Calculating the First-Hour Return from the Previous Close

Summary

The post explains how to estimate the return over the first hour of a trading day when the available price data does not include the 9:30 opening price. It uses the prior session’s 15:00 close as a substitute starting price and compares that value with the current day’s 10:30 close. The return is calculated as the price difference divided by the prior close.

This is a practical workaround for a data limitation, not a general definition of an opening-hour return. Because the prior close substitutes for the actual opening price, the calculation includes any overnight price change and therefore measures the move from the previous session close to 10:30, rather than the change strictly from 9:30 to 10:30. The post provides no empirical comparison or guidance for other session schedules.

Key ideas

• The calculation uses the current day’s 10:30 close as its ending price.\nIt substitutes the previous session’s 15:00 close for a missing opening price.\nThe return divides the price difference by the previous close.\nThis approach includes overnight movement and is not strictly an opening-hour return.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.