Interpreting Intraday Volatility Patterns in E-mini Futures

Summary

The document describes an empirical examination of one-minute logarithmic returns for E-mini futures over several years. The author calculates the standard deviation of returns at each time of day and reports that volatility is greatest during regular U.S. market hours. The plotted profile also contains narrow peaks at recurring times, alongside a smaller early-morning pattern that may align with European market activity.

The author asks whether scheduled macroeconomic announcements explain the peaks, noting that removing days with several major U.S. releases did not eliminate them. The document offers no answers or causal tests, so the timing and source of the spikes remain unresolved. It serves as a research question about intraday seasonality: the observed pattern motivates further investigation, but the sample description and visual profile alone cannot establish which news, market openings, auction events, or microstructure effects produced it.

Key ideas

• The author estimates time-of-day volatility from one-minute E-mini futures returns over a multi-year sample.
• Volatility is reported as higher during regular U.S. market hours than outside them.
• Recurring peaks remain after excluding days with several major macroeconomic releases.
• A smaller early-morning volatility pattern is speculated to relate to European market activity.
• The document presents observations and open questions rather than a tested causal explanation.

Tags

# Intraday volatility pattern of Emini


# Intraday volatility pattern of Emini












I have the series of 1-min logarithmic returns of Emini future from 2007 to 2020

I calculated the standard deviation of each return at a fixed time of day and then I plotted the results (see image).

I have some difficulties explaining what I see: First, I notice that volatility is highest from 9:30 to 16:00, when the US market is open.

I cannon justify those spikes at some fixed time, like 10:00, 10:30, 15:45, 15:50 and 15:59. Are those related to some macroeconomic news? I tried to remove those days when the most important macroeconomic news are released (PPI, CPI, Employment), but the spikes remain...

Also, what is the origin of the similar pattern (at a smaller scale) from 3:00 AM to 8:30? (I suppose is related to the opening of the European market).

Any thoughts or insight is much appreciated

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