Stats › Intraday and market microstructure › Volume curve
Intraday volume, the U shape
Trading volume isn't spread evenly across the day. It piles up at the open, drains away through the middle, and then piles up again into the close. Plot it and you get a U. That shape has been in the academic literature since the 1980s and it's still there, though it has changed sign of late and become more of a J.
I went looking for the obvious thing, a published table showing what percentage of the day's volume happens in each half hour. I could not find one from an exchange. Cboe publishes venue market share, Nasdaq publishes a daily summary, NYSE publishes auction statistics, and none of them publishes the intraday distribution. What exists is vendor research and academic work, using different universes and different denominators, and they disagree with each other by a factor of five.
So this page is partly the shape of the day and partly a warning about the numbers people quote for it. Six sources at the bottom, dated, with what each one actually measured spelled out.
US equity volume is U shaped across the session, heaviest in the first minutes after 9:30 and the last minutes before 16:00, thinnest between 12:45 and 13:00. How big the closing hump is depends entirely on what you count: more than 25% of daily volume in the last half hour for S&P 500 stocks by one undated trade press figure, 33% in the first and last half hours combined per Bank of America data cited in 2013, but only 12.3% in the closing auction itself for S&P 500 stocks in the first half of 2024, and just 4.5% of total market volume in October 2020 by Cboe's count. No exchange publishes a half hourly breakdown of the US session.
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Below this point there are 8 sections, 1 chart, 1 table and 6 named sources, roughly 1950 words of it. Every figure carries the source it came from and the date the data is from.
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