Stats › Intraday and market microstructure › Opening hour
97.8% of E-mini days break the first hour's range
| Measure | Figure | Source, instrument and sample |
|---|---|---|
| Day's high set in the first hour | 33.0% of days | TradingStats, ES futures, 2,686 days, Jan 2015 to Dec 2025, private study |
| Day's low set in the first hour | 40.4% of days | TradingStats, ES futures, same sample, private study |
| Day's high set in the first hour | 36.7% of days | TradingStats, NQ futures, 2,833 days, Jan 2015 to Dec 2025, private study |
| Day's low set in the first hour | 44.4% of days | TradingStats, NQ futures, same sample, private study |
| Day's high set in the first hour | 49% of days | Bulkowski, 55 US stocks, 60,300 daily samples, 2003 to 2005 and 2007 to 2009, private study |
| Day's high or day's low in the first hour | about 75% of days | BlackArbs, SPY, 3,774 days, May 2004 to May 2019, private study |
| First hour range broken later in the day | 97.8% of days | TradingStats, ES futures, 2015 to 2025, private study |
| Random walk baseline, extreme in first hour | 25.7% | Arcsine law, (2/π)·arcsin(√t) with t = 1/6.5, my calculation from the published formula |
| Trading rate 09:30 to 09:45, median | 41 contracts a second | CME Group, E-mini S&P 500, week of 17 Mar 2025, exchange published |
| Trading rate 15:45 to 16:00, median | 33 contracts a second | CME Group, same week, exchange published |
| First 30 min volume from orders entered before 07:00 | 3.5% | Cboe, US equities, 2024, exchange published |
Sources named per row and linked at the bottom of the page. The CME and Cboe rows are exchange publications. The high and low rows are private studies that state their method and sample but have not been audited or peer reviewed. Different instruments and different eras, so do not read across rows as if they were one dataset.
The first hour of the US session runs 09:30 to 10:30 New York. The day's high lands there on 33.0% of E-mini days against a 25.7% random walk baseline, and 97.8% of days break the hour's range later. A breakout is the default.
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