Average one-minute SPY range in basis points, by half hour

Name: Average one-minute SPY range in basis points, by half hour
Creator: Strasmore
Published: 2026-08-10
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 2026-08-10, from Why Trading Volume Dies at Midday: U-Shape.

as of 2026-08-10 series 13×3read in context →

Average one-minute SPY range in basis points, by half hour — 13 rows by 3 columns, computed 2026-08-10 from US exchange, SIP and OPRA data.
et_time	avg_range_bps	median_range_bps
09:30	7.54	6.19
10:00	6.81	5.41
10:30	5.87	4.73
11:00	5.23	4.1
11:30	5.09	3.82
12:00	4.89	3.51
12:30	4.66	3.32
13:00	4.73	3.33
13:30	4.52	3.15
14:00	4.41	3.3
14:30	4.43	3.05
15:00	4.37	3.14
15:30	5.31	3.98

Rows × columns: 13 × 3
Period covered: 09:30 to 15:30
Computed: 2026-08-10
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 SPY range in basis points, by half hour, derived from the stored result.
Column	Type	Range
`et_time`	date	09:30 to 15:30
`avg_range_bps`	number	4.37 to 7.54
`median_range_bps`	number	3.05 to 6.19

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 2026-08-10, and the query below is what returned them.

the exact SQL behind every number

WITH minute_bars AS
(
    SELECT
        formatDateTime(
            toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 30 MINUTE),
            '%H:%i')                                                   AS et_time,
        10000 * (toFloat64(high) - toFloat64(low)) / toFloat64(close)  AS range_bps,
        toUInt64(toUnixTimestamp(window_start))                        AS det
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND window_start >= '2025-01-02 00:00:00'
      AND window_start <  '2026-07-01 00:00:00'
      AND close > 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
)
SELECT
    et_time                                              AS et_time,
    round(avg(range_bps), 2)                             AS avg_range_bps,
    round(quantileDeterministic(0.5)(range_bps, det), 2) AS median_range_bps
FROM minute_bars
GROUP BY et_time
HAVING count() > 0
ORDER BY et_time

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