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.
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 - 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.
MRCI's Nearby Futures Summary for S & P 500 E-Mini(CME) from 9/1997 - 3/2024
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.
The focus on a single market each month can provide you more in-depth knowledge of how it trades. What if you knew such things as ... (1) average daily ranges by day of week (2)Â how often it tends to close higher/lower by day of week (3)Â how often it tends to gap up/down (4)Â historical summary of daily % of price change