Event days · MES
How does MES's trading volume on its 20 largest-range days compare to a typical day
130
total trading days
n=202026-03-05 to 2026-09-07
total trading days
130
avg volume top20 range days
1,244,127
avg volume all days
882,879.38
median volume all days
835,918.5
ratio top20 to avg
1.41
ratio top20 to median
1.49
avg range top20
129.83
avg range all days
68.97
Methodology
Computed by independently generating and running analysis code against real MES 1-minute bars from 2026-03-05 to 2026-09-07, 25 separate times in parallel, then taking the answer the largest group of independent attempts agreed on. The exact code is shown below.
Show the code
bars_et = to_et(bars)
rth = rth_session(bars_et)
dates = trading_date(rth)
daily = rth.groupby(dates).agg(high=('high','max'), low=('low','min'), volume=('volume','sum'))
daily['range'] = daily['high'] - daily['low']
n_days = len(daily)
if n_days == 0:
result = {"sample_size": 0}
else:
top20 = daily.sort_values('range', ascending=False).head(20)
top_n = len(top20)
avg_vol_top20 = top20['volume'].mean()
avg_vol_all = daily['volume'].mean()
median_vol_all = daily['volume'].median()
ratio_to_avg = avg_vol_top20 / avg_vol_all if avg_vol_all else None
ratio_to_median = avg_vol_top20 / median_vol_all if median_vol_all else None
result = {
"sample_size": int(top_n),
"total_trading_days": int(n_days),
"avg_volume_top20_range_days": float(avg_vol_top20),
"avg_volume_all_days": float(avg_vol_all),
"median_volume_all_days": float(median_vol_all),
"ratio_top20_to_avg": float(ratio_to_avg) if ratio_to_avg is not None else None,
"ratio_top20_to_median": float(ratio_to_median) if ratio_to_median is not None else None,
"avg_range_top20": float(top20['range'].mean()),
"avg_range_all_days": float(daily['range'].mean()),
}
- Small sample size (n=20) -- treat this result with extra caution.
- Generated and independently re-derived 25 times, then checked for logical consistency, before being shown to you -- the figures above are the answer the largest number of those independent attempts agreed on. Still a generated, one-off calculation, treat it as a rough, one-off analysis rather than a permanent fixture.
Related
This is historical statistical information only. It is not investment advice, and past performance does not indicate future results. Trading involves risk of loss.