ES Futures — March 2026 Statistics
Complete volatility, range, and session breakdown for E-mini S&P 500 futures. 22 trading days analyzed.
April 1, 2026
March 2026 at a Glance
−248.5
Net Change (pts)
−3.64%
Net Change (%)
135.3
Avg Daily Range (pts)
22%
Realized Vol (ann.)
49.5
First Hour Avg Range
138.75
Largest 1-Min Bar (pts)
ETH vs RTH Session Breakdown
Extended Trading Hours (full Globex day) vs Regular Trading Hours (09:30–16:14 ET). This is where the data gets interesting for session-specific traders.
| Metric | Value |
|---|---|
| Trading Days | 22 |
| Net Change | −248.5 pts (−3.64%) |
| Avg Daily Range | 135.3 pts |
| Median Daily Range | 124.75 pts |
| ADR 25th / 75th Percentile | 92.75 / 161.75 pts |
| Avg True Range | 136.34 pts |
| Realized Vol (1m, ann.) | 22% |
| Parkinson Vol (ann.) | 20.77% |
| Stdev Daily Log Returns | 0.0123 |
| First Hour Avg Range | 49.5 pts |
| First Hour Median Range | 46.5 pts |
| First Hour % of ADR | 36.59% |
| First Hour 25th / 75th | 41.0 / 53.5 pts |
| Avg |Open→Close| | 67.89 pts |
| Avg |OC| as % of Range | 45.78% |
| Avg Rotations / Day | 16.64 |
| Median Rotations / Day | 16.0 |
| Avg Abs Gap | 16.02 pts |
| Total Volume | 37,352,123 |
| Avg Volume / Day | 1,697,824 |
| Avg Volume / Minute | 1,272 |
| Largest 1-Min Bar | 138.75 pts |
| Metric | Value |
|---|---|
| Trading Days | 22 |
| Net Change | −239.5 pts (−3.52%) |
| Avg Daily Range | 93.31 pts |
| Median Daily Range | 92.62 pts |
| ADR 25th / 75th Percentile | 68.25 / 110.5 pts |
| Avg True Range | 114.83 pts |
| Realized Vol (1m, ann.) | 20% |
| Parkinson Vol (ann.) | 14.04% |
| Stdev Daily Log Returns | 0.0123 |
| First Hour Avg Range | 49.5 pts |
| First Hour Median Range | 46.5 pts |
| First Hour % of ADR | 53.05% |
| First Hour 25th / 75th | 41.0 / 53.5 pts |
| Avg |Open→Close| | 48.08 pts |
| Avg |OC| as % of Range | 48.02% |
| Avg Rotations / Day | 7.59 |
| Median Rotations / Day | 6.5 |
| Avg Abs Gap | 50.42 pts |
| Total Volume | 29,322,660 |
| Avg Volume / Day | 1,332,848 |
| Avg Volume / Minute | 3,291 |
| Largest 1-Min Bar | 62.5 pts |
Day Character Breakdown
How many days were directional vs choppy, and the overall green/red split.
7
Green Days
15
Red Days
9
Trend-Like Days
5
Chop Days
| Day Type | Count | Definition |
|---|---|---|
| Trend-Like | 9 | |OC| ≥ 50% of range |
| Chop-Like | 5 | |OC| ≤ 25% of range |
| Mixed | 8 | Between chop and trend |
| Inside Days | 1 | H < prior H and L > prior L |
| Outside Days | 3 | H > prior H and L < prior L |
| Wide Range | 6 | Range ≥ 75th percentile |
| Narrow Range | 6 | Range ≤ 25th percentile |
| High Rotation | 6 | Rotations ≥ 75th percentile |
| Gap Up | 10 | Open > prior close + 0.25 |
| Gap Down | 9 | Open < prior close − 0.25 |
| Flat Gap | 2 | |Gap| ≤ 0.25 pts |
2
Longest Green Streak
5
Longest Red Streak
Weekday Breakdown (ETH)
| Day | Days | Avg Range | Avg |OC| | Green | Red |
|---|---|---|---|---|---|
| Monday | 5 | 177.85 | 78.15 | 4 | 1 |
| Tuesday | 5 | 131.90 | 59.25 | 2 | 3 |
| Wednesday | 4 | 103.06 | 49.88 | 1 | 3 |
| Thursday | 4 | 108.69 | 58.69 | 0 | 4 |
| Friday | 4 | 145.19 | 93.06 | 0 | 4 |
Weekday Breakdown (RTH)
| Day | Days | Avg Range | Avg |OC| | Green | Red |
|---|---|---|---|---|---|
| Monday | 5 | 106.90 | 61.25 | 3 | 2 |
| Tuesday | 5 | 94.20 | 40.55 | 4 | 1 |
| Wednesday | 4 | 77.31 | 39.38 | 1 | 3 |
| Thursday | 4 | 86.50 | 36.06 | 1 | 3 |
| Friday | 4 | 98.00 | 61.75 | 0 | 4 |
Notable Days
Widest Range Day (ETH)
March 23, 2026
Range: 264.5 pts
O: 6510.0
H: 6748.0
L: 6483.5
C: 6632.25
OC: +122.25
Quietest Day (ETH)
March 25, 2026
Range: 68.25 pts
O: 6646.5
H: 6684.75
L: 6616.5
C: 6641.25
OC: −5.25
Best Day for Longs (ETH)
March 31, 2026
OC: +186.25 pts
Range: 230.0 pts
O: 6385.25
H: 6583.25
L: 6353.25
C: 6571.5
Worst Day for Longs (ETH)
March 27, 2026
OC: −133.75 pts
Range: 170.25 pts
O: 6536.0
H: 6568.5
L: 6398.25
C: 6402.25
Largest 1-Minute Bar
March 23, 2026 — 06:05 ET
Range: 138.75 pts
O: 6510.5
H: 6648.5
L: 6509.75
C: 6629.0
Volume: 13,541
vs February 2026
| Metric | Change |
|---|---|
| Avg Daily Range | +36.12% |
| Realized Vol (1m) | +46.67% |
| First Hour Avg Range | −8.57% |
| Avg Rotations / Day | −23.67% |
vs March 2025
| Metric | Change |
|---|---|
| Avg Daily Range | +20.62% |
| Realized Vol (1m) | +4.76% |
| First Hour Avg Range | +0.71% |
| Avg Rotations / Day | −17.21% |
How We Calculated This
- When does a "trading day" start? We use the CME Globex convention. Each day starts at 5:00 PM Chicago time and runs until 5:00 PM the next day. So Sunday evening counts as Monday's session.
- ETH (Extended Trading Hours): The full overnight + day session combined. Basically everything from open to close on Globex.
- RTH (Regular Trading Hours): Just the US cash session, 9:30 AM to 4:14 PM Eastern. This is when most volume happens.
- First Hour: 9:30 to 10:29 AM Eastern. The opening hour of the cash session, usually the most active period of the day.
- Daily Range: The difference between the highest and lowest price of the day, in points.
- Realized Volatility: How much price moved minute-by-minute, scaled up to an annual number. Higher = more movement. Shown as a percentage (e.g. 22% means high volatility).
- Parkinson Volatility: Similar idea, but only uses each day's high and low price instead of every minute. Useful for comparing with realized vol.
- Rotations: How many times price crossed back over the opening price during the day. More rotations = more back-and-forth, choppy action.
- Trend-Like Day: The close was far from the open relative to the day's range (at least 50%). Price picked a direction and stuck with it.
- Chop Day: The close was very close to the open relative to the range (25% or less). Price moved a lot but went nowhere.
- Gap: The difference between today's open and yesterday's close. "Gap up" means we opened higher, "gap down" means lower, "flat" means roughly unchanged.
Not investment advice. For education and research only. CSV data may use continuous/spliced ES, so verify contract roll for production use. We do our best to keep this accurate, but this data is provided as-is with no guarantees. Jusell Trading Academy is not responsible for any errors, omissions, or decisions made based on this information.
Share & Embed This Data
Use these stats in your research, blog, or newsletter. We just ask for a link back.