Average minute range through the session, five liquid names

Name: Average minute range through the session, five liquid names
Creator: Strasmore
Published: 2026-09-20
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 2026-09-20, from Why Stocks Halt: Limit Up-Limit Down Bands.

as of 2026-09-20 series 26×3read in context →

Average minute range through the session, five liquid names — 26 rows by 3 columns, computed 2026-09-20 from US exchange, SIP and OPRA data.
et_time	avg_minute_range_pct	p99_minute_range_pct
09:30	0.285	1.046
09:45	0.187	0.541
10:00	0.16	0.475
10:15	0.14	0.412
10:30	0.131	0.396
10:45	0.12	0.358
11:00	0.112	0.354
11:15	0.103	0.338
11:30	0.098	0.294
11:45	0.092	0.312
12:00	0.089	0.271
12:15	0.084	0.266
12:30	0.083	0.313
12:45	0.078	0.255
13:00	0.079	0.262
13:15	0.075	0.243
13:30	0.075	0.252
13:45	0.07	0.237
14:00	0.076	0.258
14:15	0.07	0.225
14:30	0.07	0.227
14:45	0.069	0.229
15:00	0.077	0.264
15:15	0.074	0.259
15:30	0.077	0.24
15:45	0.113	0.489

Rows × columns: 26 × 3
Computed: 2026-09-20
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`	text	26 distinct values (09:30, 09:45, 10:00…)
`avg_minute_range_pct`	number	0.069 to 0.285	percent
`p99_minute_range_pct`	number	0.225 to 1.046	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 2026-09-20, 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(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

SQL to run

⌘/Ctrl + Enter

More from this analysisWhy Stocks Halt: Limit Up-Limit Down Bands

How far eight stocks move in a five minute window, trailing year ranking 8×4 → What a 5 percent band is worth in dollars, by price level ranking 8×4 → Where listed symbols sit by price, and which band rule governs each zone ranking 6×3 → March 2020 session by session: open, low and close versus the prior close series 22×6 → How the three lines move with each SPY close series 14×5 → The four Level 1 halt sessions of March 2020 series 4×8 → See all 2,469 queries →