Average minute range through the session, five liquid names

Name: Average minute range through the session, five liquid names
Creator: Strasmore
Published: 2026-08-22
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 2026-08-22, from Why Stocks Halt: Limit Up-Limit Down Bands.

as of 2026-08-22 series 26×3read in context →

Average minute range through the session, five liquid names — 26 rows by 3 columns, computed 2026-08-22 from US exchange, SIP and OPRA data.
et_time	avg_minute_range_pct	p99_minute_range_pct
09:30	0.288	1
09:45	0.191	0.538
10:00	0.166	0.477
10:15	0.146	0.427
10:30	0.135	0.399
10:45	0.124	0.367
11:00	0.115	0.356
11:15	0.107	0.334
11:30	0.101	0.3
11:45	0.094	0.309
12:00	0.092	0.281
12:15	0.087	0.271
12:30	0.087	0.323
12:45	0.082	0.256
13:00	0.082	0.261
13:15	0.078	0.255
13:30	0.079	0.253
13:45	0.073	0.242
14:00	0.078	0.253
14:15	0.072	0.225
14:30	0.073	0.23
14:45	0.071	0.23
15:00	0.079	0.263
15:15	0.077	0.256
15:30	0.08	0.24
15:45	0.116	0.51

Rows × columns: 26 × 3
Period covered: 09:30 to 15:45
Computed: 2026-08-22
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 minute range through the session, five liquid names, derived from the stored result.
Column	Type	Range	Notes
`et_time`	date	09:30 to 15:45
`avg_minute_range_pct`	number	0.071 to 0.288	percent
`p99_minute_range_pct`	number	0.225 to 1	percent

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 2026-08-22, and the query below is what returned them.

the exact SQL behind every number

SELECT
    formatDateTime(toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 15 MINUTE), '%H:%i') AS et_time,
    round(avg((toFloat64(high) - toFloat64(low)) / toFloat64(open) * 100), 3) AS avg_minute_range_pct,
    round(quantileDeterministic(0.99)((toFloat64(high) - toFloat64(low)) / toFloat64(open) * 100,
          toUnixTimestamp(window_start)), 3)                                  AS p99_minute_range_pct
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'TSLA')
  AND window_start >= today() - 200
  AND window_start <  today() - 2
  AND open > 0
  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
ORDER BY et_time

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