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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 Commodity Research Bureau

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.

MRCI's Nearby Futures Range Detail for S & P 500 E-Mini(CME)
from 9/1997 - 10/2020
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 91.61($4580) 74.15($3707) 75.64($3782) 79.49($3975) 77.24($3862) 79.41($3970)

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.

MRCI's Nearby Futures Summary for S & P 500 E-Mini(CME)
from 9/1997 - 10/2020
Summary
Item
Monday
Summary
Tuesday
Summary
Wednesday
Summary
Thursday
Summary
Friday
Summary
Yearly
Summary
Range 24.16($1208) 23.92($1196) 24.35($1217) 24.94($1247) 24.19($1210) 24.31($1216)
Closed Up 596(54%) 620(52%) 661(55%) 634(54%) 611(52%) 3122(54%)
Closed Dn 489(45%) 553(46%) 525(44%) 527(45%) 539(46%) 2633(45%)
Closed Uchg 12(1%) 21(2%) 9(1%) 12(1%) 21(2%) 75(1%)
Gapped up 50(5%) 9(1%) 14(1%) 6(1%) 8(1%) 87(1%)
Un-filled Gaps Up 11(22%) 2(22%) 3(21%) 2(33%) 0(0%) 18(21%)
Gapped Down 47(4%) 12(1%) 12(1%) 9(1%) 7(1%) 87(1%)
Un-filled Gaps Down 11(23%) 2(17%) 0(0%) 1(11%) 0(0%) 14(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%
75 2297 597 130 61 20 8 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%
1807 554 179 54 18 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 - Jul 31, 2020
  Period Low(Jan-Dec) Period High(Jan-Dec) Last Day Average
Year Date Price Date Price Date Price Price
2019 01/03/2019 2444.00 12/27/2019 3248.00 12/31/2019 3230.75 2913.37
2018 12/26/2018 2346.50 09/21/2018 2941.00 12/31/2018 2506.75 2746.21
2017 01/03/2017 2245.25 12/18/2017 2695.00 12/29/2017 2673.50 2449.07
2016 02/11/2016 1810.00 12/13/2016 2277.50 12/30/2016 2238.75 2095.30
2015 08/24/2015 1867.00 05/20/2015 2134.75 12/31/2015 2044.00 2061.06
2014 02/05/2014 1738.00 12/29/2014 2093.50 12/31/2014 2059.00 1931.38
2013 01/02/2013 1426.25 12/31/2013 1849.50 12/31/2013 1848.25 1643.80
2012 01/03/2012 1258.75 09/14/2012 1474.50 12/31/2012 1426.25 1379.41
2011 10/04/2011 1074.75 05/02/2011 1370.50 12/30/2011 1257.50 1267.64
2010 07/01/2010 1011.00 12/29/2010 1262.50 12/31/2010 1257.75 1139.97
2009 03/06/2009 666.75 12/28/2009
12/29/2009
1130.50
1130.50
12/31/2009 1115.00 948.05
2008 11/21/2008 741.00 01/02/2008 1471.75 12/31/2008 903.25 1219.60
2007 03/14/2007 1364.00 10/11/2007 1576.00 12/31/2007 1468.25 1477.18
2006 06/14/2006 1219.25 12/15/2006
12/18/2006
1431.75
1431.75
12/29/2006 1418.25 1310.46
2005 04/20/2005 1136.25 12/14/2005 1275.75 12/30/2005 1248.25 1207.22
2004 08/13/2004 1060.75 12/31/2004 1217.25 12/31/2004 1212.00 1130.65
2003 03/12/2003 789.00 12/31/2003 1112.50 12/31/2003 1112.00 965.22
2002 10/10/2002 768.75 01/07/2002 1177.00 12/31/2002 879.75 993.94
2001 09/21/2001 944.75 01/31/2001 1383.25 12/31/2001 1148.00 1193.78
2000 12/21/2000 1254.00 03/24/2000 1552.75 12/29/2000 1320.25 1427.45
1999 01/13/1999 1206.50 12/30/1999 1473.00 12/31/1999 1469.25 1327.33
1998 01/12/1998 912.75 12/30/1998 1245.00 12/31/1998 1229.25 1084.31
1997 01/02/1997 729.50 12/05/1997 986.25 12/31/1997 970.50 873.96
1996 01/10/1996 597.25 11/26/1996 762.00 12/31/1996 740.75 670.61
1995 01/03/1995 457.25 12/14/1995 623.00 12/29/1995 616.00 541.60
1994 04/04/1994 435.75 01/31/1994 482.75 12/30/1994 459.25 460.41

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