Stats › Intraday and market microstructure › Opening hour
The opening hour
Everyone who trades the US session has a theory about the first hour. It's where the volume is, it's where the range gets built, it's where the day's high or low goes in. Some of that turns out to be measurable. A surprising amount of it turns out not to be published by anybody.
So this page splits into two halves. The first half is what I could actually source: how often the day's extreme lands in the first sixty minutes, in E-mini futures and in US stocks, and what that looks like next to the baseline you'd get from a coin flip. The second half is the part I couldn't source, which is the first hour's share of the day's volume and the day's volatility. Exchanges publish the closing side of the day in detail. The opening side is close to a blank page.
I've labelled every figure with who measured it, on what, over what period. Two of the sources are private studies rather than exchange publications, and I've said so at every point where I use them. Go and check them yourself before you build anything on top of them.
The day's high lands in the first hour on 33.0% of E-mini S&P 500 days and the day's low on 40.4%, across 2,686 sessions from 2015 to 2025. The random walk baseline for either extreme falling in the first hour of a 6.5 hour session is 25.7%, so the open is doing more than chance, but not enormously more. On SPY, one extreme or the other is in place by 10:30 on roughly 75% of days. Meanwhile 97.8% of ES days break the first hour's range later on, so a first hour breakout is the default outcome, not a signal. And no exchange I could find publishes the first hour's share of daily volume, while the closing side is documented repeatedly: 21.2% of volume in the final hour in 2021, 14.1% from 15:45, about 4.5% in the closing auction.
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Below this point there are 8 sections, 1 chart, 1 table and 10 named sources, roughly 2300 words of it. Every figure carries the source it came from and the date the data is from.
You can keep browsing every statistic in the library for free. The intro and the summary are always open.