How frequently does the high of the day or low of the day occur within each 30 minute bar/bracket? within each 5 minute bar?

Chart Definition

Terminology

HOD - High price traded for the day / session.
LOD - Low price traded for the day / session.

• Results are based on 1,000 days of data ending 11/23/10, and only considering the day session HOD and LOD and day session bars on ES.
• HOD occurs in first 30 minutes of session 24.6% of the time. LOD 27% of the time.
• During the 2.5 hour mid-day period beginning 11:30amET, the HOD and LOD is rarely created (around 3% of the time for each 30-min period).
• HOD occurs in the first 5 minutes of the session 11.8% of the time. LOD 11.6% of the time.
• The likelihood of a HOD or LOD being created in first 5 mins of session is about the same as that of a 120-min period during middle of session. It might be interesting moving forward to make the same comparison w/ range and volume.