning I had a look at when SPY makes high and low during the trading day (regular market hours from 0930 to 1600). I had no particular plan behind this, I just wanted to know if I can draw some trading ideas from it. The total sample is 650 days, from January 2010 until 31st of July 2012.

Here are the statistics:

First hour | Last hour | |

Todays High | 213 (33%) | 187 (29%) |

Todays Low | 266 (41%) | 136 (21%) |

As we can see, SPY sets high 62% of the time in the first or the last hour, even though these two hours represent only 31% of the trading hours. The result is about the same for the low of the day. Interestingly, though, is the fact that the first trading hour seems to be the most volatile.

Here are the numbers from 24th of April 2007 until 19 th of November 2009 (I just picked some random dates, this is also 650 days):

First hour | Last hour | |

Todays High | 204 (31%) | 192 (30%) |

Todays Low | 227 (35%) | 172 (26%) |

We get basically the same results from this random other period of 650 days.

Also of interest is that the low of the day is more prevalent in the first hour than the high of the day. Why? I guess there is two resons for that: First, the stock market has an upward bias, and second, the market usually drops faster than it rises. This seems to happen both in bear or bull markets.

I just went through this statistic, but have no ideas to any strategy right now. Does any of the readers have any suggestions?

This is very interesting. I did not know that SPY tends to set lows during the first hour. But, of course, the low of the day is not known until the day is finished – so not possible to trade.

I would therefore look for patterns on those 266 days of 1st hour low and try to find ways to distinguish these days from the remaining days at 1030. If you manage to do this, and the result also holds in your 2007-2009 sample, you may have a good strategy. (?)

[…] At what time of day does SPY set high and low? […]

That’s basically the reason behind the opening range breakout strategy.

Using time cycle analysis, one can find the exact timing of the low and high of the day. Accordingly a position can be taken. Same can be done on a daily chart too.