MRCI's Futures Highlight - Nasdaq 100(CME)

MRCI's Futures Highlight - Nasdaq 100(CME)

MRCI hopes this profile of the CME Nasdaq 100 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.

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Some data provided by Commodity Research Bureau

The table below offers a statistical analysis of historical daily trading in the CME Nasdaq 100 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.

MRCI's Nearby Futures Range Detail for NASDAQ 100 E-Mini(CME) from 1/2002 - 5/2022
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	255.45($5109)	234.93($4699)	234.99($4700)	237.89($4758)	214.81($4296)	235.38($4708)
2022	420.72($8414)	428.55($8571)	442.42($8848)	504.49($10090)	438.40($8768)	447.29($8946)

What other characteristics do CME Nasdaq 100 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.

MRCI's Nearby Futures Summary for NASDAQ 100 E-Mini(CME) from 1/2002 - 5/2022
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	81.60($1632)	76.44($1529)	78.15($1563)	81.04($1621)	75.07($1501)	78.41($1568)
Closed Up	542(56%)	584(55%)	584(56%)	558(54%)	521(51%)	2789(54%)
Closed Dn	416(43%)	462(44%)	462(44%)	472(46%)	496(48%)	2308(45%)
Closed Uchg	7(1%)	7(1%)	6(1%)	4(0%)	12(1%)	36(1%)
Gapped up	51(5%)	14(1%)	23(2%)	16(2%)	16(2%)	120(2%)
Un-filled Gaps Up	13(25%)	5(36%)	9(39%)	3(19%)	2(13%)	32(27%)
Gapped Down	36(4%)	9(1%)	12(1%)	10(1%)	11(1%)	78(2%)
Un-filled Gaps Down	8(22%)	4(44%)	0(0%)	1(10%)	1(9%)	14(18%)

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%
36	1850	652	160	77	19	12	7	1	1	1	3	6
	<0%- >-1%	-1%- >-2%	-2%- >-3%	-3%- >-4%	-4%- >-5%	-5%- >-6%	-6%- >-7%	-7%- >-8%	-8%- >-9%	-9%- >-10%	-10%- >-20%	<-20%
	1435	515	213	83	40	4	6	1	0	2	2	7

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

NASDAQ 100 Index - Feb 12, 2021
	Period Low(Jan-Dec)		Period High(Jan-Dec)		Last Day		Average
Year	Date	Price	Date	Price	Date	Price	Price
2020	03/23/2020	6771.75	12/29/2020	12925.50	12/31/2020	12888.25	10288.53
2019	01/03/2019	6139.25	12/27/2019	8811.00	12/31/2019	8733.00	7637.76
2018	12/24/2018	5895.00	10/01/2018	7700.50	12/31/2018	6329.75	6985.99
2017	01/03/2017	4884.50	12/18/2017	6522.50	12/29/2017	6396.25	5763.09
2016	02/08/2016	3888.75	12/27/2016	4992.00	12/30/2016	4863.50	4570.66
2015	08/24/2015	3787.00	12/02/2015	4739.75	12/31/2015	4593.25	4437.93
2014	04/15/2014	3414.00	11/28/2014	4347.00	12/31/2014	4236.25	3855.18
2013	02/26/2013	2689.75	12/31/2013	3592.00	12/31/2013	3592.00	3050.44
2012	01/04/2012	2307.50	09/21/2012	2878.25	12/31/2012	2660.75	2642.40
2011	08/09/2011	2034.75	07/26/2011	2438.25	12/30/2011	2277.75	2294.13
2010	07/01/2010	1700.00	12/22/2010	2238.75	12/31/2010	2217.75	1948.25
2009	03/09/2009	1040.25	12/28/2009	1882.50	12/31/2009	1860.25	1496.22
2008	11/21/2008	1018.75	01/02/2008	2094.00	12/31/2008	1211.50	1697.12
2007	03/05/2007	1710.75	10/31/2007	2239.00	12/31/2007	2084.75	1943.79
2006	07/18/2006	1446.75	11/24/2006	1824.00	12/29/2006	1756.75	1656.06
2005	04/29/2005	1394.25	12/06/2005	1716.50	12/30/2005	1645.00	1556.08
2004	08/13/2004	1301.75	12/15/2004	1635.50	12/31/2004	1621.00	1465.78
2003	02/13/2003	938.50	12/31/2003	1474.00	12/31/2003	1467.75	1221.21
2002	10/08/2002	795.25	01/09/2002	1710.00	12/31/2002	984.25	1166.53
2001	09/21/2001	1088.75	01/24/2001	2771.50	12/31/2001	1577.00	1749.42
2000	12/21/2000	2174.75	03/24/2000	4816.25	12/29/2000	2341.50	3593.41
1999	01/04/1999	1833.25	12/30/1999	3750.25	12/31/1999	3707.75	2369.18
1998	01/12/1998	933.00	12/31/1998	1848.25	12/31/1998	1836.00	1304.53
1997	04/03/1997	779.00	10/09/1997	1153.75	12/31/1997	990.75	977.28
1996	01/16/1996	526.75	12/12/1996	873.00	12/31/1996	821.25	682.72
1995	01/04/1995	394.50	11/06/1995	623.50	12/29/1995	576.00	519.49

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