MRCI's Futures Highlight - Nasdaq 100 e-Mini(CME)

MRCI's Futures Highlight - Nasdaq 100 e-Mini(CME)

MRCI hopes this profile of the CME Nasdaq 100 e-Mini futures contract, with its statistics and feature studies, will help you derive wise trading decisions from its presentation of long-term perspective, computer analysis, and historical background. This additional history is designed to complement the body of knowledge contained in any seasonal patterns and strategies published. The weekly and monthly charts on this page depict prices for nearby contracts, which most closely reflect the underlying cash market.

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved
Some data provided by barchart

The table below offers a statistical analysis of historical daily trading in the CME Nasdaq 100 e-Mini futures. The average range for each day of the week in each year and overall has been computed for purposes of comparison and further insight into the dynamics of this market. (from futstats, but I don't currently have it available for include)

MRCI's Nearby Futures Range Detail for NASDAQ 100 E-Mini(CME) from 1/2002 - 3/2024
Calendar Year	Monday Avg Rng	Tuesday Avg Rng	Wednesday Avg Rng	Thursday Avg Rng	Friday Avg Rng	Yearly Avg Rng
2002	46.01($920)	47.66($953)	49.78($996)	43.63($873)	43.37($867)	46.09($922)
2003	31.11($622)	27.65($553)	27.66($553)	29.59($592)	29.01($580)	28.97($579)
2004	24.95($499)	24.36($487)	25.95($519)	26.03($521)	25.99($520)	25.46($509)
2005	20.09($402)	21.40($428)	22.66($453)	23.51($470)	20.08($402)	21.58($432)
2006	24.39($488)	26.72($534)	26.30($526)	27.06($541)	25.33($507)	25.99($520)
2007	28.10($562)	33.06($661)	34.22($684)	33.08($662)	32.01($640)	32.14($643)
2008	58.46($1169)	56.76($1135)	56.11($1122)	56.08($1122)	54.72($1094)	56.41($1128)
2009	36.42($728)	32.63($653)	34.50($690)	36.26($725)	33.02($660)	34.55($691)
2010	30.51($610)	36.84($737)	32.97($659)	38.52($770)	35.32($706)	34.90($698)
2011	49.79($996)	47.30($946)	48.57($971)	47.81($956)	43.89($878)	47.43($949)
2012	37.87($757)	37.38($748)	36.95($739)	39.80($796)	40.36($807)	38.49($770)
2013	34.85($697)	33.90($678)	39.97($799)	37.90($758)	32.92($658)	35.90($718)
2014	48.81($976)	47.59($952)	45.96($919)	53.66($1073)	50.19($1004)	49.20($984)
2015	69.18($1384)	67.98($1360)	69.41($1388)	72.75($1455)	66.32($1326)	69.13($1383)
2016	65.28($1306)	65.96($1319)	69.23($1385)	66.63($1333)	69.16($1383)	67.29($1346)
2017	54.41($1088)	51.24($1025)	56.90($1138)	60.05($1201)	55.26($1105)	55.60($1112)
2018	144.89($2898)	131.94($2639)	145.66($2913)	133.24($2665)	128.02($2560)	136.61($2732)
2019	118.39($2368)	113.76($2275)	112.28($2246)	119.40($2388)	112.47($2249)	115.20($2304)
2020	319.08($6382)	258.30($5166)	260.03($5201)	273.59($5472)	267.36($5347)	275.08($5502)
2021	277.95($5559)	243.06($4861)	244.44($4889)	250.43($5009)	220.89($4418)	246.94($4939)
2022	345.53($6911)	386.56($7731)	381.24($7625)	425.88($8518)	384.56($7691)	385.68($7714)
2023	207.69($4154)	224.43($4489)	254.17($5083)	278.61($5572)	243.33($4867)	242.52($4850)
2024	220.57($4412)	272.79($5456)	252.85($5057)	270.67($5413)	270.25($5405)	259.03($5181)

What other characteristics do CME Nasdaq 100 e-Mini futures exhibit for various days of the week? We ran various studies for the last 180 calendar days of trading prior to trading prior to expiration for each contract. (from futstats, but I don't currently have it available for include)

MRCI's Nearby Futures Summary for NASDAQ 100 E-Mini(CME) from 1/2002 - 3/2024
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	94.87($1897)	93.80($1876)	96.20($1924)	101.15($2023)	93.40($1868)	95.89($1918)
Closed Up	592(57%)	628(55%)	633(55%)	612(54%)	568(50%)	3033(54%)
Closed Dn	448(43%)	515(45%)	511(44%)	514(45%)	545(48%)	2533(45%)
Closed Uchg	7(1%)	7(1%)	6(1%)	4(0%)	13(1%)	37(1%)
Gapped up	51(5%)	15(1%)	21(2%)	15(1%)	14(1%)	116(2%)
Un-filled Gaps Up	10(20%)	3(20%)	5(24%)	0(0%)	0(0%)	18(16%)
Gapped Down	42(4%)	5(0%)	13(1%)	12(1%)	11(1%)	83(1%)
Un-filled Gaps Down	10(24%)	0(0%)	0(0%)	1(8%)	0(0%)	11(13%)

Daily Percent Change Summary for NASDAQ 100 E-Mini(CME)
UNCH	>0%- <1%	+1%- <2%	+2%- <3%	+3%- <4%	+4%- <5%	+5%- <6%	+6%- <7%	+7%- <8%	+8%- <9%	+9%- <10%	+10%- <20%	>+20%
37	1984	725	193	84	21	12	7	2	1	1	3	0
	<0%- >-1%	-1%- >-2%	-2%- >-3%	-3%- >-4%	-4%- >-5%	-5%- >-6%	-6%- >-7%	-7%- >-8%	-8%- >-9%	-9%- >-10%	-10%- >-20%	<-20%
	1569	586	229	89	44	5	6	1	0	2	2	0

The table below represents yearly low, high, last yield in the cash market for the CME Nasdaq 100 e-Mini futures contracts. Quotes are from daily cash market price activity.

NASDAQ 100 Index - Feb 16, 2024
	Period Low(Jan-Dec)		Period High(Jan-Dec)		Last Day		Average
Year	Date	Price	Date	Price	Date	Price	Price
2023	01/06/2023	10696.42	12/28/2023	16968.18	12/29/2023	16825.93	14202.32
2022	10/13/2022	10444.78	01/04/2022	16507.59	12/30/2022	10939.76	12743.43
2021	03/05/2021	12208.39	11/22/2021	16764.86	12/31/2021	16320.08	14488.81
2020	03/23/2020	6771.91	12/29/2020	12925.53	12/31/2020	12888.28	10279.14
2019	01/03/2019	6139.40	12/27/2019	8811.10	12/31/2019	8733.07	7632.98
2018	12/24/2018	5895.12	10/01/2018	7700.56	12/31/2018	6329.96	6988.60
2017	01/03/2017	4884.52	12/18/2017	6522.70	12/29/2017	6396.42	5763.21
2016	02/08/2016	3888.78	12/27/2016	4992.08	12/30/2016	4863.62	4570.78
2015	08/24/2015	3787.23	12/02/2015	4739.75	12/31/2015	4593.27	4437.81
2014	04/15/2014	3414.11	11/28/2014	4347.09	12/31/2014	4236.28	3853.81
2013	02/26/2013	2689.83	12/31/2013	3592.00	12/31/2013	3592.00	3048.52
2012	01/04/2012	2307.56	09/21/2012	2878.38	12/31/2012	2660.93	2642.10
2011	08/09/2011	2034.92	07/26/2011	2438.44	12/30/2011	2277.83	2294.24
2010	07/01/2010	1700.04	12/22/2010	2238.92	12/31/2010	2217.86	1947.16
2009	03/09/2009	1040.41	12/28/2009	1882.58	12/31/2009	1860.31	1494.79
2008	11/21/2008	1018.86	01/02/2008	2094.22	12/31/2008	1211.65	1698.95
2007	03/05/2007	1710.97	10/31/2007	2239.23	12/31/2007	2084.92	1943.49
2006	07/18/2006	1446.77	11/24/2006	1824.21	12/29/2006	1756.90	1656.18
2005	04/29/2005	1394.36	12/06/2005	1716.65	12/30/2005	1645.20	1556.20
2004	08/13/2004	1301.93	12/15/2004	1635.70	12/31/2004	1621.12	1465.35
2003	02/13/2003	938.52	12/31/2003	1474.24	12/31/2003	1467.92	1220.37
2002	10/08/2002	795.25	01/09/2002	1710.23	12/31/2002	984.37	1167.20
2001	09/21/2001	1088.96	01/24/2001	2771.63	12/31/2001	1577.05	1750.10
2000	12/21/2000	2174.76	03/24/2000	4816.35	12/29/2000	2341.70	3593.52
1999	01/04/1999	1833.43	12/30/1999	3750.41	12/31/1999	3707.83	2363.65

The table below represents Scenario Analysis for the June Nasdaq 100 e-Mini(CME) futures contracts.

Scenario^SM Study for September NASDAQ 100 E-Mini(CME) as of Feb 28, 2024
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		16	16	16	22	21	23	27	27	27	28	28
Closed Higher		10	11	9	13	10	14	18	15	14	20	15
Exceeded High		8	10	8	12	10	12	16	15	12	15	13
Scenario Percentage		80%	91%	89%	92%	100%	86%	89%	100%	86%	75%	87%
Avg Max Increase		5.12%	5.66%	7.23%	6.92%	6.80%	7.12%	8.48%	7.51%	9.20%	6.17%	3.64%
Max Increase		8.73%	10.79%	11.35%	13.48%	13.60%	16.31%	14.92%	15.89%	19.88%	14.46%	10.52%
Avg Days To Max Increase		18	19	18	19	21	24	17	23	24	11	9
Avg Max Decline		-13.96%	-2.33%	-0.73%	-0.96%	-2.28%	-1.81%	-2.76%	-3.13%	-1.84%	-1.98%	-0.95%
Max Decline		-99.90%	-11.33%	-4.33%	-11.31%	-6.39%	-6.15%	-8.94%	-7.72%	-5.67%	-6.35%	-2.49%
Avg Days to Max Decline		8	11	7	8	11	8	9	19	9	10	3
2024 Contract Condition				Yes	Yes	Yes
Action				Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.

Tested Month

Sep

Oct

Nov

Dec

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Tested Years

Closed Lower

Penetrated Low

Scenario Percentage

83%

40%

43%

67%

80%

56%

78%

75%

69%

75%

23%

Avg Max Decline

9.63%

16.12%

12.13%

7.59%

10.90%

5.21%

12.86%

9.87%

7.91%

11.04%

7.50%

Max Decline

22.33%

16.41%

17.63%

13.03%

28.82%

13.21%

24.35%

28.18%

18.69%

27.97%

17.18%

Avg Days To Max Decline

Avg Max Increase

-2.00%

-2.12%

0.17%

-2.56%

-2.95%

0.03%

-3.12%

-2.75%

-2.79%

-2.05%

-5.80%

Max Increase

-3.47%

-2.16%

-0.76%

-8.52%

-7.40%

-2.31%

-5.42%

-10.94%

-6.74%

-5.11%

-9.04%

Avg Days to Max Increase

2024 Contract Condition

Yes

Action

Yes

High

16294.00

16001.00

16155.25

1126.75

1811.50

2204.50

Low

15278.00

14750.00

61.50

18.00

363.50

1385.00

Close/Last

15429.00

15039.75

208.00

1020.00

1277.00

1977.75

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