Stealing the RTH move

RTH = Regular time hours, which is 9:30 AM - 4:00 PM EST.  This is a phenomena that I've noticed over the years in the S&P futures.  It basically accounts for much of the premium one collects for willing to take overnight risk in equities.  They all have positive biases.

• 4:00 PM - 4:15 PM:  After the stock market closes, 15 minute of trade just in the futures market, volume is still heavy, last minute squaring up of positions and setting up for the next trading day.  Usually after a strong down day, you can get a flush out at 4:00, and then trade higher over these 15 minutes.  Opposite for strong up days, but the trade lower is usually fairly muted.   In bullish markets, very positive bias.  In bearish markets, slight negative bias.
  

• 2:00 AM - 3:00 AM:  The hour before the European markets open, and after Japan and Korea have closed.  The ES likes to make stealthy upmoves during this time period and this is where much of the overnight premium is collected.  Volume is light so it doesn't have a lot of meaning, but risk takers bid up the futures a bit after being confirmed that armaggedon didn't happen in Asia (half-kidding).  

• 7:00 AM - 8:00 AM:  This usually only applies when the futures are negative.  After weak trade in the European session, American traders looking to fade the gap down come in to lift the futures up a bit. 

Following is a chart comparing day trade to overnight trade based on a statistical study.

Growth of a $1 investment in night returns (close to open, heavy blue line) and day returns (open to close, thin green line) from 1993 to 2006 in the S&P 500 Spider (SPY) exchange traded fund.