Stats › Intraday and market microstructure › Volume curve

Six published answers for the close, from 4.5% to 33%

First 30 min plus last 30 min, BofA data cited 2013
33%
Last 30 min, S&P 500 stocks, Traders Magazine undated
25%
Last 30 min, all volume, Credit Suisse by 2010
18%
Closing auction, S&P 500 stocks, BMLL H1 2024
12.3%
Closing auction, all US, BMLL 2024
9%
Closing auction, all venues, Cboe Oct 2020
4.5%

The top three include continuous trading in the window as well as the auction print. The bottom three measure only the auction. Universes differ too: S&P 500 stocks against the whole market. This chart is here to show you the spread of published answers, not to pick one.

US equity volume is U shaped, heaviest just after the 09:30 open and just before the 16:00 close. How big the close is depends on what you count: published answers run from 4.5% to 33% of daily volume. No exchange publishes the half hourly split.

12:45 to 13:00Quietest part of the day
12.3%Closing auction, S&P 500
4.5% to 33%Published answers, close
Closer to 70%Off-exchange, midday

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