E-mini S&P 500 Futures
Instrument Overview (CME Group)
“An electronically traded futures contract one fifth the size of standard S&P futures, E-mini S&P 500 futures and options are based on the underlying Standard & Poor’s 500 stock index. Made up of 500 individual stocks representing the market capitalizations of large companies, the S&P 500 Index is a leading indicator of large-cap U.S. equities.”
Probability of Weekly Highs & Lows by Day
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This is the relative probability of this instrument trading at the high or low price of the week on any given day. Midnight is expressed as UTC−8:00 (Pacific Time). Full Session.
Per-Tick Volume Breakdown
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This breakdown shows the aggregated size of all prints over the most recent quarter. Those sizes outside the top 10 are not shown, and generally represent less than 1/10th of a percent of all volume in the data set. Full Session.
Probability of Session Highs & Lows by Time
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Times of day are expressed as UTC−8:00 (Pacific Time). Full Session.
Average Range By Time
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The chart shows the movement in average range (or volatility/price movement) in ticks for each slice of time shown on the x-axis. Times of day are expressed as UTC−8:00 (Pacific Time). Full Session.
Last updated October 2017. Graphs depict the preceding 2 calendar years of market data unless otherwise noted.