What Time the High of the Day Is Made

The question, and how it is measured#

What time the high of the day is made is one of the first questions people bring to futures. They expect one time slot that works for everything. In this series there is none: the split changes from one contract to the next, and it changes a lot.

The measurement is simple. For each session you find the moment price marked its high and check which slice of the 24-hour cycle it fell into. Over thousands of days, the count gives the percentage of times each slice took the extreme.

Four contracts are compared with the same calculation and the same period: the S&P 500 future (ES), the Nasdaq 100 future (NQ), gold (GC) and the ten-year Treasury note (ZN). They come out of the same procedure, so they can be compared with each other.

The sessions of the 24-hour cycle#

These contracts trade almost around the clock on a business day, so the day is cut into slices: the Asian one, the London one, which covers the European morning, and the New York one, which lines up with the US trading day.

London closes at 11:30 New York time, when each contract's main session is already open. A high that lands in that crossover belongs to both sessions, so it is counted in a column of its own, the overlap. In the indices the crossover runs from 9:30 to 11:30; in gold and the note, whose main session opens at 8:20, from 8:20 to 11:30. In the table, "London" is the European morning before the crossover and "New York" is the rest of the main session: until 16:00 in the indices, 13:30 in gold and 15:00 in the note.

The minutes that fall into none of those windows are grouped separately, as out of session. They are the gaps between the close of one slice and the open of the next, and they are not negligible: extremes form there too.

Where the cut sits between one slice and the next is a convention. Moving that boundary shifts extremes from one column to another without the market doing anything different. The figures below hold for the cuts this series uses.

How the high splits across four contracts#

The table takes every session, locates the high of the day and assigns it to one of the columns. That is 4,175 sessions in ES, 4,175 in NQ, 4,155 in GC and 4,165 in ZN, between 2010-06-07 and 2026-09-15.

The two equity indices behave almost identically. In ES the high forms in Asia 15.5% of the time, in London 18.3%, in the overlap 18.7% and in the rest of New York 29.4%. In NQ, 14.1%, 17.0%, 21.1% and 28.4% over its 4,175 sessions.

The other two pull away. In GC the split is 26.2% in Asia, 15.5% in London, 27.7% in the overlap and 8.9% in the rest of New York, over 4,155 sessions. In ZN, 22.2%, 15.6%, 26.8% and 17.3% over 4,165 sessions. Whatever is missing from one hundred percent falls outside the windows.

Gold settles its high by mid-morning in New York#

The gold row deserves a look on its own. In GC, the little over three hours when London and the New York session coincide, from 8:20 to 11:30, take 27.7% of the highs, over 4,155 sessions. That is more than the five hours of London before it (15.5%) and three times what the rest of the session collects, from 11:30 to 13:30 (8.9%).

Compare that with ES: there the busiest slice is the New York afternoon, from 11:30 to 16:00, with 29.4% of the highs, ahead of the overlap (18.7%), over 4,175 sessions. In the index, the high often comes late. In gold, the main session closes at 13:30, and in those last two hours the high shows up on only 8.9% of days.

ZN repeats gold's pattern: 26.8% of highs in the overlap, from 8:20 to 11:30, against 17.3% in the rest of its session, until 15:00, over 4,165 sessions. It is the most active stretch of the day in both markets; the table records the split, not the cause.

The consequence is blunt. The hour you watch the market depends on the contract, not on a general rule. Carrying over to GC what you saw in ES means switching splits without noticing.

High and low in ES, with the out-of-session slice#

The second table stays with ES and adds the other half of the day: where the low forms. Same 4,175 sessions and same period, with one column for the minutes that fall outside the windows.

The New York regular session, overlap included, produces 48.1% of the highs and 47.3% of the lows: the same weight on both sides. The European morning before it, 18.3% and 17.7%. The busiest slices show no preference for one extreme.

Asia does: it contributes 15.5% of the highs and 22.3% of the lows, the clearest asymmetry in the table. And out of session collects 18.0% of the highs and 12.7% of the lows in ES.

The limits of this measurement#

The windows are an agreement, not a fact about the market. Another source with different cuts will publish different percentages over the same days, and neither of them will be wrong.

The table records which slice the high fell into, not how far it stood from the rest of the day. A session can mark its high in Asia by a few points; in the count that weighs the same as a high that dominated the whole session.

The series runs from 2010-06-07 to 2026-09-15 and mixes very different volatility regimes. An average over that many years does not describe the month in front of you, nor does it separate sessions with a macro release from those without.

Then there is cost. An extreme forming overnight does not mean it can be traded there on the same terms: outside the main hours the spread is wider and the book thinner. No figure here accounts for spread, commissions or slippage.

How to use this split#

The reasonable use is framing. Before settling the hours you follow a contract, look at where its extremes form over a large sample, instead of taking for granted the time slot you happen to be used to.

The second use is record keeping. Noting which slice held the extreme of every session you trade, and comparing it with the historical split for that contract, makes the table checkable against your own experience.

This text is informational material about reading historical data. It is not personalized investment advice, nor a recommendation about any instrument. Past results do not anticipate future ones, and trading futures involves risk of loss.

Frequently asked questions

What time is the high of the day made in futures?

It depends on the contract. In ES the high lands inside the New York regular session 48.1% of the time, over 4,175 sessions. In GC, the main session, from 8:20 to 13:30, collects 36.6%, almost all of it early: 27.7% until 11:30, while London is still open, and 8.9% afterwards, over 4,155 sessions.

When in the New York session does gold make its high?

Mostly early on. In GC, 27.7% of daily highs land between 8:20 and 11:30 New York time, with London still open, and 8.9% between 11:30 and the 13:30 close, over 4,155 sessions. The table records the split, not the cause.

Is this split useful for picking the best time to trade futures?

Not on its own. It measures where extremes form, not whether trading that slice is profitable. Outside the main hours costs rise, and these figures do not account for spread, commissions or slippage.

What does the out-of-session column mean?

It holds the minutes of the 24-hour cycle that fall into none of the windows. In ES they collect 18.0% of the highs and 12.7% of the lows, over 4,175 sessions.

These numbers, instrument by instrument

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

Where this is used in Perfiltrade

• Markets: price against the IB — Where price sits relative to the Initial Balance (above, below or inside), across 25 instruments.

The calculation and its limits are in the methodology.