Free tool · Market statistics
S&P 500 (US500) volatility by hour, day and month
When S&P 500 (US500) moves, how much, and on which days — measured on 1505 trading days of real one-minute data from our broker feed, 2021-01-04 to 2026-10-30. Descriptive statistics of the past, not a forecast.
Volatility by hour
Over the last 12 months, the hour with the widest average range on S&P 500 (US500) was 15:00–16:00 UTC (48.4 bp), and the quietest was 04:00–05:00 UTC (11.5 bp): 4.2 times smaller.
Average range of each one-hour bar, in basis points of price. Hours without prices in our feed are not drawn.
Table: range by hour, UTC, last 12 months
| Hour (UTC) | Mean, bp | Median, bp | Hours measured |
|---|---|---|---|
| 00:00 | 17.8 | 14.9 | 89 |
| 01:00 | 17.7 | 13.6 | 89 |
| 02:00 | 13.8 | 11.5 | 89 |
| 03:00 | 13.0 | 9.9 | 87 |
| 04:00 | 11.5 | 8.8 | 87 |
| 05:00 | 12.9 | 10.7 | 87 |
| 06:00 | 13.5 | 10.4 | 87 |
| 07:00 | 14.7 | 12.4 | 87 |
| 08:00 | 20.8 | 17.9 | 87 |
| 09:00 | 21.8 | 18.8 | 87 |
| 10:00 | 16.8 | 14.1 | 87 |
| 11:00 | 16.9 | 13.1 | 87 |
| 12:00 | 20.8 | 16.4 | 87 |
| 13:00 | 24.2 | 20.9 | 87 |
| 14:00 | 47.6 | 45.9 | 88 |
| 15:00 | 48.4 | 43.9 | 88 |
| 16:00 | 39.1 | 31.8 | 88 |
| 17:00 | 32.9 | 29.8 | 88 |
| 18:00 | 30.6 | 23.5 | 85 |
| 19:00 | 30.0 | 25.5 | 83 |
| 20:00 | 33.7 | 28.3 | 83 |
| 21:00 | 16.7 | 13.7 | 83 |
| 23:00 | 17.4 | 14.8 | 89 |
Day of the week
Thursday has the widest average daily range (1.50%), Monday the narrowest (1.28%). Only Monday shows an average open-to-close return that is distinguishable from zero at 95% confidence (marked •). Even then it is one measurement over a few years: check the year-by-year table before reading anything into it.
| Day | Average range | Open → close, mean ± 95% CI | Up days | Days |
|---|---|---|---|---|
| Monday | 1.28 % | +0.182 % ± 0.097 • | 61.0 % | 300 |
| Tuesday | 1.35 % | −0.012 % ± 0.101 | 47.4 % | 304 |
| Wednesday | 1.43 % | +0.072 % ± 0.128 | 53.3 % | 302 |
| Thursday | 1.50 % | +0.002 % ± 0.118 | 53.0 % | 302 |
| Friday | 1.46 % | +0.023 % ± 0.126 | 53.5 % | 297 |
Average open → close return, year by year (%)
| Year | Mon | Tue | Wed | Thu | Fri |
|---|---|---|---|---|---|
| 2021 | +0.112 | −0.044 | +0.047 | +0.177 | +0.091 |
| 2022 | −0.020 | +0.000 | +0.103 | −0.197 | −0.096 |
| 2023 | +0.237 | −0.008 | −0.051 | +0.067 | +0.227 |
| 2024 | +0.081 | −0.003 | +0.054 | +0.142 | +0.068 |
| 2025 | +0.330 | −0.062 | +0.289 | −0.144 | −0.086 |
| 2026 | +0.386 | +0.057 | −0.026 | −0.045 | −0.079 |
Monthly seasonality
Return of each calendar month, from the first open to the last close. With only 6 years per month, one unusual year moves the average a lot: the median and the year-by-year table are there to show it.
| Month | Mean | Median | Positive | Years |
|---|---|---|---|---|
| January | +0.48 % | +1.35 % | 67 % | 6 |
| February | +0.37 % | −0.22 % | 50 % | 6 |
| March | +0.74 % | +3.35 % | 67 % | 6 |
| April | +0.68 % | +0.85 % | 50 % | 6 |
| May | +2.56 % | +2.61 % | 83 % | 6 |
| June | +1.30 % | +3.12 % | 67 % | 6 |
| July | +3.05 % | +2.31 % | 100 % | 6 |
| August | +0.48 % | +1.86 % | 67 % | 6 |
| September | −2.37 % | −2.55 % | 33 % | 6 |
| October | +2.13 % | +0.81 % | 50 % | 6 |
| November | +3.81 % | +5.52 % | 60 % | 5 |
| December | −0.04 % | +0.06 % | 60 % | 5 |
Every month, year by year (%)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | −1.5 | +3.1 | +4.0 | +5.3 | +0.1 | +2.6 | +2.3 | +2.8 | −5.0 | +6.9 | −0.6 | +3.8 |
| 2022 | −6.0 | −2.8 | +4.0 | −9.0 | −0.4 | −8.6 | +9.3 | −4.0 | −9.3 | +8.2 | +5.5 | −6.0 |
| 2023 | +5.4 | −2.5 | +3.7 | +1.7 | +0.3 | +6.3 | +3.2 | −1.8 | −4.7 | −2.8 | +9.1 | +4.5 |
| 2024 | +1.5 | +5.0 | +3.0 | −4.6 | +5.2 | +3.7 | +1.1 | +1.8 | +1.9 | −0.8 | +5.6 | −2.5 |
| 2025 | +2.3 | +0.2 | −6.1 | −0.0 | +5.3 | +5.1 | +2.3 | +1.9 | +3.2 | +2.4 | −0.6 | +0.1 |
| 2026 | +1.2 | −0.7 | −4.2 | +10.6 | +4.9 | −1.3 | +0.1 | +2.2 | −0.4 | −1.1 | — | — |
Trading sessions
How much of the day's range happens inside each session, over the last 12 months. Sessions overlap, so the shares do not add up to 100%. A session with no prices in our feed is not listed.
| Session | Average range | Median share of the day's range | Days |
|---|---|---|---|
| Tokyo 09:00–15:00 Tokyo time | 39.5 bp | 31 % | 257 |
| London 08:00–16:30 London time | 85.9 bp | 76 % | 257 |
| New York 08:00–17:00 New York time | 100.9 bp | 87 % | 257 |
Volatility over the last year
ATR (14) as a percentage of the price, one point per trading day.
How it is measured
- One-minute bid prices from the cTrader broker feed we use for our own backtests: 1505 complete trading days, 2021-01-04 to 2026-10-30.
- A trading day is the broker's: it closes at 17:00 New York time, as in cTrader. Partial days (holidays) are left out.
- Range = high − low of the period, as a share of its opening price. 1 bp (basis point) = 0.01%. ATR is Wilder's 14-day average true range.
- The hourly profile is measured in UTC and kept separately for US summer and winter time, so the hours shown in your time zone stay right all year.
- Updated every day after the market data sync. These are descriptive statistics of the past: they are not a forecast and not a trading signal.