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

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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 - 10/2024
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 56.17($2808) 57.15($2858) 65.64($3282) 70.76($3538) 62.42($3121) 62.53($3126)

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 - 10/2024
Summary
Item
Monday
Summary
Tuesday
Summary
Wednesday
Summary
Thursday
Summary
Friday
Summary
Yearly
Summary
Range 29.45($1473) 29.75($1488) 30.31($1516) 31.56($1578) 30.37($1519) 30.30($1515)
Closed Up 702(55%) 721(52%) 768(55%) 741(54%) 717(52%) 3649(53%)
Closed Dn 566(44%) 658(47%) 624(45%) 621(45%) 633(46%) 3102(45%)
Closed Uchg 12(1%) 21(2%) 9(1%) 13(1%) 22(2%) 77(1%)
Gapped up 62(5%) 14(1%) 16(1%) 7(1%) 9(1%) 108(2%)
Un-filled Gaps Up 12(19%) 2(14%) 3(19%) 2(29%) 0(0%) 19(18%)
Gapped Down 54(4%) 12(1%) 16(1%) 12(1%) 9(1%) 103(2%)
Un-filled Gaps Down 13(24%) 2(17%) 1(6%) 1(8%) 0(0%) 17(17%)

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 2665 727 154 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%
2147 650 203 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.

ScenarioSM 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   15 15 15 15 15 16 25 25 25 26 26
Closed Lower   9 5 5 2 5 7 10 9 13 9 6
Penetrated Low   6 4 1 2 5 5 9 5 9 5 1
Scenario Percentage   67% 80% 20% 100% 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   8 19 2 10 9 14 16 11 13 17 3
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   7 10 2 2 5 10 9 10 8 7 1
2023 Contract Condition     Yes           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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