ES Futures Breakdown
Current Market Statistics
Cephu Quant Analysis: ES Futures
Last Price: 6952.75
Annualized Volatility: 11.38%
Daily Expected Move: ± 49.83 points
Statistical Z-Score: -0.09
Status: Market is within normal statistical range
Key Insights & Methodology
The chart above translates these raw numbers into actionable zones. By analyzing the ES (E-mini S&P 500 Futures), we capture institutional positioning and liquidity before the cash market opens.
The SPX Link: As a Quant, it is vital to monitor the relationship between the ES and the SPX (Underlying Index). The "Basis" (the difference between the two) reflects interest rates and dividends. While we trade the ES for its liquidity, the SPX remains the ultimate gravity anchor for fair value.
Deep Dive: To see the interaction between these two instruments and our latest statistical verdict, read our full Basis Spread Analysis here.
Expected Move Cloud: The shaded blue zone represents a 1-standard deviation range based on the 11.38% annualized volatility. Statistically, the price has a 68% probability of remaining within this ± 49.83 point boundary for the session.
VWAP & Mean Reversion: With a Z-Score of -0.09, the market is currently trading nearly at its statistical mean. This indicates a lack of overextension, suggesting that the current trend is stable and not yet "stretched" to a reversal point.
Market Bias: Our proprietary signal remains Bullish/Neutral as price action consolidates above the VWAP baseline, awaiting the next institutional volume spike.
All data is processed using Python-based quantitative models to ensure unbiased, transparent market readings.
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