When do ES, MES, NQ and MNQ futures actually move?

Each session runs from 6:00 p.m. ET to 5:00 p.m. ET the next day (the 5:00 to 6:00 p.m. break has no trading) and is cut into 46 half-hour slots by the clock in New York. For each slot on each day:

• Range = highest high − lowest low of the one-minute bars inside the slot, in index points.
• Range % = range ÷ the slot’s first open × 100, so different price levels compare.
• Volume share = contracts traded in the slot ÷ contracts traded in the whole session.

The page then takes the median of each value across sessions, so one wild day cannot drag the number, and shows the mean beside it for comparison.

Worked example (illustrative prices). Say that on one day the one-minute bars from 9:30 to 9:59 a.m. ET reach a highest high of 5,812.25 and a lowest low of 5,790.50, and the first bar opened at 5,795.00. That day’s 9:30 slot range is 5,812.25 − 5,790.50 = 21.75 points, and its range % is 21.75 ÷ 5,795.00 × 100 = 0.375%. Do that for each of 422 sessions, sort the 422 values, and the middle one is the median in the table.

Data: CME Globex one-minute bars with volume for the front ES and NQ contract (a calendar-rolled continuous series). Left out: every session from 9 days before to 3 days after each quarterly expiry, because the switch between contracts would otherwise show up as a price range and the expiring contract is thin that week (582 sessions), and sessions that traded in fewer than 44 of the 46 slots, mostly holiday half-days (145). In the older years of this data the index futures did not trade from 4:15 to 4:30 p.m. ET, and in the earliest years they traded on until about 5:15 p.m., so the since-2010 figure for the 4:00 p.m. slot covers a shorter window in those years, and prints after 5:00 p.m. are not counted. The same measurement works on any market with one-minute data: stocks, ETFs, forex or crypto.

• Not which way. A 20-point range can be a rally, a drop or both inside the same half hour. Nothing here says up or down.
• Not an edge. More movement is not more opportunity by itself: it also means wider stops, faster fills and bigger mistakes. Pick a time that fits your method, not the biggest bar.
• Not a forecast. These are medians of past sessions. Any given day can be far quieter or far wilder, and the pattern can change.
• Not event days. A median describes an ordinary day. FOMC, CPI and jobs-report days sit inside these numbers but do not set them.