Index Sync: Do the Four Index Futures Moving Together Mean Cleaner Trends?
The average 5-minute return correlation of ES, NQ, YM and RTY through each regular session since 2002. We built this to test the day-trader claim that synchronized tapes trend cleanly. The claim fails — sync makes sessions bigger, not cleaner — and bigger-with-normal-capture is exactly what makes the tradeable day: big-and-clean sessions are nearly 3× more frequent in the top sync quartile, and because sync is persistent, today's reading forecasts tomorrow's.
Today's reading
As of the September 4, 2026 close, the four US index futures ran a 5-minute return correlation of 0.58 — the 24th percentile of the trailing year (Mixed). Sessions in this sync quartile were historically followed by a big-and-clean session 7.3% of the time, with an average next-session ES move of 0.33%. That is tradability context. It says nothing about direction.
Sources, methodology & freshnessLast updated 2026-09-04 · Open ↓Close ↑
Since 2002, sessions in this sync quartile were followed by a big-and-clean ES session 7.3% of the time, with an average next-session move of 0.33%. That is tradability context. It says nothing about direction.
The last 10 sessions, bar by bar — agreement prints
The intraday view, in the same format as our TICK dashboards. Each 5-minute print is how many of the four contracts' candles moved together, signed by direction: +4 means all four printed green in the same five minutes, −4 all four red. The second pane accumulates the prints through the session — the day's conviction line. Sessions where the prints pin the ±4 rails are the one-tape days the quartile table below is about; refreshes with the daily close, no streaming.
Where the tape sits — rolling percentile vs SPY
Bigger, not cleaner — what each sync quartile delivered
Full-sample quartiles since 2002 (thresholds 0.75 / 0.82 / 0.87). Trend-day share barely moves. Move size more than doubles. And the money column is the second-to-last one: what the NEXT session delivered — sync is persistent enough that today's quartile is a forecast.
| Sync quartile | Avg |ES move| | Trend-day share | Big-and-clean share | Next-day big-and-clean | Next-day |move| |
|---|---|---|---|---|---|
| Q1 (avg 0.64)today | 0.31% | 26% | 6.7% | 7.3% | 0.33% |
| Q2 (avg 0.79) | 0.38% | 24% | 10.0% | 8.5% | 0.36% |
| Q3 (avg 0.85) | 0.44% | 22% | 12.9% | 12.4% | 0.44% |
| Q4 (avg 0.90) | 0.68% | 21% | 18.0% | 19.5% | 0.67% |
Trend day = ES captures ≥70% of its session range open-to-close. Big-and-clean = trend day AND an |ES session move| ≥ 0.75%. Session returns exclude overnight gaps. Consecutive days share regimes, so treat these as descriptive base rates.
The 2022 test — yearly sync since 2002
We anchored this gauge to a known answer: traders remember 2022 as the great index-trading year, and the data agrees — 2022 is #1 of 25 years in four-contract agreement and #5 in sync, while also posting the sample's highest directional capture. The contrast year is 2020: enormous volatility, mid-pack sync — vol with violent rotation, not one tape. The low-sync years (2021, 2024, 2017) are the chop-and-rotation tapes.
What sync does NOT tell you — direction
A fully synchronized down day feels like the start of something. Historically it wasn't: forward ES returns after top-quartile sync days were mildly above baseline in both directions. This gauge reads tradability, not market direction.
| Setup | N | +1 sessions | +5 sessions | +21 sessions |
|---|---|---|---|---|
| Top-quartile sync, all four up | 480 | +0.07% · 54%↑ | +0.26% · 57%↑ | +0.65% · 59%↑ |
| Top-quartile sync, all four down | 636 | +0.07% · 53%↑ | +0.30% · 57%↑ | +0.72% · 63%↑ |
| All sessions (baseline) | 5,974 | +0.04% · 53%↑ | +0.12% · 55%↑ | +0.34% · 56%↑ |
Medians of compounded ES regular-session returns (overnight gaps excluded). The divergence tail carries no edge either: bottom-decile sync days were followed by roughly baseline returns. Both nulls are shown deliberately — the useful content is the tradability forecast in section 02, and we'd rather you not read direction into it.
Since 2002, sessions in this sync quartile were followed by a big-and-clean ES session 7.3% of the time, with an average next-session move of 0.33%. That is tradability context. It says nothing about direction.
How Index Sync Works
- 1Align the four contracts bar by barEvery 5-minute candle of the regular cash session (8:30–3:00 Central) for ES, NQ, YM and RTY continuous futures, timestamps intersected so all four are measured on identical bars — back to April 2002.
- 2Score each session's syncSync is the average pairwise correlation of 5-minute returns across the six contract pairs. A second gauge, agreement, counts the share of bars where all four moved the same direction. High sync = one tape; low sync = four tapes.
- 3Read the level against its own eraSync drifts structurally — the 2002–2016 plateau ran far higher than the post-2017 tape — so the live state is a rolling 252-session percentile (Divergent / Mixed / Synced / Locked-in), never a raw-level comparison across decades.
- 4Attach what actually followedFor every sync quartile since 2002 we show what the SAME session looked like (move size, trend-day share, big-clean share) and what the NEXT session delivered. That next-day column is the point: sync is persistent, so today's reading is a forecast of tomorrow's tradability.