762 trading days of historical baselines for Euro Stoxx 50 (FESX) — 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 Stoxx 50, sample window 2023-07-02 to 2026-07-03, 762 trading days. All times are CET. 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
762
RTH session
09:00 – 17:30 (CET)
IB session
09:00 – 10:00 (CET)
Includes holidays
No
Min. price fluctuation
1.00
Tick value
€10.00
Initial margin
€4,527
Maintenance margin
€4,527
Exchange
EUREX
Settlement
Cash-settled
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
1,294
4 pts
1 – 8
≥ 8
≥ 13
Down rotations
1,286
5 pts
2 – 8
≥ 8
≥ 13
Up rotations · n=1,294Down rotations · n=1,286
Auction
Metric
Probability
Neutral Day (breaks both IBH and IBL)
37.80%
Neutral Day follows a Neutral Day
40.97%
Neutral Extreme Day
51.39%
Opening Location
Distribution of the open vs the previous RTH session key levels:
Metric
Probability
Gap up · above pClose
53.15%
Gap up · above pHOD (session gap)
24.02%
Gap down · below pClose
44.88%
Gap down · below pLOD (session gap)
16.67%
Open inside previous IB
22.70%
Open inside previous value area
35.70%
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（183）
Target
Touch probability
1/2 gap (halfway fill)
80.33%
pHOD
68.85%
pVAH
50.82%
pClose (gap fill)
43.72%
pIBH
42.62%
pVPOC
38.25%
pMID
28.96%
pOpen
25.68%
pVAL
18.58%
pIBL
14.21%
pLOD
11.48%
Case B · Open inside previous range（452）
Target
Touch probability
pClose (gap fill)
72.57%
pVPOC
70.80%
pMID
69.25%
pVAH
65.71%
pVAL
62.17%
pIBH
55.31%
pOpen
54.20%
pIBL
51.77%
pHOD
50.22%
pLOD
42.92%
Case C · Open below previous range（127）
Target
Touch probability
1/2 gap (halfway fill)
77.95%
pLOD
56.69%
pVAL
40.16%
pIBL
34.65%
pClose (gap fill)
31.50%
pVPOC
24.41%
pOpen
23.62%
pMID
21.26%
pVAH
12.60%
pIBH
11.81%
pHOD
7.09%
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)
94.49%
Touch ONH
63.12%
Touch ONL
54.86%
Touch both ONH and ONL
23.49%
Touch ONMID
70.60%
Touch ONVAH
64.57%
Touch ONVAL
61.94%
Touch ONVPOC
60.50%
Initial Balance (IB)
The first-hour range and its subsequent breakout behavior:
Metric
Probability
Break at least one side
99.34%
Break both sides (neutral day)
37.80%
Break only IBH
32.41%
Break only IBL
29.13%
IB holds inside previous IB
5.25%
Break neither side
0.66%
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)
77.33%
Close above MID (after single break)
80.57%
Close below IBL (after single break)
68.02%
Close below MID (after single break)
70.72%
Close
Metric
Probability
Close inside previous range
42.13%
Neutral day closes inside IB
31.94%
Close inside previous IB
16.80%
Bearish engulfing
1.57%
Bullish engulfing
0.79%
Volume
Session volume distribution with mode and 1st std-dev range.
Daily session volume (RTH)（n=762）
Mode
325,000
1st std-dev range
200,000 – 450,000
Daily session volume (RTH)
Overnight session volume (ETH)（n=762）
Mode
150,000
1st std-dev range
80,000 – 200,000
Overnight session volume (ETH)
Range
Range distribution for daily / overnight / initial-balance sessions.
Daily session range (RTH)（n=762）
Mode
44 pts
1st std-dev range
26 – 68 pts
Daily session range (RTH)
Overnight session range (ETH)（n=762）
Mode
26 pts
1st std-dev range
14 – 48 pts
Overnight session range (ETH)
Initial balance range（n=762）
Session
09:00 – 10:00 (CET)
Mode
18 pts
1st std-dev range
12 – 30 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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