Which Session Makes the Daily High and Low: 10 Futures, 39,937 Sessions

The question, and why it needs ten contracts

Everyone trades one slice of the clock, and almost nobody has checked whether the day's extreme tends to land inside it. The common retail belief is that the New York session decides the day, because that is the session being watched.

Here is the actual split of the daily high and low across the windows of the 24-hour cycle, on ten futures from three families: the five index contracts, gold, and the four US Treasury contracts from 2 to 30 years. 39,937 sessions.

The result that carries the study is awkward for that belief: New York does not lead the split in any of the ten contracts. And in two of them, gold and the Nikkei, it comes in below what a dice roll would give.

One warning before going on: this is not a magic hour or a recommended schedule. It is a historical split, and the most useful part of the study is the benchmark it has to be read against.

How it is measured, and why 25% is not the benchmark

Each day the high and the low of the full 24-hour cycle are located and assigned to the window they fell in. The windows are fixed: Asia 09:00 to 15:00 Tokyo time, London 08:00 to 16:30 local with daylight saving handled, and New York 9:30 to 16:00 Eastern, which is the regular session.

That leaves a roughly three-hour hole between the New York close and the Asian open, and the extreme lands there more often than you would guess. Rather than assigning it to the nearest window, it is declared separately in the "outside sessions" column. By construction exactly one of the four wins each day, and the four add up to 100%.

The detail that changes the whole reading: the windows are not the same length. London is eight and a half hours, New York six and a half, Asia six, and the hole three. If the extreme landed at random, the split would not be 25% per column but 25.0% for Asia, 35.4% for London, 27.1% for New York and 12.5% for the hole.

That imaginary row is the benchmark. Saying "London makes the high 37.0% of the time in ES" sounds like a finding and is almost exactly what chance would give. What matters are the large deviations, and there are some.

On the sample: the RTY series starts in 2017 and the other nine in 2010. FX, energy and agricultural contracts are missing because this report is not computed for them yet; they get added when it is.

London leads the high in nine of the ten contracts

The one exception is the Nikkei, for the obvious reason: it is a Japanese index and its high lands in Asia 44.0% of the time, far above the 25.0% that window's length would give.

Across the four US index futures, London takes between 37.0% and 43.9% of the highs. The first two, ES at 37.0% and NQ at 38.1%, sit so close to chance's 35.4% that on their own they say very little. RTY, at 43.9%, does stand apart.

Where London's edge is unambiguous is outside equities: gold prints 43.2% and the four Treasury contracts cluster between 42.4% and 44.3%. That is seven to nine points above their length-based share, on samples of more than four thousand sessions each.

Put shortly: the European morning is not where more things happen by accident. In metals and rates, it is where the extreme forms at a rate the window's length does not explain.

New York wins none of them, and collapses in two

In only three of the ten contracts does New York beat its length-based share, and always by less than three points: ES at 29.4%, NQ at 28.4% and YM at 27.9%, against chance's 27.1%. RTY lands exactly on 27.1%.

Across the four Treasury contracts, New York makes the high on between 15.1% and 17.5% of days. That is some ten points below what the session's length would give, and the US regular session is when the macro that moves bonds gets released.

Gold is the striking case: 8.9% of highs and 7.4% of lows in New York, a third of its share. The metal almost everyone follows on a US schedule forms its daily extreme in that window three times less often than the clock would suggest.

And the Nikkei closes the list at 1.0% of highs in New York. That number is less a finding than a check that the measurement works: a Japanese index does not make its extreme when Tokyo has been shut for hours.

The low forms earlier than the high, except in bonds

Comparing the two tables surfaces an asymmetry that repeats across the six equity and metal contracts: the day's low lands in Asia more often than the day's high does.

In ES it is 22.3% against 15.5%; in NQ, 20.6% against 14.1%; in YM, 20.8% against 15.8%; in RTY, 18.2% against 14.0%. Gold repeats the pattern, 28.9% against 26.2%, and so does the Nikkei, 48.3% against 44.0%.

The mirror image is in the outside-sessions column: across the four US index futures the high lands in that overnight hole between 16.8% and 19.4% of days, and the low only between 12.5% and 12.7%.

In the four Treasury contracts the asymmetry disappears. ZT even reverses it, with 22.9% of lows in Asia against 26.1% of highs, and ZF, ZN and ZB sit within a point of each other on the two figures.

The temptation is to explain it with the overnight upward drift documented in US equity indices for years: if price tends to rise while the US sleeps, the low has to form early and the high late. It is coherent, but this data does not prove it. It measures the split; it does not measure the cause.

The Treasury curve behaves like a single instrument

Between the 2-year contract and the 30-year there are large differences in duration, in volatility and in who trades them. In where the day's extreme forms, almost none.

London makes the high on 44.3% of days in ZT, 43.4% in ZF, 42.4% in ZN and 42.8% in ZB. Four contracts, two points between the first and the last.

On the low the agreement is even tighter: 45.0% to 46.3% across the four. And New York moves between 15.5% and 16.8%.

It is a negative result and that is why it is worth publishing: if anyone expected the short and long ends to run on different clocks, they do not. What maturity changes is how much they move, not when.

What this study does not say

It does not say what time the extreme forms. It says which window it landed in, and the windows are wide: knowing it was "in London" still leaves eight and a half hours.

It says nothing about direction or size. A high that beats the previous day's by one tick and one that breaks the weekly range count the same.

It is not a scheduling recommendation. Gold's extreme landing in London does not mean trading gold overnight is better: the extreme is a point in the day, not an opportunity, and finding it in real time is a different problem.

And it does not cover FX, energy or agriculturals. Ten contracts from three families is what exists measured under this definition; the rest arrives when the report is computed, not before.

How to use this when preparing a session

The practical question is not "what time does the high form?" but "does the window I trade contain the extreme more or less often than its share?".

For US index futures traded on a New York schedule, the answer is yes, but barely: one to three points above the share. The window is reasonable and there is no hidden edge in it.

For gold or bonds on that same schedule, you are working in the window where the day's extreme lands least often. That does not invalidate anything, but it is worth knowing before expecting the day to resolve in front of you.

For one contract in detail, each instrument page carries its own extremes table next to gap and range. And the guide on what time the daily high forms develops the concept with fewer contracts and more context.

Frequently asked questions

Which session makes the daily high most often?

London, in nine of the ten contracts measured, ranging from ES at 37.0% to ZT at 44.3%. The exception is the Nikkei, which makes it in Asia 44.0% of the time. It should be read against the 35.4% chance would give for London's window length.

Why does gold make its high in New York only 8.9% of the time?

This data measures it, it does not explain it. The contrast is that London takes 43.2% of gold's highs and 45.3% of its lows, well above its length-based share. It is the strongest deviation in the study after the Nikkei.

Does the low form earlier than the high?

In the five index futures and in gold, the low lands in the Asian session more often than the high: 22.3% against 15.5% in ES, for example. In the four Treasury contracts that asymmetry does not appear.

Does the result change between the 2-year and the 30-year?

Almost not at all. London makes the high on between 42.4% and 44.3% of days across the four contracts, and the low between 45.0% and 46.3%. Maturity changes how much the contract moves, not when its extreme forms.

Does this mean it is better to trade the London session?

No. The study locates the extreme once the day is over; it does not claim it is identifiable in real time or tradable. It is context for knowing whether the window you trade tends to contain the day's extreme point, nothing more.

These numbers, instrument by instrument

• es
• nq
• rty
• ym
• nkd
• cl
• gc
• 6e