Average high to low range by minute, first half hour (SPY, trailing ~4 months)
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 2026-11-07, from How VIX Settlement Works: the SOQ.
| et_time | avg_range_bps | avg_volume_thousands |
|---|---|---|
| 09:30 | 9.8 | 518 |
| 09:31 | 7.8 | 222 |
| 09:32 | 6.6 | 167 |
| 09:33 | 6.2 | 140 |
| 09:34 | 5.7 | 138 |
| 09:35 | 6.3 | 151 |
| 09:36 | 6.2 | 147 |
| 09:37 | 6 | 123 |
| 09:38 | 5.8 | 118 |
| 09:39 | 5.4 | 128 |
| 09:40 | 6.3 | 155 |
| 09:41 | 5.5 | 112 |
| 09:42 | 5.6 | 104 |
| 09:43 | 5.5 | 112 |
| 09:44 | 5.7 | 105 |
| 09:45 | 6.9 | 155 |
| 09:46 | 5.8 | 121 |
| 09:47 | 5.6 | 123 |
| 09:48 | 5.8 | 115 |
| 09:49 | 5.6 | 146 |
| 09:50 | 6.2 | 131 |
| 09:51 | 5.6 | 114 |
| 09:52 | 5.4 | 107 |
| 09:53 | 5.6 | 105 |
| 09:54 | 5.4 | 96 |
| 09:55 | 5.3 | 103 |
| 09:56 | 5.2 | 106 |
| 09:57 | 5 | 97 |
| 09:58 | 4.5 | 103 |
| 09:59 | 4.8 | 93 |
- Rows × columns
- 30 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
et_time |
text | 30 distinct values (09:30, 09:31, 09:32…) | |
avg_range_bps |
number | 4.5 to 9.8 | |
avg_volume_thousands |
number | 93 to 518 | count |
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 , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
SELECT
formatDateTime(toTimeZone(window_start, 'America/New_York'), '%H:%i') AS et_time,
round(avg((toFloat64(high) - toFloat64(low)) / toFloat64(low) * 10000), 1) AS avg_range_bps,
round(avg(volume) / 1000, 0) AS avg_volume_thousands
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
AND window_start >= today() - 120
AND low > 0
AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
+ toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 599
GROUP BY et_time
ORDER BY et_time
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