MRCI's Futures Highlight - DJIA Index e-Mini(CBOT)

MRCI's Futures Highlight - DJIA Index e-Mini(CBOT)

MRCI hopes this profile of the CBOT DJIA Index 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 Commodity Research Bureau

The table below offers a statistical analysis of historical daily trading in the CBOT DJIA Index 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.

MRCI's Nearby Futures Range Detail for E-mini DJIA Index(CBOT) from 1/2003 - 3/2024
Calendar Year	Monday Avg Rng	Tuesday Avg Rng	Wednesday Avg Rng	Thursday Avg Rng	Friday Avg Rng	Yearly Avg Rng
2003	152($760)	129($646)	128($640)	136($681)	136($679)	136($680)
2004	105($523)	104($519)	118($588)	109($543)	109($543)	109($544)
2005	89($444)	103($514)	111($553)	109($543)	103($513)	103($515)
2006	97($484)	114($568)	109($544)	109($545)	104($520)	107($533)
2007	136($680)	166($831)	176($882)	161($803)	167($834)	161($807)
2008	313($1567)	313($1565)	299($1496)	324($1621)	320($1599)	314($1569)
2009	196($982)	171($853)	183($915)	192($960)	176($880)	183($917)
2010	135($675)	163($816)	142($711)	180($898)	155($776)	155($777)
2011	217($1084)	203($1017)	211($1053)	215($1074)	199($994)	209($1044)
2012	137($686)	157($783)	143($715)	155($773)	158($791)	150($750)
2013	132($658)	133($664)	161($804)	145($723)	138($688)	142($708)
2014	155($775)	154($768)	156($780)	181($907)	163($816)	162($809)
2015	242($1209)	234($1169)	231($1155)	239($1196)	229($1145)	235($1174)
2016	195($973)	194($968)	219($1097)	198($989)	208($1040)	203($1014)
2017	134($672)	147($736)	135($677)	151($757)	127($633)	139($696)
2018	414($2072)	385($1927)	409($2043)	388($1940)	360($1800)	391($1954)
2019	288($1442)	301($1503)	294($1470)	324($1620)	310($1552)	304($1518)
2020	790($3950)	618($3091)	645($3224)	637($3187)	615($3076)	660($3298)
2021	445($2223)	384($1922)	380($1899)	418($2091)	414($2072)	407($2037)
2022	573($2866)	670($3349)	610($3048)	669($3347)	670($3348)	640($3199)
2023	338($1692)	400($2001)	375($1876)	418($2091)	403($2015)	388($1941)
2024	311($1557)	366($1828)	343($1715)	373($1864)	367($1833)	354($1768)

What other characteristics do CBOT DJIA Index 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.

MRCI's Nearby Futures Summary for E-mini DJIA Index(CBOT) from 1/2003 - 3/2024
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	252($1260)	251($1256)	250($1251)	262($1309)	252($1258)	253($1267)
Closed Up	537(54%)	590(54%)	595(54%)	596(55%)	577(54%)	2895(54%)
Closed Dn	456(46%)	502(46%)	497(45%)	477(44%)	489(46%)	2421(45%)
Closed Uchg	6(1%)	6(1%)	8(1%)	6(1%)	7(1%)	33(1%)
Gapped up	56(6%)	17(2%)	18(2%)	11(1%)	13(1%)	115(2%)
Un-filled Gaps Up	12(21%)	2(12%)	1(6%)	1(9%)	0(0%)	16(14%)
Gapped Down	52(5%)	11(1%)	10(1%)	7(1%)	5(0%)	85(2%)
Un-filled Gaps Down	13(25%)	2(18%)	0(0%)	0(0%)	0(0%)	15(18%)

Daily Percent Change Summary for E-mini DJIA Index(CBOT)
UNCH	>0%- <1%	+1%- <2%	+2%- <3%	+3%- <4%	+4%- <5%	+5%- <6%	+6%- <7%	+7%- <8%	+8%- <9%	+9%- <10%	+10%- <20%	>+20%
33	2251	498	97	28	8	3	4	2	0	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%
	1809	444	101	38	11	9	4	2	0	1	2	0

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

DJIA Index - Sep 16, 2022
	Period Low(Jan-Dec)		Period High(Jan-Dec)		Last Day		Average
Year	Date	Price	Date	Price	Date	Price	Price
2021	01/29/2021	29856.30	12/30/2021	36679.44	12/31/2021	36338.30	34055.29
2020	03/23/2020	18213.65	12/31/2020	30622.35	12/31/2020	30606.48	26890.67
2019	01/03/2019	22638.41	12/27/2019	28701.66	12/31/2019	28538.44	26379.55
2018	12/26/2018	21712.53	10/03/2018	26951.81	12/31/2018	23327.46	25053.95
2017	01/19/2017 01/19/2017	19677.93	12/18/2017	24876.07	12/29/2017	24719.22	21676.70
2016	01/20/2016	15450.56	12/20/2016	19987.63	12/30/2016	19762.59	17934.83
2015	08/24/2015	15370.33	05/19/2015	18351.36	12/31/2015	17425.03	17587.03
2014	02/05/2014	15340.69	12/26/2014	18103.45	12/31/2014	17823.07	16777.68
2013	01/02/2013	13104.30	12/31/2013	16588.25	12/31/2013	16576.66	15009.57
2012	06/04/2012	12035.09	10/05/2012	13661.87	12/31/2012	13104.14	12965.29
2011	10/04/2011	10404.49	05/02/2011	12876.00	12/30/2011	12217.56	11955.18
2010	07/02/2010	9614.32	12/29/2010	11625.00	12/31/2010	11577.51	10668.59
2009	03/06/2009	6469.95	12/29/2009	10580.33	12/31/2009	10428.04	8885.65
2008	11/21/2008	7449.38	01/02/2008	13279.54	12/31/2008	8776.39	11244.05
2007	03/14/2007	11939.61	10/11/2007	14198.10	12/31/2007	13264.82	13178.25
2006	01/20/2006	10661.15	12/28/2006	12529.88	12/29/2006	12463.15	11414.00
2005	04/20/2005	10000.45	03/07/2005	10984.46	12/30/2005	10717.50	10547.84
2004	10/25/2004	9708.40	12/27/2004	10868.07	12/31/2004	10783.01	10320.68
2003	03/12/2003	7416.64	12/31/2003	10462.44	12/31/2003	10453.92	9014.99
2002	10/10/2002	7197.49	03/19/2002	10673.10	12/31/2002	8341.62	9212.88
2001	09/21/2001	8062.34	05/22/2001	11350.05	12/31/2001	10021.50	10209.20
2000	10/18/2000	9654.64	01/14/2000	11750.28	12/29/2000	10786.85	10728.57
1999	01/25/1999	9063.26	12/30/1999	11568.77	12/31/1999	11497.12	10481.34
1998	09/01/1998	7400.30	11/24/1998	9380.20	12/31/1998	9181.43	8630.73
1997	01/02/1997	6352.83	08/07/1997	8303.90	12/31/1997	7908.25	7443.54
1996	01/10/1996	5014.52	11/26/1996	6589.91	12/31/1996	6448.27	5739.60
1995	01/30/1995	3817.28	12/14/1995	5235.62	12/29/1995	5117.12	4496.98
1994	04/04/1994	3552.48	01/31/1994	3985.69	12/30/1994	3834.44	3794.40
1993	01/08/1993 01/21/1993	3231.96	12/29/1993	3799.92	12/31/1993	3754.09	3524.92
1992	10/05/1992	3095.80	06/03/1992	3422.01	12/31/1992	3301.10	3284.07
1991	01/14/1991	2457.67	12/31/1991	3188.05	12/31/1991	3168.83	2929.02
1990	10/11/1990	2354.19	07/17/1990	3010.64	12/31/1990	2633.65	2679.44
1989	01/03/1989	2131.78	10/09/1989	2795.97	12/29/1989	2753.19	2511.51
1988	01/21/1988	1850.96	12/30/1988	2188.03	12/30/1988	2168.57	2061.80
1987	10/20/1987	1616.20	08/25/1987	2736.60	12/31/1987	1938.81	2277.53
1986	01/23/1986	1497.70	12/03/1986	1961.47	12/31/1986	1895.10	1793.05
1985	01/04/1985	1180.98	12/16/1985	1563.76	12/31/1985	1546.67	1327.96
1984	06/18/1984	1082.04	01/10/1984	1291.85	12/31/1984	1211.57	1178.54
1983	01/24/1983	1020.23	11/30/1983	1291.66	12/30/1983	1258.61	1190.92
1982	08/09/1982	769.98	12/28/1982	1074.32	12/31/1982	1046.54	884.43

The table below represents Scenario Analysis for the December DJIA Index e-Mini(CBOT) futures contracts.

Scenario^SM Study for March E-mini DJIA Index(CBOT) as of Sep 30, 2022
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		21	21	21	22	22	23	24	25	25	25	25
Closed Higher		18	12	10	14	14	11	16	19	19	11	15
Exceeded High		15	10	9	11	11	10	16	17	17	9	12
Scenario Percentage		83%	83%	90%	79%	79%	91%	100%	89%	89%	82%	80%
Avg Max Increase		3.89%	4.31%	4.27%	4.87%	4.04%	6.87%	5.97%	4.98%	4.66%	4.57%	2.91%
Max Increase		13.94%	8.90%	11.19%	10.07%	7.06%	19.70%	12.55%	9.91%	8.49%	6.92%	6.65%
Avg Days To Max Increase		11	23	18	18	15	19	21	19	18	15	10
Avg Max Decline		-0.91%	-2.12%	-1.39%	-1.35%	-1.81%	-1.91%	-1.49%	-1.48%	-1.51%	-0.72%	-0.75%
Max Decline		-7.15%	-4.56%	-3.55%	-4.88%	-7.04%	-4.85%	-6.33%	-4.91%	-7.11%	-2.72%	-2.12%
Avg Days to Max Decline		7	18	14	11	11	4	12	11	9	7	2
2023 Contract Condition			Yes		Yes
Action			No		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

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Jan

Feb

Tested Years

Closed Lower

Penetrated Low

Scenario Percentage

33%

78%

73%

88%

50%

75%

63%

50%

83%

64%

70%

Avg Max Decline

3.90%

5.00%

5.55%

9.61%

8.55%

7.89%

10.27%

7.15%

10.87%

8.99%

7.55%

Max Decline

3.90%

13.66%

13.38%

24.83%

20.53%

31.84%

20.24%

15.12%

19.65%

27.69%

19.62%

Avg Days To Max Decline

Avg Max Increase

0.09%

-0.28%

-1.48%

-1.40%

-2.06%

-1.70%

-2.57%

-4.89%

-2.79%

-2.08%

-2.03%

Max Increase

0.09%

-3.29%

-3.96%

-6.38%

-5.44%

-4.31%

-4.75%

-7.14%

-6.40%

-4.78%

-6.75%

Avg Days to Max Increase

2023 Contract Condition

Yes

Action

Yes

High

35253

35492

34368

33503

33074

34361

32755

Low

34328

33234

31499

30114

30440

31751

29076

Close/Last

34670

33234

33253

30973

33074

31751

29457

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