770 trading days of historical baselines for Crude Oil (CL) — 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 Crude Oil, sample window 2023-07-02 to 2026-07-03, 770 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
770
RTH session
08:00 – 13:30 (CT)
IB session
08:00 – 09:00 (CT)
Includes holidays
No
Min. price fluctuation
0.01
Tick value
$10.00
Initial margin
$8,529
Maintenance margin
$7,754
Exchange
NYMEX
Settlement
Deliverable
Expirations
Monthly
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
981
0.12 pts
0.05 – 0.24
≥ 0.24
≥ 0.39
Down rotations
1,024
0.14 pts
0.07 – 0.26
≥ 0.26
≥ 0.41
Up rotations · n=981Down rotations · n=1,024
Auction
Metric
Probability
Neutral Day (breaks both IBH and IBL)
34.03%
Neutral Day follows a Neutral Day
27.48%
Neutral Extreme Day
48.09%
Opening Location
Distribution of the open vs the previous RTH session key levels:
Metric
Probability
Gap up · above pClose
55.97%
Gap up · above pHOD (session gap)
27.40%
Gap down · below pClose
43.38%
Gap down · below pLOD (session gap)
21.04%
Open inside previous IB
23.25%
Open inside previous value area
30.00%
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（211）
Target
Touch probability
1/2 gap (halfway fill)
76.30%
pHOD
56.87%
pVAH
41.23%
pIBH
38.86%
pClose (gap fill)
33.65%
pVPOC
30.33%
pOpen
25.59%
pMID
23.70%
pVAL
17.06%
pIBL
14.22%
pLOD
9.95%
Case B · Open inside previous range（397）
Target
Touch probability
pMID
68.01%
pVPOC
67.00%
pClose (gap fill)
66.25%
pVAL
60.71%
pVAH
60.45%
pIBL
54.66%
pIBH
53.15%
pOpen
51.64%
pLOD
45.34%
pHOD
44.08%
Case C · Open below previous range（162）
Target
Touch probability
1/2 gap (halfway fill)
71.60%
pLOD
57.41%
pVAL
38.89%
pIBL
33.95%
pClose (gap fill)
30.25%
pOpen
24.69%
pVPOC
20.99%
pMID
19.75%
pVAH
14.81%
pIBH
11.73%
pHOD
9.26%
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)
85.32%
Touch ONH
51.82%
Touch ONL
45.97%
Touch both ONH and ONL
12.47%
Touch ONMID
65.58%
Touch ONVAH
63.77%
Touch ONVAL
60.39%
Touch ONVPOC
67.01%
Initial Balance (IB)
The first-hour range and its subsequent breakout behavior:
Metric
Probability
Break at least one side
99.09%
Break both sides (neutral day)
34.03%
Break only IBH
33.38%
Break only IBL
31.69%
IB holds inside previous IB
4.55%
Break neither side
0.91%
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)
68.09%
Close above MID (after single break)
84.05%
Close below IBL (after single break)
68.03%
Close below MID (after single break)
77.87%
Close
Metric
Probability
Close inside previous range
40.13%
Neutral day closes inside IB
38.93%
Close inside previous IB
18.96%
Bearish engulfing
1.82%
Bullish engulfing
1.30%
Volume
Session volume distribution with mode and 1st std-dev range.
Daily session volume (RTH)（n=770）
Mode
120,000
1st std-dev range
70,000 – 150,000
Daily session volume (RTH)
Overnight session volume (ETH)（n=771）
Mode
80,000
1st std-dev range
50,000 – 100,000
Overnight session volume (ETH)
Range
Range distribution for daily / overnight / initial-balance sessions.
Daily session range (RTH)（n=770）
Mode
0.95 pts
1st std-dev range
0.6 – 1.85 pts
Daily session range (RTH)
Overnight session range (ETH)（n=771）
Mode
1.25 pts
1st std-dev range
0.7 – 1.75 pts
Overnight session range (ETH)
Initial balance range（n=770）
Session
08:00 – 09:00 (CT)
Mode
0.55 pts
1st std-dev range
0.35 – 1 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.
Hermēs Documentation