Time of Day S&P 500 Set High And Low? (Day Trading Time Analysis)

At what time of day does SPY/S&P 500 set high and low? How much does SPY move intraday? What is the best time to trade SPY for a day trader?
Let’s find out by doing some intraday backtests on the S&P500 (SPY).

This morning I looked at when SPY makes high and low during the trading day (intraday) (regular market hours from 0930 to 1600). I had no particular plan behind this,

I just wanted to know if I could draw some day trading ideas from it. The total sample is 650 days, from January 2010 until the 31st of July 2012.

Here are the statistics from the intraday test in SPY:

	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 intraday 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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In addition to the findings related to SPY’s high and low patterns, it’s worth noting that these trends can provide valuable insights for traders. The statistics reveal that SPY tends to establish its high and low points during the first and last trading hours, which collectively account for only 31% of the trading day. This suggests that traders may find favorable opportunities to enter or exit positions during these hours, capitalizing on the market’s peak volatility.

Furthermore, the data indicates that the day’s low is more frequently established in the first trading hour than the day’s high. This occurrence may be attributed to the stock market’s inherent upward bias and the general tendency for markets to experience swifter declines than ascents. These insights can assist traders in making more informed decisions and optimizing their strategies in both bull and bear markets.

FAQ:

– What is the significance of understanding when SPY sets its daily high and low?

Understanding when SPY establishes its daily high and low can provide valuable insights for day traders, helping them identify potential entry and exit points.

– Why is the first trading hour considered more volatile for SPY?

The first trading hour is often more volatile for SPY due to the inherent upward bias of the stock market and the tendency for markets to experience quicker declines than rises.

– How can day traders benefit from SPY’s high and low patterns during the first and last trading hours?

Day traders can potentially capitalize on SPY’s peak volatility by looking for favorable entry and exit opportunities during the first and last trading hours.