SPX 0DTE: When Does the S&P 500 Make Its High and Low?

A standard trading day consists of 26 fifteen-minute windows. If the high and low were distributed randomly, each window would account for roughly 3.8% of the observations. They are not distributed randomly.

The open and the close own the extremes

Two windows tower over the other 24: the opening bar, 9:30 to 9:45 AM, and the closing bar, 3:45 to 4:00 PM.

The opening 15 minutes held the day’s low 20.4% of the time and the day’s high 16.5%. The closing 15 minutes held the high 17.2% and the low 11.3%. Between them, those two windows account for roughly a third of every high and every low in the sample, out of 26 possible windows.

Everything in the middle is shallow. From late morning through early afternoon, a typical 15-minute window holds the high or low only 1.5% to 2.5% of the time, below the 3.8% you would see if timing were random.

High-of-day and low-of-day frequency by 15-minute window. Both spike at the open and close, flat through midday.

How often a single 15-minute window held the day’s high or low. Each session has 26 windows, so any one would hold 3.8% at random. The opening and closing bars run four to five times that rate; a midday window runs below it. S&P 500, 991 sessions, July 2022 to June 2026.

15-minute window	Held the high	Held the low
9:30 – 9:45 AM (opening bar)	16.5%	20.4%
9:45 – 10:00 AM	6.8%	7.7%
12:15 – 12:30 PM (typical midday)	1.1%	1.7%
3:30 – 3:45 PM	3.8%	3.5%
3:45 – 4:00 PM (closing bar)	17.2%	11.3%
Any single window, if random	3.8%	3.8%

The low tends to form early in the session, while the high tends to form late

Lows cluster toward the open. The first 15 minutes alone account for one low in five, and the full first hour captures roughly 38% of all session lows. Overnight news and the opening auction get repriced fast, so the day’s floor is often in before 10:30 AM.

Highs, by contrast, cluster toward the close. The final 15-minute bar produces more highs than any other interval, with buying pressure building through the afternoon and into the 4 PM bell. The index’s long-term upward drift, combined with concentrated end-of-day flows, pushes the high later in the session.

Trading activity drops sharply around lunch. With fewer shares exchanging hands, ranges compress and the day’s high or low is rarely established between roughly 11:30 AM and 2 PM.