So I pulled bars for the last 1239 whole trading days at a 1-minute resolution. For each of the 390 minutes in the regular session, I looked at the price change (close minus open) and calculated the standard deviation of that minute for all of the days which essentially gives me a "volatility" value for each minute of the day:
Now, everyone already could guess that the open and close are more volatile than mid-day. At 5, 10, and 15 minutes before close there are spikes from EOD position management and things like Reg-T cutoff being applied at 10 minutes.
There was something unexpected however: spikes at every 30 minute interval on the hour and the half-hour. The first few are the easiest to see. The REALLY big one is at 11:00 AM PST / 2:00 PM EST and its magnitude is similar to the first couple minutes the market is open. What is causing it though? I suspect automated processes.
I ran this study because I considered selling M/W/F weekly options on SPY on the final trading day (as I have watched 'live theta decay' throughout the day), and I wanted to know what time periods during the day would be optimal to do it. I am also going to examine option decay on the final day as a function of time of day, and risk of further upward movement (calls) based on the price movement since the open (theory is that the second half of the day tends to have reversals from the first half, so if it's gone up $2, its less likely than before to move up another $2, and the intraday time correlation tends to be negative).
Now, everyone already could guess that the open and close are more volatile than mid-day. At 5, 10, and 15 minutes before close there are spikes from EOD position management and things like Reg-T cutoff being applied at 10 minutes.
There was something unexpected however: spikes at every 30 minute interval on the hour and the half-hour. The first few are the easiest to see. The REALLY big one is at 11:00 AM PST / 2:00 PM EST and its magnitude is similar to the first couple minutes the market is open. What is causing it though? I suspect automated processes.
I ran this study because I considered selling M/W/F weekly options on SPY on the final trading day (as I have watched 'live theta decay' throughout the day), and I wanted to know what time periods during the day would be optimal to do it. I am also going to examine option decay on the final day as a function of time of day, and risk of further upward movement (calls) based on the price movement since the open (theory is that the second half of the day tends to have reversals from the first half, so if it's gone up $2, its less likely than before to move up another $2, and the intraday time correlation tends to be negative).