Average one-minute high-low range by time of day

Name: Average one-minute high-low range by time of day
Creator: Strasmore
Published: 2026-08-08
License: https://www.strasmore.com/terms/

Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-08-08, from Stop Order vs Stop-Limit Order: How Each Fills.

as of 2026-08-08 series 13×3read in context →

Average one-minute high-low range by time of day — 13 rows by 3 columns, computed 2026-08-08 from US exchange, SIP and OPRA data.
et_time	nvda_range_bps	spy_range_bps
09:30	28.5	7
10:00	18.8	6.2
10:30	15.7	5.4
11:00	13.6	4.8
11:30	12	4.5
12:00	10.9	4
12:30	10	3.9
13:00	9.6	3.8
13:30	9.1	3.6
14:00	9.1	3.6
14:30	8.9	3.6
15:00	9.5	3.5
15:30	12	4.3

Rows × columns: 13 × 3
Period covered: 09:30 to 15:30
Computed: 2026-08-08
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for Average one-minute high-low range by time of day, derived from the stored result.
Column	Type	Range
`et_time`	date	09:30 to 15:30
`nvda_range_bps`	number	8.9 to 28.5
`spy_range_bps`	number	3.5 to 7

Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on 2026-08-08, and the query below is what returned them.

the exact SQL behind every number

SELECT
    formatDateTime(toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
    round(avgIf(10000 * (toFloat64(high) - toFloat64(low)) / toFloat64(close), ticker = 'NVDA'), 1) AS nvda_range_bps,
    round(avgIf(10000 * (toFloat64(high) - toFloat64(low)) / toFloat64(close), ticker = 'SPY'), 1)  AS spy_range_bps
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('NVDA', 'SPY')
  AND window_start >= '2025-08-01'
  AND window_start <  '2026-08-01'
  AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
       + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
  AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
       + toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
GROUP BY et_time
HAVING countIf(ticker = 'NVDA') > 0
   AND countIf(ticker = 'SPY') > 0
ORDER BY et_time

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