769 trading days of historical baselines for Euro FX (6E) — harmonic rotations, opening location, overnight levels, initial balance, close behavior, volume and range distributions, to align GEX key levels with historical probabilities.
Data note：Below is the historical baseline for Euro FX, sample window 2023-07-02 to 2026-07-03, 769 trading days. All times are CT. These are probability references, not trading advice — past performance does not indicate future results.
This chapter is the data foundation for the futures workflow and playbook: use range modes for "typical magnitude", use touch probabilities to prioritize key levels, use IB / overnight / gap probabilities for the daily script, then overlay real-time GEX structure.
Contract Specifications
Sample days
769
RTH session
07:20 – 14:00 (CT)
IB session
07:20 – 08:20 (CT)
Includes holidays
No
Min. price fluctuation
0.00005
Tick value
$6.25
Initial margin
$2,640
Maintenance margin
$2,400
Exchange
CME
Settlement
Deliverable
Expirations
Standard quarters
20-Session Harmonic Rotations
Single-direction swing distribution over 1-minute rotations across 20 trading days. The mode is the "typical swing"; beyond the 1st std-dev upper bound is an outsized swing; beyond the 90th percentile is impulsive.
Direction
Samples
Mode (typical swing)
1st std-dev range
Outsized (>1σ)
Impulsive (>90%)
Up rotations
1,056
0.0002 pts
0.00005 – 0.00045
≥ 0.00045
≥ 0.00085
Down rotations
1,015
0.0002 pts
0.00005 – 0.0005
≥ 0.0005
≥ 0.00075
Up rotations · n=1,056Down rotations · n=1,015
Auction
Metric
Probability
Neutral Day (breaks both IBH and IBL)
36.28%
Neutral Day follows a Neutral Day
32.26%
Neutral Extreme Day
44.80%
Opening Location
Distribution of the open vs the previous RTH session key levels:
Metric
Probability
Gap up · above pClose
47.85%
Gap up · above pHOD (session gap)
21.72%
Gap down · below pClose
51.37%
Gap down · below pLOD (session gap)
24.32%
Open inside previous IB
25.10%
Open inside previous value area
30.56%
Open vs Previous Range
By opening location, the historical probability of touching each key level at least once during RTH.
Case A · Open above previous range（167）
Target
Touch probability
1/2 gap (halfway fill)
70.66%
pHOD
51.50%
pVAH
36.53%
pClose (gap fill)
27.54%
pIBH
26.95%
pVPOC
26.95%
pOpen
20.96%
pMID
20.36%
pVAL
16.17%
pIBL
15.57%
pLOD
10.78%
Case B · Open inside previous range（415）
Target
Touch probability
pMID
68.43%
pVPOC
67.71%
pClose (gap fill)
64.34%
pVAH
64.10%
pVAL
58.80%
pOpen
58.31%
pIBL
53.73%
pIBH
50.12%
pLOD
46.75%
pHOD
42.17%
Case C · Open below previous range（187）
Target
Touch probability
1/2 gap (halfway fill)
74.33%
pLOD
49.73%
pIBL
35.29%
pVAL
32.62%
pClose (gap fill)
26.74%
pOpen
22.46%
pVPOC
21.39%
pMID
17.11%
pIBH
13.37%
pVAH
13.37%
pHOD
8.02%
Overnight Session Levels
Probability of touching an overnight session key level at least once during RTH:
Overnight level
Touch probability
Touch ONH or ONL (either)
86.48%
Touch ONH
49.15%
Touch ONL
51.63%
Touch both ONH and ONL
14.30%
Touch ONMID
65.93%
Touch ONVAH
64.50%
Touch ONVAL
64.37%
Touch ONVPOC
69.57%
Initial Balance (IB)
The first-hour range and its subsequent breakout behavior:
Metric
Probability
Break at least one side
96.62%
Break both sides (neutral day)
36.28%
Break only IBH
29.78%
Break only IBL
30.56%
IB holds inside previous IB
7.93%
Break neither side
3.38%
Close After Single IB Break
After breaking only one side of the IB, the probability of the close landing above/below a level:
Case
Probability
Close above IBH (after single break)
69.43%
Close above MID (after single break)
79.91%
Close below IBL (after single break)
72.77%
Close below MID (after single break)
80.85%
Close
Metric
Probability
Close inside previous range
38.62%
Neutral day closes inside IB
36.20%
Close inside previous IB
17.30%
Bearish engulfing
0.91%
Bullish engulfing
1.30%
Volume
Session volume distribution with mode and 1st std-dev range.
Daily session volume (RTH)（n=769）
Mode
85,000
1st std-dev range
50,000 – 120,000
Daily session volume (RTH)
Overnight session volume (ETH)（n=770）
Mode
72,500
1st std-dev range
50,000 – 95,000
Overnight session volume (ETH)
Range
Range distribution for daily / overnight / initial-balance sessions.
Daily session range (RTH)（n=769）
Mode
0.0034 pts
1st std-dev range
0.002 – 0.006 pts
Daily session range (RTH)
Overnight session range (ETH)（n=770）
Mode
0.0032 pts
1st std-dev range
0.0022 – 0.0056 pts
Overnight session range (ETH)
Initial balance range（n=769）
Session
07:20 – 08:20 (CT)
Mode
0.0014 pts
1st std-dev range
0.0009 – 0.0028 pts
Initial balance range
Using with HermesGEX
Overlay these baselines on live GEX structure: use range modes to scale GEX targets, use touch probabilities to rank prior/overnight levels against walls, use IB / neutral-day odds to pick the play (single break → trend, double break → range).
Risk disclaimer：All data on this page is historical statistics over a fixed sample window and does not constitute trading advice. Futures and options on futures carry substantial risk of loss and may not be suitable for all investors; past performance does not indicate future results.
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