At what time of day does SPY/S&P 500 set high and low? How much does SPY move in a day? What is the best time to trade SPY?
Let’s find out by doing some backtests.
This morning I looked 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 could draw some trading ideas from it. The total sample is 650 days, from January 2010 until the 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 a 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 that the first trading hour seems to be the most volatile.
Here are the numbers from the 24th of April 2007 until the 19th 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 the same results from other random periods of 650 days.
Also of interest is that the day’s low is more prevalent in the first hour than the day’s high. Why? I guess there are two reasons 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.
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