Volatility has a clock, and it ticks in fifteen-minute blocks

[Shadow Trader]

Plot the average range of each fifteen-minute block across the day and the line is not smooth. Peaks appear at predictable times: the London open, the early New York session when US data lands, and fixings. Troughs appear at lunch hours and between sessions.

Within the bigger picture, smaller features show up. The first fifteen minutes of each hour often carry more range than the last fifteen. The half-hour marks show smaller bumps.

Using the pattern turns a strategy from "trade all day" into "trade where range exceeds cost." A target of five pips in a block averaging three pips is a poor bet. The same target in a block averaging twelve is a different story.

It also helps with sizing and stops. Stop distances sized for the average volatility of the whole day are too wide in quiet blocks and too tight in busy ones.

Seasonality varies by pair. USDJPY has its Tokyo peak, EURUSD its London and New York peaks, AUDUSD its early Asian bump.

Building the profile takes a spreadsheet and a few months of data, and it stays useful for a long time, though it should be refreshed now and then.

Which blocks of the day contain most of the profit, and which ones mostly generate costs?