Is any site where I can find the average daily trading range, over various time periods, for ES futures between, say, 9:20 AM and 9:40 AM?
I think the best way will be to create a 5 minute or 10 minute chart with your charting software, apply the ATR and then export data to excel so you can sort.
Even the guy that wrote the book on that strat said there was little predictive value in opening range breakouts.