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instrument report · Index futures

E-mini S&P 500 ES

Historical statistics for E-mini S&P 500 over 32,519 observations, from 2010-06-07 to 2026-10-23. Every table shows its sample size (n) next to the percentage.

What sets this instrument apart

  • In ES an upside gap fills 64.5% of the time on a Wednesday (n = 487) and 50.7% on a Monday (n = 432): 13.8 percentage points, more than chance gives (two-proportion test, Holm-corrected over the 10 pairs of days).
  • The average range goes from 42.28 points on Tuesday (n = 850) to 45.95 on Thursday (n = 846). That 9% difference is indistinguishable from chance (comparison of means of the range relative to its recent average, Holm-corrected over the 10 pairs of days): by size, the day of the week cannot be told apart.
  • The day's high is made in the New York session 31.2% of the time, across 4,203 sessions.
On video:
Opening gap fill, by day · E-mini S&P 500 (ES)

Tables

Historical frequencies, not forecasts: each row's sample size sits on the right.

Opening gap fill, by day

ES

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DayGap upGap downSessions
Monday50.7%56.1%806
Tuesday59.6%60.3%843
Wednesday64.5%67.8%838
Thursday59.5%62.6%837
Friday56.3%59.1%776

n = 4,100 · 2010-06-07 to 2026-10-23 · historical futures data

Gap measured from the prior regular-session close to today's open. Fill = price trades back to that close within the same regular session.

After an inside day, does it break the prior range?

ES

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DayBreaksStays insideSessions
Monday82.4%17.6%689
Tuesday87.9%12.1%835
Wednesday87.5%12.5%823
Thursday88.4%11.6%831
Friday87.5%12.5%777

n = 3,955 · 2010-06-07 to 2026-10-23 · historical futures data

Inside day = its high and low fit within the prior day's range. Breaking out is the norm; what informs is how far this instrument sits from that norm.

How close the day's range is to its average

ES

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Kind of dayFrequencyDays
Compressed (under 70% of the average range)26.1%1,098
Normal (70-130%)51.3%2,159
Expanded (over 130%)22.5%948

n = 4,205 · 2010-06-25 to 2026-10-23 · historical futures data

Compares each session's range with the instrument's own recent average range.

Monthly snapshot of October 24, 2026.

In the platform

These tables, with every row and refreshed every night, are inside Perfiltrade.

  • Gap fill by gap sizen = 4,100
  • Where the day's high and low are maden = 4,203
  • Average true range by day of the weekn = 4,218
  • Gap fill between calendar daysn = 3,539
  • Sessions with a range above the average of the prior 20n = 4,199
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How to cite this data

The tables on this page are our own work, built from historical futures data. You may reproduce them, translate them or build on them, including commercially, as long as you credit the source and link back to the original page. If you use them, tell us: we like knowing what they get used for.

Licence: CC BY 4.0

Suggested citation:

Perfiltrade (October 24, 2026). E-mini S&P 500 (ES): how much it moves, with its sample. https://www.perfiltrade.com/en/instruments/es

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Historical frequencies describe what happened; they do not guarantee what will happen and are not investment advice.