ES Futures Statistics 2026
ES futures averaged a 70.6-point regular-session range in 2026, about $3,530 per contract (0.98% of price), and 92.5 points on the full Globex session. Below: the month-by-month range, first hour range, volatility by time of day, gap fill and initial balance odds for the E-mini S&P 500, from 187 sessions of CME data, updated every month.
I built this because I kept needing the numbers and kept not finding them. If you want to know what a normal ES day looks like this year, or whether the range you just traded was wide or ordinary, most of the internet gives you a vague answer from 2019.
So here it is, straight from CME data for the front-month contract. Every number below is computed the same way each month, and I add a row when the month closes. The same breakdown exists for NQ, YM and RTY, built with the same definitions so you can compare them side by side.
On this page
ES Average Daily Range by Month
ETH is the full Globex session. RTH is 9:30 AM to 4:15 PM ET, where ES does most of its business. All figures in index points, so multiply by $50 for one ES contract or $5 for one MES.
| Month | Days | ETH range | RTH range | First hour | 1st hr % of RTH | Narrowest | Widest | Net change | Avg RTH volume |
|---|---|---|---|---|---|---|---|---|---|
| January | 20 | 72.91 | 57.24 | 34.69 | 60.6% | 30.25 | 123.25 | +67.50 | 1,164,436 |
| February | 19 | 104.12 | 83.99 | 56.16 | 66.9% | 36.00 | 150.75 | −86.00 | 1,294,769 |
| March | 22 | 137.57 | 93.33 | 49.51 | 53.1% | 44.25 | 177.50 | −357.50 | 1,344,835 |
| April | 21 | 91.04 | 65.08 | 30.46 | 46.8% | 32.25 | 130.25 | +679.25 | 1,192,831 |
| May | 20 | 76.75 | 59.08 | 33.58 | 56.8% | 32.00 | 84.75 | +344.00 | 1,154,374 |
| June | 21 | 114.86 | 95.56 | 48.87 | 51.1% | 36.50 | 243.75 | −111.00 | 1,218,052 |
| July | 22 | 92.32 | 74.11 | 41.97 | 56.6% | 38.25 | 156.50 | −38.75 | 1,079,872 |
| August | 21 | 63.13 | 51.06 | 28.94 | 56.7% | 25.00 | 130.00 | +198.00 | 964,602 |
| September | 21 | 77.40 | 54.87 | 29.31 | 53.4% | 26.25 | 124.00 | −47.50 | 1,136,315 |
| 2026 YTD | 187 | 92.53 | 70.61 | 39.22 | 55.5% | 25.00 | 243.75 | +648.00 | 1,171,487 |
The spread between months is bigger than people assume. March days were more than twice as wide as August days on the full session, so a stop that fit March was badly oversized in August. That's the argument for sizing off current range rather than a number you picked once and never revisited.
The other one is April. It printed the year's biggest gain (+679.25 points) on a below-average daily range, which is what a grinding trend month looks like. Big monthly moves and big daily ranges are not the same thing.
ES vs NQ, YM and RTY: Range in Points, Dollars and Percent
The same numbers for all four index futures, computed the same way over the same 187 sessions. Click a market to see its full page.
| 2026, Jan 2 to September 30 | ES | NQ | YM | RTY |
|---|---|---|---|---|
| Avg regular-session range (points) | 70.61 | 404.29 | 520.84 | 42.53 |
| Same range in dollars, one contract | $3,530 | $8,090 | $2,600 | $2,130 |
| Same range, one micro contract | $353 | $809 | $260 | $213 |
| Range as a share of price | 0.98% | 1.46% | 1.04% | 1.53% |
| First hour share of the range | 55.5% | 62.4% | 64.2% | 64.2% |
| First 30 minutes share of the range | 45.5% | 52.8% | 55.8% | 53.3% |
| Opening half hour vs quietest half hour | 2.1x | 2.7x | 2.8x | 2.7x |
| Sessions inside the first hour range | 4.3% | 5.9% | 6.4% | 5.3% |
| Sessions inside the overnight range | 4.3% | 7.5% | 4.3% | 5.9% |
| Gap up filled same session | 54.8% | 50.5% | 56.4% | 61.2% |
| Gap down filled same session | 53.0% | 50.0% | 57.0% | 57.1% |
| Avg regular-session volume | 1,171,487 | 417,479 | 72,265 | 146,976 |
Points don't compare across markets, so start with the share of price. ES moved 0.98% of its price on an average cash session, which makes it the least volatile of the four in percentage terms. RTY moved 1.53%, NQ 1.46% and YM 1.04%.
Per contract it's a different order. One ES covered about $3,530 on an average day, against $8,090 for NQ, $2,600 for YM and $2,130 for RTY. So the calmest chart of the four is not the smallest swing in your account.
ES is also the least front-loaded of the four. 55.5% of its cash-session range is in by 10:30, against 62.4% to 64.2% for the others, so the afternoon still does more of the work on ES than anywhere else.
ES Volatility by Time of Day
This is the chart I'd show anyone who asks why I trade the morning. Each bar is the average range of a 15-minute candle in that half hour, across all 187 days.
The shape is the whole point. The opening half hour averages 21.0 points per 15-minute bar. By 2:30 PM that's down to 9.97. Then it climbs back to 12.3 in the 3:30 half hour as the close approaches, and volume in that block (79,126 contracts per 15-minute bar on average) is the highest of the entire session, even above the open (78,274).
So the midday lull is real and it's measurable. If you're taking the same size and the same targets at 1:00 PM as you do at 9:45, ES is giving you about half of the movement to work with. I've written more about how I use this in my ES trading guide.
Initial Balance: What Happens After the First Hour
The initial balance is the range built in the first hour, 9:30 to 10:30 ET. Profile traders use it as the day's reference, so the useful question is how often the rest of the session breaks it, and by how much.
| Initial balance behaviour | 2026 |
|---|---|
| Average IB range | 39.22 pts |
| Session extends above the IB high | 63.1% |
| Session extends below the IB low | 56.1% |
| Extends both directions (neutral day) | 23.5% |
| Stays entirely inside the IB | 4.3% |
| Day's high was made in the IB | 36.9% |
| Day's low was made in the IB | 43.9% |
| Average extension beyond IB high | 23.53 pts |
| Average extension beyond IB low | 29.46 pts |
The number I'd put in front of a beginner is that 4.3%. Roughly one day in 23 stays inside the first hour's range. If you fade the IB edges as a default, you're taking the wrong side of a very lopsided statistic, and the average break runs another 23.5 to 29.5 points past the edge.
The day's low got set in the first hour 44% of the time and the high only 37%, so the morning more often marked the bottom than the top, which fits a period that finished 648 points higher. And when a day does extend both ways (23.5%), that's the neutral day from the market profile guide: both sides tried, neither finished the job.
Overnight Range, Prior Day Levels and Gap Fill
I mark the same handful of prices every morning. These are the odds each one gets touched during the cash session.
| Level or event | Hit rate |
|---|---|
| Cash session takes out the overnight high | 61.5% |
| Cash session takes out the overnight low | 54.0% |
| Session stays inside the overnight range entirely | 4.3% |
| Touches prior day's high | 55.6% |
| Touches prior day's low | 48.1% |
| Opens outside the prior day's range | 38.0% |
| Average distance from prior close to the open | 29.46 pts |
| Gap up returns to prior close same session | 54.8% |
| Gap down returns to prior close same session | 53.0% |
Only 4.3% of sessions stayed inside the overnight range. The cash session took out the overnight high on 61% of days and the overnight low on 54%, so those two lines do real work almost every morning. How to read the overnight session is in my premarket guide.
Then the gap fill rate. In 2026 an up gap in ES returned to the prior close in the same session 54.8% of the time and a down gap 53.0%. A coin flip, and nothing like "always."
When the Day's High and Low Get Made
For each of the 187 sessions I found the half hour that produced the RTH high and the one that produced the low.
| Time (ET) | Made the high | Made the low |
|---|---|---|
| 9:30 - 10:00 | 26.7% | 33.7% |
| 10:00 - 11:00 | 15.0% | 20.3% |
| 11:00 - 12:00 | 12.8% | 9.6% |
| 12:00 - 13:00 | 10.2% | 7.0% |
| 13:00 - 14:00 | 9.1% | 7.0% |
| 14:00 - 15:00 | 5.3% | 3.2% |
| 15:00 - 16:00 | 17.6% | 11.2% |
| 16:00 - 16:15 | 3.2% | 8.0% |
The distribution has two humps. The opening half hour alone produced 33.7% of the year's lows and 26.7% of its highs. Then it dries up through the middle of the day: the 2:00 PM hour made the day's high on 5.3% of sessions and the low on 3.2%, before the 3:00 PM hour picks up again with 17.6% of the highs and 11.2% of the lows.
Read together with the volatility chart, that's the same story twice: the extremes and the movement both live at the edges of the session.
Rotations and Day Character
Rotation is a vague word, so here's a testable version of it: how many times does price close a 15-minute bar on the opposite side of the opening price from the bar before?
| Metric | 2026 |
|---|---|
| Average crossings of the opening price | 1.90 |
| Days crossing the open once or never | 55.1% |
| Days crossing the open 8 or more times | 1.6% |
| Most crossings in a single session | 11 |
More than half of all sessions crossed the opening price once or not at all (55.1%). Price picked a side early and mostly stayed there. Genuine two-way chop, eight crossings or more, happened on 1.6% of days, though when it happens it really happens: one session managed 11.
Chop feels like it dominates when you're in it. It doesn't. It's just far more memorable than a day that went one direction and left you alone.
ES Range by Day of the Week
| Day | Sessions | ETH range | RTH range |
|---|---|---|---|
| Monday | 35 | 98.25 | 68.65 |
| Tuesday | 39 | 89.91 | 69.78 |
| Wednesday | 39 | 89.42 | 70.10 |
| Thursday | 38 | 96.22 | 75.30 |
| Friday | 36 | 89.31 | 69.02 |
Thursday has been the widest cash session this year at 75.30 points and Monday the narrowest at 68.65, though a 6.6 point spread across 35 to 39 sessions each is not something I'd bet real money on. What makes it more interesting is that Thursday was the widest cash session in all four index futures, ES, NQ, YM and RTY.
The Monday number is the useful one. Its full session runs 29.6 points wider than its cash session, the biggest difference of any weekday. That's the Sunday evening reopen absorbing two days of weekend news, and a reminder that the overnight session does real work before you sit down.
How I Use These Numbers
Sizing stops against current range. When the average ES day is 95.6 points, as it was in June, an 8 point stop is noise and gets hit constantly. When the average day is 51.1, as it was in August, that same stop is reasonable. I look at the last month's average before deciding what a normal stop should cost me, which is the same logic I lay out in risk management.
Judging targets. If the first hour has already produced 50 points and the last month averaged 54.9 for the whole cash session, the easy move is behind me. That doesn't mean the day is over, but I stop expecting continuation and start expecting rotation.
Knowing when to stop trading. The volatility curve is why my session ends around 11:30. By 2:30 PM, ES is moving about half as much per bar as it did at the open, for the same attention and the same risk.
Not fading things that rarely hold. The first hour's range breaks on 95.7% of days and the overnight range on 95.7%. So when price reaches one of those edges I'm looking for a continuation read first and a reversal read second, which is the opposite of how most people treat a level. The order flow at the edge still decides it, but the base rate tells me which outcome to expect while I'm waiting.
Methodology
If you're going to cite these numbers, here's exactly how they're built.
- Source: CME trade data for the ES contract (via Massive), built up from 1-minute bars into sessions, half hours and 15-minute bars.
- Contract: front month throughout, spliced at the volume crossover rather than on expiration day. In 2026 that means ESH6 to March 13, ESM6 from March 16 to June 12, ESU6 from June 15 to September 11, and ESZ6 from September 14.
- Sessions: ETH is the full Globex session. RTH is 9:30 AM to 4:15 PM ET, matching the equity index futures day session that ends at the 4:15 halt. First hour is 9:30 to 10:30 ET.
- Time zone: all session boundaries are in US Eastern with the March 8 daylight saving change handled, so the RTH window is correct on both sides of it.
- Holidays: Martin Luther King Day, Presidents Day, Memorial Day, Juneteenth, July 3 and Labor Day don't appear as sessions of their own. CME either closes or gives the hours traded on a market holiday the next business day's date, so the full-session range of the day after includes them. Good Friday (April 3) only traded a short overnight session with no cash session and is not counted. Any session trading under 300,000 contracts is excluded as a partial day. No session in this period fell below that line.
- Net change: the sum of daily close-to-close moves within each contract, so the price gap between the old and new contract at each roll doesn't distort the monthly figure.
- Ranges: simple high minus low for the session in question, in index points. Multiply by $50 for dollars per ES contract, or $5 for MES.
- Initial balance: the high and low of 9:30 to 10:30 ET. An extension means any bar after 10:30 traded beyond that level. A day counts as staying inside the IB only if neither side was exceeded for the rest of the session.
- Gap fill: measured from the RTH open against the prior session's RTH close. A fill means price traded back through that closing price at any point in the same cash session.
- Overnight levels: the high and low of the Globex session from 6:00 PM ET the previous evening to 9:30 ET, tested against the cash session that follows. "Takes out" means trading beyond the level, not just touching it.
- Rotations: the number of times consecutive 15-minute closes flip from one side of the RTH opening price to the other. Bars closing exactly at the open are ignored rather than counted as a flip.
- Comparison table: ES, NQ, YM and RTY are all computed by the same script with the same definitions, over the same sessions.
One note on revisions. In October I rebuilt every figure on this page from 1-minute bars with exactly the definitions above. Most numbers came out identical to earlier versions, but the overnight level hit rates and the rotation counts moved by a few points, so if you cited those before October, the figures here are the ones to use.
ES Futures Statistics FAQ
What is the average daily range of ES futures?
Across 187 trading days in 2026 through September 30, ES averaged 92.53 points for the full Globex session and 70.61 points for regular trading hours (9:30 AM to 4:15 PM ET). At $50 per point that's roughly $4,630 and $3,530 of range per contract. It varies a lot by month: March averaged 137.57 points on the full session while August averaged 63.13.
How much does one ES contract move in a day in dollars?
ES is $50 per point and the micro, MES, is $5 per point. With an average regular-session range of 70.61 points in 2026, one ES contract covered about $3,530 on a normal day and one MES about $353. The median day was smaller, 64.75 points, because a handful of very wide days pull the average up.
How much of the ES daily range happens in the first hour?
The 9:30 to 10:30 AM ET hour averaged 39.22 points in 2026, which is 55.5% of the entire regular trading hours range. By month it ran from 46.8% in April to 66.9% in February. The first 30 minutes alone averaged 45.5% of the day's range.
What time of day is ES most volatile?
The 9:30 to 10:00 AM ET half hour, by a wide margin. The average 15-minute bar in that window covered 21.0 points in 2026, compared with 9.97 points in the 2:30 PM half hour, the quietest full half hour of the session. Volatility declines from the open into the early afternoon, then picks back up into the close.
Do ES gaps always fill?
No. In 2026 an ES gap up returned to the prior session's closing price during the same cash session 54.8% of the time, and a gap down did so 53.0% of the time. That's a coin flip, not a rule. Fading every gap on the assumption it fills has worked about as often as it hasn't.
How often does ES break out of the first hour range?
Almost always. Across 187 sessions in 2026, only 4.3% stayed entirely inside the initial balance, meaning the first hour's range from 9:30 to 10:30 ET. The session extended above the IB high on 63.1% of days and below the IB low on 56.1%, with 23.5% extending in both directions. The average break ran 23.53 points beyond the IB high or 29.46 points beyond the IB low.
Which day of the week has the widest ES range?
In 2026 so far, Thursday has the widest regular-hours range at 75.30 points and Monday the narrowest at 68.65. Monday has the biggest difference between its full-session range (98.25) and its cash session, because the Sunday evening reopen has to price in everything that happened over the weekend.
Use This Data
All of it is free to use in your own research, blog, newsletter or video. The only thing I ask is a link back to this page so people can check the methodology for themselves.
Cite it
Jusell Trading Academy, "ES Futures Statistics 2026." Average daily range, initial balance and intraday volatility data for E-mini S&P 500 futures, updated monthly. https://juselltradingacademy.com/es-futures-statistics-2026
Embed the volatility chart
The chart from the time of day section, ready to drop into a post. It stays current as I update the data each month.
<iframe src="https://juselltradingacademy.com/es-volatility-chart-embed" title="ES futures volatility by time of day, 2026" width="100%" height="330" style="border:1px solid #33312b;border-radius:8px;max-width:780px" loading="lazy"></iframe>
<p>Source: <a href="https://juselltradingacademy.com/es-futures-statistics-2026">ES Futures Statistics 2026, Jusell Trading Academy</a></p>
Download the numbers
The monthly table as a CSV, with the methodology notes in the footer rows.
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