Intraday Momentum: How Big Are QQQ's and SPY's Daily Moves?
The Intraday Momentum Index is the 50-day average of an index ETF's open-to-close move size (|open − close| ÷ close). High readings mean large directional sessions — momentum-friendly conditions for day traders; low readings mean a quiet, mean-reverting tape. QQQ since 1999, SPY since 1993.
Today's reading
As of market close on October 7, 2026, QQQ's 50-day Intraday Momentum Index is 0.57% — a normal tape (0.5%–1.0% average daily open-to-close move). Since 1999 the all-time average move has been 0.97%; up days gain +0.91% on average and down days fall −1.07%. SPY's 50-day index is 0.37% (17th percentile since 1993).
Move size and follow-through both near their long-run norms. Combines this gauge with Range Efficiency.
Sources, methodology & freshnessQQQ (1999–present) and SPY (1993–present) daily open/close from our price database · Daily after US market close (~1pm PT)Data as of 2026-10-07 · Open ↓Close ↑
Over the last 50 sessions QQQ's average open-to-close move is 0.57%, vs a 0.97% all-time norm — a normal tape. 3,645 up days and 3,293 down days since 1999.
Intraday Momentum Index over time — QQQ
What the quiet has been worth — QQQ
The 10-day average, priced by outcome
The same fast line, banded into five quintiles of its own history since 2010. Each band carries the share of days in it that were followed by at least one 2.0% session within 10 sessions, and the number of distinct episodes that share rests on.
These are historical base rates, and the direction surprises most people. The deepest quiet has been the safest band over the next 10 sessions. The coiled spring most readers expect does not appear in the record. A study on 2026-09-02 tested breadth, order flow, credit and the volatility surface against these eruptions and found none of them add anything beyond what trailing volatility already implies — the quiet subset holds only 31 independent episodes, and the smallest effect that data could detect is a 2.3× lift. So the gradient below is volatility persistence, honestly labelled. Read the episode counts rather than the day counts: they are the evidence. The unconditional rate also more than doubled between 2010–2017 and 2018–2026, so treat the levels as history rather than as a standing probability.
Move size by weekday — QQQ
| Day | Avg move | Bull range | Bear range | Win rate | Samples |
|---|---|---|---|---|---|
| Monday | 0.93% | +0.87% | −1.02% | 53.9% | 1302 |
| Tuesday | 0.98% | +0.88% | −1.11% | 52.6% | 1424 |
| Wednesday | 1.01% | +0.98% | −1.06% | 52.3% | 1425 |
| Thursday | 1.01% | +0.94% | −1.11% | 54.0% | 1397 |
| Friday | 0.93% | +0.85% | −1.02% | 49.9% | 1390 |
Over the last 50 sessions QQQ's average open-to-close move is 0.57%, vs a 0.97% all-time norm — a normal tape. 3,645 up days and 3,293 down days since 1999.
How Intraday Momentum Works
- 1Measure each day's open-to-close moveFor every QQQ and SPY session we compute the absolute intraday move as |open − close| ÷ close × 100 — how far the regular session travelled from open to close, regardless of direction. This is the size of the move a day trader had to work with.
- 2Average it over 50 days (the IMI)The Intraday Momentum Index is the 50-day simple moving average of that daily move size, matching the ThinkorSwim formula. It smooths the day-to-day noise into a regime read: rising IMI = the tape is getting livelier, falling IMI = it is quieting down.
- 3Read it in plain volatility bandsWe label the current IMI by the size of the average daily move: under 0.5% is Very quiet (low-volatility), 0.5–1.0% Normal, 1.0–1.5% Volatile, and over 1.5% Stormy. The percentile vs each ETF's own full history (QQQ from 1999, SPY from 1993) is shown alongside for context.
- 4Break out bull vs bear range and weekdayBull range is the average percentage gain on up days; bear range the average drop on down days (down days have historically moved a touch more). We also split the move size and win rate by weekday so you can see which sessions run hottest.