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

We wanted to know when, during the trading day, the S&P 500 actually puts in its high and its low.

We pulled every 15-minute bar of the index from July 2022 to June 2026, 991 trading days, and for each session found the bar that held the day’s highest price and the bar that held the day’s lowest.

A regular session has 26 fifteen-minute windows. If the high and low landed at random, each window would hold about 3.8% of them. They do not land at random.

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 comes early, the high comes late

The two bells are not symmetric.

The low skews to the open. The first 15 minutes alone hold one low in five, and the entire first hour holds about 38% of them. Overnight news and the opening auction get repriced fast, so the day’s floor is often in before 10:30 AM.

The high skews to the close. The final bar holds more highs than any other window, and the afternoon drifts toward the day’s ceiling into the bell. The long-run upward drift of the index, plus concentrated buying into the 4 PM close, pushes the high later in the day.

Why midday goes quiet

The dead zone in the middle lines up with the volume curve.

Trading volume is heaviest at the open and into the close, and thinnest around lunch. Fewer shares change hands midday, ranges narrow, and the day’s extremes are rarely made or broken between roughly 11:30 AM and 2 PM. We found the same lunchtime lull when we measured midday reversals and how early the range fills in.