MRCI's Futures Highlight - S&P 500 e-Mini(CME)

MRCI's Futures Highlight - S&P 500 e-Mini(CME)

MRCI hopes this profile of the CME S&P 500 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 S&P 500 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 S & P 500 E-Mini(CME) from 9/1997 - 3/2024
Calendar Year	Monday Avg Rng	Tuesday Avg Rng	Wednesday Avg Rng	Thursday Avg Rng	Friday Avg Rng	Yearly Avg Rng
1997	20.72($1036)	19.48($974)	16.35($818)	17.39($870)	19.69($984)	18.73($937)
1998	21.20($1060)	20.67($1034)	18.54($927)	22.28($1114)	19.82($991)	20.50($1025)
1999	20.99($1050)	24.37($1218)	23.57($1178)	24.91($1246)	25.27($1264)	23.86($1193)
2000	26.98($1349)	30.33($1517)	27.79($1390)	28.80($1440)	32.62($1631)	29.34($1467)
2001	21.12($1056)	23.49($1175)	27.77($1388)	23.57($1179)	25.11($1256)	24.25($1212)
2002	23.60($1180)	22.48($1124)	24.65($1232)	21.51($1076)	21.43($1071)	22.73($1136)
2003	16.96($848)	14.41($720)	14.39($720)	15.44($772)	15.05($753)	15.22($761)
2004	12.01($601)	11.82($591)	13.09($655)	12.25($613)	12.42($621)	12.32($616)
2005	10.60($530)	12.25($613)	12.73($637)	12.64($632)	11.72($586)	12.02($601)
2006	11.73($586)	13.48($674)	12.75($638)	13.06($653)	12.02($601)	12.63($631)
2007	17.13($856)	20.77($1039)	21.26($1063)	20.25($1013)	20.52($1026)	20.02($1001)
2008	37.23($1861)	36.34($1817)	35.50($1775)	37.27($1864)	35.91($1795)	36.43($1822)
2009	23.43($1171)	20.10($1005)	21.69($1084)	22.56($1128)	21.01($1051)	21.74($1087)
2010	15.90($795)	19.61($980)	17.32($866)	20.96($1048)	18.84($942)	18.57($928)
2011	25.53($1277)	24.40($1220)	25.00($1250)	24.74($1237)	22.94($1147)	24.50($1225)
2012	16.22($811)	17.94($897)	16.67($833)	18.57($929)	18.71($936)	17.64($882)
2013	16.22($811)	16.09($804)	19.33($967)	17.64($882)	16.12($806)	17.08($854)
2014	19.26($963)	19.36($968)	18.86($943)	22.75($1138)	20.02($1001)	20.04($1002)
2015	29.07($1454)	27.29($1365)	28.03($1402)	28.68($1434)	26.49($1325)	27.90($1395)
2016	23.97($1198)	24.39($1220)	26.91($1345)	24.13($1206)	26.56($1328)	25.22($1261)
2017	15.15($758)	15.72($786)	15.73($787)	18.05($902)	15.62($781)	16.07($804)
2018	41.41($2070)	38.35($1917)	42.87($2144)	39.17($1959)	38.32($1916)	40.00($2000)
2019	31.69($1585)	33.24($1662)	32.88($1644)	35.45($1773)	34.16($1708)	33.50($1675)
2020	88.59($4430)	69.61($3481)	72.99($3649)	73.90($3695)	72.97($3649)	75.44($3772)
2021	56.63($2832)	50.73($2536)	49.15($2458)	54.48($2724)	52.04($2602)	52.52($2626)
2022	82.78($4139)	94.19($4709)	90.56($4528)	100.10($5005)	96.21($4811)	93.00($4650)
2023	44.92($2246)	53.12($2656)	55.12($2756)	58.95($2948)	56.28($2814)	53.90($2695)
2024	42.65($2133)	50.17($2509)	51.02($2551)	54.87($2743)	50.77($2539)	50.24($2512)

What other characteristics do CME S&P 500 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 S & P 500 E-Mini(CME) from 9/1997 - 3/2024
Summary Item	Monday Summary	Tuesday Summary	Wednesday Summary	Thursday Summary	Friday Summary	Yearly Summary
Range	28.79($1440)	29.13($1456)	29.48($1474)	30.62($1531)	29.60($1480)	29.53($1477)
Closed Up	684(55%)	701(51%)	754(55%)	731(54%)	700(52%)	3570(53%)
Closed Dn	558(44%)	650(47%)	611(44%)	604(45%)	622(46%)	3045(46%)
Closed Uchg	12(1%)	21(2%)	9(1%)	13(1%)	22(2%)	77(1%)
Gapped up	61(5%)	14(1%)	15(1%)	7(1%)	9(1%)	106(2%)
Un-filled Gaps Up	12(20%)	2(14%)	3(20%)	2(29%)	0(0%)	19(18%)
Gapped Down	53(4%)	12(1%)	14(1%)	11(1%)	9(1%)	99(1%)
Un-filled Gaps Down	13(25%)	2(17%)	0(0%)	1(9%)	0(0%)	16(16%)

Daily Percent Change Summary for S & P 500 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%
77	2603	711	153	65	20	9	4	1	0	2	2	0
	<0%- >-1%	-1%- >-2%	-2%- >-3%	-3%- >-4%	-4%- >-5%	-5%- >-6%	-6%- >-7%	-7%- >-8%	-8%- >-9%	-9%- >-10%	-10%- >-20%	<-20%
	2101	642	200	62	19	8	3	6	1	2	1	0

The table below represents yearly low, high, last yield in the cash market for the CME S&P 500 e-Mini futures contracts. Quotes are from daily cash market price activity.

S & P 500 Stock Index - Aug 31, 2023
	Period Low(Jan-Dec)		Period High(Jan-Dec)		Last Day		Average
Year	Date	Price	Date	Price	Date	Price	Price
2022	10/13/2022	3491.58	01/04/2022	4818.62	12/30/2022	3839.50	4097.43
2021	01/04/2021	3662.71	12/30/2021	4808.93	12/31/2021	4766.18	4273.41
2020	03/23/2020	2191.86	12/31/2020	3758.48	12/31/2020	3756.07	3217.86
2019	01/03/2019	2443.96	12/27/2019	3247.93	12/31/2019	3230.78	2913.36
2018	12/26/2018	2346.58	09/21/2018	2940.91	12/31/2018	2506.85	2746.21
2017	01/03/2017	2245.13	12/18/2017	2694.97	12/29/2017	2673.61	2450.05
2016	02/11/2016	1810.10	12/13/2016	2277.53	12/30/2016	2238.83	2095.29
2015	08/24/2015	1867.01	05/20/2015	2134.71	12/31/2015	2043.94	2061.07
2014	02/05/2014	1737.92	12/29/2014	2093.55	12/31/2014	2058.90	1931.38
2013	01/02/2013	1426.19	12/31/2013	1849.44	12/31/2013	1848.36	1643.80
2012	01/03/2012	1258.85	09/14/2012	1474.51	12/31/2012	1426.19	1379.35
2011	10/04/2011	1074.77	05/02/2011	1370.58	12/30/2011	1257.59	1267.67
2010	07/01/2010	1010.91	12/29/2010	1262.59	12/31/2010	1257.64	1139.96
2009	03/06/2009	666.79	12/28/2009 12/29/2009	1130.38	12/31/2009	1115.09	948.05
2008	11/21/2008	741.02	01/02/2008	1471.77	12/31/2008	903.25	1220.04
2007	03/14/2007	1363.98	10/11/2007	1576.09	12/31/2007	1468.36	1477.18
2006	06/14/2006	1219.29	12/18/2006	1431.81	12/29/2006	1418.30	1310.88
2005	04/20/2005	1136.15	12/14/2005	1275.80	12/30/2005	1248.29	1207.47
2004	08/13/2004	1060.72	12/31/2004	1217.33	12/31/2004	1211.92	1130.65
2003	03/12/2003	788.90	12/31/2003	1112.56	12/31/2003	1111.92	965.23
2002	10/10/2002	768.63	01/07/2002	1176.97	12/31/2002	879.82	993.93
2001	09/21/2001	944.75	01/31/2001	1383.37	12/31/2001	1148.08	1194.18
2000	12/21/2000	1254.07	03/24/2000	1552.87	12/29/2000	1320.28	1426.64
1999	01/13/1999	1206.58	12/30/1999	1473.10	12/31/1999	1469.25	1327.33
1998	01/12/1998	912.83	12/30/1998	1244.93	12/31/1998	1229.23	1084.65

The table below represents Scenario Analysis for the December S&P 500 e-Mini(CME) futures contracts.

Scenario^SM Study for December S & P 500 E-Mini(CME) as of Aug 30, 2023
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		15	15	15	15	15	16	25	25	25	26	26
Closed Higher		6	10	10	13	10	9	15	16	12	17	20
Exceeded High		5	10	8	12	8	9	12	12	10	15	16
Scenario Percentage		83%	100%	80%	92%	80%	100%	80%	75%	83%	88%	80%
Avg Max Increase		6.02%	5.45%	6.03%	4.51%	5.37%	6.56%	5.11%	3.94%	6.80%	5.12%	2.16%
Max Increase		8.82%	11.01%	16.59%	11.21%	8.80%	14.09%	9.94%	8.25%	16.76%	10.79%	4.37%
Avg Days To Max Increase		19	24	18	15	25	25	19	17	22	11	8
Avg Max Decline		0.15%	-2.01%	-1.18%	-1.66%	-2.64%	-1.77%	-1.91%	-2.38%	-2.87%	-1.10%	-0.97%
Max Decline		-0.64%	-5.95%	-3.31%	-4.89%	-5.28%	-5.49%	-5.58%	-9.05%	-9.43%	-4.60%	-4.10%
Avg Days to Max Decline		7	9	7	10	23	10	11	12	7	6	3
2023 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes	Yes	Yes	Not Yet

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

Dec

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Tested Years

Closed Lower

Penetrated Low

Scenario Percentage

67%

80%

20%

100%

71%

90%

56%

69%

56%

17%

Avg Max Decline

10.70%

11.46%

3.43%

10.66%

6.03%

9.41%

9.85%

9.93%

9.12%

9.47%

1.63%

Max Decline

32.83%

26.09%

3.43%

11.87%

11.84%

18.17%

23.25%

17.78%

36.78%

23.60%

1.63%

Avg Days To Max Decline

Avg Max Increase

-2.95%

-2.06%

0.12%

-2.60%

-1.13%

-2.38%

-2.49%

-4.39%

-1.98%

-2.64%

-1.85%

Max Increase

-6.17%

-6.57%

0.12%

-4.16%

-4.12%

-3.52%

-7.17%

-12.14%

-6.07%

-4.26%

-1.85%

Avg Days to Max Increase

2023 Contract Condition

Yes

Action

Yes

High

4232.50

4206.75

4307.75

4207.50

4272.50

4328.00

4546.25

4685.50

4673.50

Low

3905.00

3927.25

4071.25

3916.00

4140.25

4131.00

4261.50

4459.25

4397.75

Close/Last

3964.00

4198.25

4092.75

4207.50

4263.75

4273.75

4536.75

4666.00

4574.00

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