ES (SP500 futures) is THE market

Why the measurement takes place here?

All reactions are measured in the ES futures contract (S&P 500). ES trades 23 hours a day, is deep enough for billion‑dollar flows, and updates within milliseconds—ideal conditions for capturing market responses around the clock, unlike cash equities that close overnight.

There is more of a reason we use ES as the market.

Big market players use ES to quickly rebalance portfolios, hedge or just for market speculation. To give you an idea: One ES futures contract (SP500) is 50x the current value of the SP500 index. The average liquidity traded in 1 min is about 1000 contracts. That’s roughly $250 million per minute. Therefore, big players with billions of dollars on their accounts can easily execute in this market. Due to the presence of big players, there is unprecedented competition among market makers in the ES market.

This makes ES very sensitive to any incoming news. Market makers have to react very quickly (within milliseconds) to all incoming news. However, this news comes out chaotically and even market makers cannot prepare for it (except for macro news that come out at fixed times). This is their main drawback, which we try to use to our advantage when it comes to moodix measurements. Their consensus (called GAP) upon each important piece of news is valuable information for us. We measure these GAPs and create a market sentiment index from them.