Two different markets in one instrument
Index futures on CME trade nearly around the clock on Globex, with a daily maintenance break. US equities trade a much shorter cash session. These are not the same market even when they share a ticker, and most analytical surprises come from treating them as one.
| Market | Regular session (ET) | Extended |
|---|---|---|
| NYSE / Nasdaq equities | 9:30 a.m. – 4:00 p.m. | Pre-market from 4:00 a.m., after-hours to 8:00 p.m. |
| CME equity index futures | 9:30 a.m. – 4:00 p.m. | Globex, effectively 6:00 p.m. – 5:00 p.m. next day with a break |
| CME energy | Varies by product | Long overnight sessions with product-specific breaks |
| CME metals | 8:20 a.m. – 1:30 p.m. | Globex overnight |
Most volume profile work on index futures uses the full Globex session, because the overnight range is where the auction activity sits. Equities work is usually cash session only. Pick one and stay consistent, or your profiles are not comparable.
Daylight saving
Eastern time shifts by an hour twice a year. Studies configured in a fixed offset are correct for half the year and one hour off for the other half — the kind of error that survives for months because most of the time it looks fine.
All references on this site use Eastern time with DST handled automatically. If your platform uses a fixed UTC offset, the session boundaries will drift.
Holidays and closures
NYSE and Nasdaq observe a fixed holiday calendar. CME maintains its own schedule, and futures frequently trade on days the cash market is shut.
This produces two things that look like errors and are not:
- A missing bar in an equity chart on a market holiday
- Futures data present on a day the index shows nothing
Contract rolls
Index futures expire quarterly. To keep a continuous chart you either splice the next contract on — introducing a price gap — or back-adjust the earlier history so the jump disappears.
- Spliced seriesShows real traded prices, but carries an artificial jump that corrupts any indicator spanning it and fakes a volume spike.
- Back-adjusted seriesRemoves the gap so indicators stay continuous, but historical price levels are no longer the prices that actually traded.
- Front month onlyAlways honest. History simply stops at expiry.
Back-adjustment distorts volume by construction and splicing distorts it with the gap. Any study that depends on relative volume across time needs a single-contract window to be meaningful.
Verifying your session settings
- Confirm the first bar of the regular session starts at 9:30 a.m. Eastern
- Check the last bar of the day matches the expected close for that market
- Look for a gap on a recent US holiday — it should be there, not a flat line
- Check the roll boundary in your continuous chart and exclude it from relative volume studies
Four checks, under a minute, and they eliminate most analytical surprises for the rest of the year.
Next: volume profile