Average Daily Range (ADR): 34 Years of SPY Ranges
Average daily range (ADR) is the average distance between each session's high and low over a set number of days, usually 20, shown in dollars or as a percent of price. It tells you how far a market typically travels in a single day, which is why traders use it to size stops and set realistic expectations.
Every market has a normal day. Some stocks cover 3% from high to low without anything happening; others rarely manage 1%. Average daily range puts a number on that normal day, and that number shapes how wide a stop can sensibly be, how much a position should weigh, and whether a move is unusual. This page shows the arithmetic on SPY for September 2026 and then looks at 34 years of ranges.
How it forms
Each day’s range is the high minus the low. Nothing else goes in: not the open, not the close, not the gap from the day before. Average those ranges over a window and you have ADR. Twenty sessions, about a month of trading, is a common window; shorter ones such as 14 and 10 also appear.
Dollars or percent. A dollar ADR answers “how many dollars does this move in a day?” and suits stop placement on one chart. A percentage ADR divides by price so a $30 stock and a $500 stock can be compared. Some momentum-stock traders screen on ADR%, calculated as the average of each day’s high divided by its low, minus one, and look for names where that reading is high.
ADR is not ATR. Average true range starts from the same high and low but stretches the range to include the prior close when price gapped away from it. On a day that opens 2% higher and drifts sideways, ADR records a small range and ATR records the gap too. For instruments that gap often, the two can diverge.
It moves with the market’s mood. Ranges widen in selloffs and in news-heavy periods and shrink in calm uptrends. A 20-day ADR tracks that shift with roughly a month’s delay.
The definition used here
ADR20 is the mean of the last 20 daily high-minus-low ranges, including the current day. ADR20% is the mean of the last 20 values of high divided by low, minus one, in percent. The daily range percent used for the yearly figures is a single day’s high divided by its low, minus one.
The data are regular-session daily bars from the Yahoo Finance chart API. SPY covers 29 January 1993 to 25 September 2026, 8,472 sessions. Five large caps, AAPL, MSFT, JPM, XOM and KO, cover 3 January 2000 to 25 September 2026. Prices are split-adjusted but not dividend-adjusted, so each range is the one actually traded, scaled only for splits.
A worked example
Take SPY’s 20 sessions from 28 August to 25 September 2026. Their ranges, in order, were $6.99, $3.28, $5.19, $4.70, $6.58, $3.87, $4.56, $3.53, $3.47, $2.78, $5.59, $4.20, $12.07, $3.61, $4.03, $8.86, $2.57, $6.55, $5.70 and $5.99.
They add up to $104.12. Divided by 20, that is an ADR of $5.21. On the 25 September close of $771.35, $5.21 is 0.675% of price. The ADR20% formula, which averages each day’s own high-to-low percentage, gives 0.68%. The two percent versions differ slightly because each day is divided by its own low rather than by one closing price.
One day in that window stands out. On 16 September SPY ranged $12.07, from $749.60 to $761.67. The ADR going into that day, the average of the 20 sessions ending 15 September, was $4.35, so the session covered 2.8 times a normal day.
It also moved the average. Because $12.07 sits inside the 20-session window, it lifts every ADR reading until it drops out in mid-October. Without it, the other 19 ranges average $4.84. A single wide day can hold an ADR up for a month.
The original data
Across 8,472 SPY sessions the median daily range was 1.04% of price, and the mean was 1.30%. The mean sits higher because a minority of very wide days pull it up, which is the first hint that daily ranges are lopsided.
The yearly medians swing by a factor of four. The narrowest year was 2017 at 0.48%. The widest was 2008 at 2.08%, with 2002 at 1.97%, 2009 at 1.75%, 2000 at 1.73% and 2022 at 1.72% close behind. The first 184 sessions of 2026 had a median of 0.87%. An ADR read in a calm year understates what the same market does in a stressed one. The yearly table is published as the SPY daily range by year file.
Next, each day against the ADR it started with. For the 8,452 SPY days that had a 20-day ADR the evening before, the day’s range was divided by that ADR. The median ratio was 0.91: a typical day was a little smaller than the average day, because the average is dragged up by the wide ones.
The spread is wide. 652 days (7.7%) came in under half the ADR. 4,243 (50.2%) landed between half and one times it. 3,557 (42.1%) matched or beat it, including 1,167 (13.8%) at 1.5 times or more and 381 (4.5%) at twice or more. The widest, 6 May 2010, covered 8.24 times its prior ADR.
ATR ran larger than ADR. Summed over the same sessions, true range was 1.103 times the plain range, about 10% more, and it exceeded the plain range on 2,725 of 8,471 days (32.2%). Those are the days SPY opened beyond the prior close and never traded back to it.
ADR differs by stock
The same formula gives very different numbers from one name to the next. On 25 September 2026 the 20-day ADR% was 0.68% for SPY, 1.30% for KO, 1.90% for JPM, 2.03% for XOM, 2.06% for MSFT and 2.22% for AAPL.
In dollars the order changes. MSFT’s ADR was $10.19 on a $516.17 close, AAPL’s $7.17 on $341.07, JPM’s $6.60 on $343.06, XOM’s $3.27 on $160.59 and KO’s $1.14 on $87.81. A $5 stop means very different things on those charts. The single-day snapshot is in the six-symbol ADR file.
A diversified index is the calm end of the scale. SPY’s reading was about half of KO’s and less than a third of AAPL’s on the same day, because moves in its roughly 500 holdings partly offset each other.
When it fails
Treating ADR as a ceiling is the most common misuse. “The stock has used its ADR, so it is done for the day” ignores that 42.1% of SPY sessions reached or exceeded the prior ADR, and 381 of them went at least twice as far. The average describes the middle, not the edge.
It lags a change of regime. When a quiet market turns volatile, the 20-day figure spends weeks catching up, so stops sized on it are too tight exactly when ranges are widening. The drop from 1.72% in 2022 to 0.96% in 2023 shows how far the normal day can move from one year to the next.
One outlier bends it. As the 16 September 2026 session showed, a single wide day inside the window raises every reading until it rolls off. A median of the last 20 ranges shrugs off a single outlier: on 25 September it was $4.63, against the $5.21 mean.
Gaps are invisible to it. A stock that gaps 5% on earnings and then trades quietly posts a small range and a small ADR, while the position that held through the gap took the whole 5%. Where gaps matter, ATR is the better measure.
Percent and dollar versions get mixed up. A 2% ADR on a $500 stock is $10; on a $50 stock it is $1. Screens use the percent; stops need the dollars.
Related
The ATR page covers the true-range version, which counts gaps and is the basis of many volatility stops. Volatility explains the wider idea ADR is one measure of, and why it clusters in time. And position sizing shows how a range figure turns into a share count, so that a wide-ranging stock gets a smaller position than a quiet one.
Look up a stock’s ADR before you decide where the stop goes. A stop tighter than half a normal day’s range is sitting inside ordinary noise, and I would rather trade a smaller size with room than a larger one without it.
— Michael Whitman
This page is educational, not financial advice. Test every idea on your own charts before risking money.