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Literature indicates that trading volumes of stocks and ETFs tends to be high at open and at market close. Explanations for this pattern include information based trading (leading to high trading volumes at open) and portfolio rebalancing (leading to high volumes at the end of the day). Using different models, we examine the minute-by-minute trading volumes of the SPY ETF from 2008 to 2014. We find that a) the variation of trading volume through the trading day is U-shaped; b) we identified 12:45 to13:00 as the time of day with the lowest trading activity; c) the patterns of intraday trading volumes vary by weekday and by the overall daily price dynamics. Our findings could help high frequency traders and large investors who are seeking optimal trading times to place large orders while minimizing their impact on ETF prices. Keyword: ETFs, Trading Volume, Market Microstructure, Financial Instruments, Intraday Returns JEL codes: G120, G190, G230

Intraday Patterns in the Trading Volume of the SPY ETF