Hermēs DocumentationThe Four-Input Morning Prep Framework
A professional ES trader's pre-open routine — overnight structure, volume profile, GEX walls, and MBO order flow, four layers of confluence into a trade plan
Why Most Traders Walk In Blind
Most traders aren't lazy — they lack a reliable process. They pull up the chart at 9:25, glance at the overnight, draw a level or two, check the news, and then the bell rings and they start reacting — waiting for the market to tell them what happened, instead of walking in with a read on what's likely to happen.
The difference between consistent and struggling traders isn't entry technique — it's preparation (context). The strugglers walk in hoping. The consistent ones walk in with context.
This chapter breaks the professional desk's morning prep into four inputs, 20–30 minutes daily, executed in a strict sequence. When you're done you have: a directional bias, a set of key levels, and a clear read on what has to happen to get involved — and what has to happen to stay out.
Don't skip the sequence. Each layer builds on the one before it. Jumping to MBO before structure leaves you with signals that have no structural context — just as dangerous as no signals at all.
Input 1 · Overnight Structure — Where Did Price Go While You Weren't Watching?
The overnight Globex session runs on a fraction of the volume with the big players largely absent — and it doesn't lie. Overnight moves often set up the story for the regular session.
What to look for
The two most important levels before 9:30 are the Overnight High (ONH) and Overnight Low (ONL) — the extremes of the auction while big players were absent.
- When price approaches ONH/ONL, you have a decision point: does the market accept or reject the range?
- Break through ONH and hold = acceptance (auction advertising higher)
- Break and immediately fade back below ONH = rejection → trapped buyers, potential short
Note
- Where are ONH / ONL?
- Position relative to yesterday's close (PDC)?
- Tight and balanced, or a directional overnight move?
- Opening inside yesterday's range (PDH–PDL) or outside it?
Empirical tendencies
| Overnight shape | Session tendency |
|---|---|
| Tight + balanced open | Real direction decided in the first 30–60 min |
| Directional + strong open | Continues, at least initially |
Data backing (70 ES sessions studied)
We validated "overnight context is the strongest single pre-market signal" against real ES data:
| Overnight context (vs prior day range) | Expansion Rate | Bias Held | Lean |
|---|---|---|---|
| Outside PD (both sides) | 80% | 80% | Strong expansion / trend |
| Below PDL | 67% | 70% | Expand / trend short |
| Inside PD | 38% | 62% | Contraction / caution |
| Above PDH | 32% | 80% | Contract / mean-revert |
Note the PDH paradox: highest bias-hold rate (80%) but lowest expansion rate (32%). Meaning — bias holds via contraction, not expansion. The market follows the open bias but reverts to a tighter range. When opening above PDH, fade rips early, don't chase breakouts.
Input 2 · Volume Profile — Where Is Value, and Where Isn't It?
Once you know price relative to the overnight structure, read the Volume Profile: where value is, and just as importantly — where it isn't.
Value = where the market spent the most time, traded the most volume, found the most agreement. The market has a gravitational pull toward value and an explosive tendency to move away from thin areas.
| Node | Meaning | Trade lean |
|---|---|---|
| POC (Point of Control) | The single highest-volume price = the market's fair value | Magnet in consolidation, pivot when deciding direction |
| HVN (High Volume Node) | Acceptance area, agreement was built | Price slows — be patient, not aggressive |
| LVN (Low Volume Node) | Rejection area, price moved through fast | The "highways" — look for entries when the auction is aggressive |
The reading logic
When price re-enters an LVN left from a prior session ("unfinished business"), it tends to move through it fast again. When it "fails to accept lower" at the lows (no volume built below), the auction rotates back toward value (POC/HVN).
That rotation is not a surprise — it's not a candle pattern or an indicator divergence telling you, it's the absence of volume acceptance at the lows. That's the difference between reading the map and hoping.
The profile doesn't give you a trade — it gives you context: which areas the market moves through quickly, which it stalls in. Combined with overnight structure, you now know both where price is and what the market thinks of those levels.
Input 3 · GEX and the Gamma Wall — What Are Dealers Being Forced to Do?
The layer most retail traders skip entirely — and one of the most powerful inputs in the framework.
GEX = Gamma Exposure. The practical version: as price moves, options dealers must hedge in the futures market. When there's a large concentration of open interest at a strike (a GEX level / Gamma Wall), dealers actively buy/sell futures to stay hedged — they're not trading a view, they're managing risk. That activity creates price behavior completely invisible if you only watch price.
What to look at in HermesGEX
| HermesGEX element | Function |
|---|---|
| Gamma Profile (C1–C6 / P1–P6 walls) | Strikes with meaningful dealer gamma — magnets and barriers; price gravitates, stalls, accelerates to the next when it breaks |
| HVL / 0Γ (the line in the sand) | The regime master switch (below) |
| 0DTE Put Support / Call Resistance | Same-day expiry concentration creates pinning and sharp reversals at specific strikes |
HVL is the line in the sand
| Spot location | Dealer gamma | Behavior | Market character |
|---|---|---|---|
| Above HVL | Long gamma | Buy dips, sell rips (stabilizer) | Compresses vol, range-bound, mean-reversion works |
| Below HVL | Short gamma | Sell dips, buy rips (chase) | Amplifies moves, fast and ugly directional action |
This layer is the master switch for the whole framework. Your entries, sizing, and conviction should all shift at the HVL line: mean-reversion above, momentum below.
Example: the GEX picture is clear before the open
One day, the overnight high at 6653.50 stalled right under a GEX wall + HVL/0DTE resistance at 6700 — bears defended every rally; the overnight low at 6580 sat right on 0DTE put support at 6575 + a GEX level.
Before a single regular-session candle prints, the GEX picture is clear: upside capped by layered gamma resistance, downside has a support cluster — watch which level gives first. That changes how you read the first 30 minutes entirely.
Input 4 · MBO Order Flow — Who Actually Has Directional Control?
The last input, and the one that ties everything together: MBO (Market By Order) — the deepest order-flow data on CME futures.
Most traders work with aggregated volume (a candle, a bar, a total). MBO goes underneath: how many individual orders sit at each price, how large, and critically — how they behave as price approaches.
Aggregated data tells you what happened. MBO tells you who made it happen and why.
The live sequence (first 15 minutes)
- Spot it: a 200-contract resting order sits at a key level on the DOM → "MBO as magnet — but will it trade?"
- Ask: not predicting — identifying significant resting liquidity and asking, is there enough aggressive interest to trade through it, or does it hold and repel price?
- Answer: 200 contracts trade through the market at that level (not a passive fill — aggressive buyers consuming resting liquidity). A large sell order eaten by aggressive buyers without price dropping = buyers in control.
- Act: the footprint shows aggressive buying building below the level → resistance flips to support, long setup confirmed.
This is the moment most traders miss — they see price rising and react. Order-flow traders saw the 200-lot get consumed and already knew the direction of aggression.
Input 5 · Weekly Defense Lines — Draw the Macro Gamma Stack as a Bull/Bear Band
The first four layers are a daily view. Overlay a weekly view and you have a battle map stripped of single-day noise.
Aggregate the whole week's expirations at week start
Stack every expiration's Gamma exposure this week (Mon–Fri) and draw the week's core positive / negative Gamma nodes (P1, P2, N1, N2). These lines stay all week as a base reference frame.
Frame the "defense cluster"
If several huge, contiguous high-Gamma nodes cluster together, don't draw one line — highlight the whole region as a band (green support / resistance band). That band is a resilient structural bull/bear defense line.
Build a preset bias — not a prediction
The point is not to predict price will fall here today. It's to preset: if the week sells off violently into the band for whatever reason, you know there's huge option support here → at that point stop shorting and look for longs.
Weekly band ∩ 0DTE intraday extreme = double resonance
The true A+ appears when the weekly macro defense and the day's 0DTE intraday extreme overlap at the same price:
Overlay method: 2–2.5 minutes after the open, once 0DTE data refreshes off the real opening price, find the day's max negative / positive Gamma extreme (N1 / P1). If today's N1 falls inside the green defense band you drew at week start, that's an extremely solid spatial resonance zone — daily and weekly data firing the same signal at one price. Add price-volume confirmation (hammer + volume) and you have a textbook A+ entry.
Don't rush 0DTE pre-open: 0DTE's real pressure levels need the actual opening price to compute accurately — pre-market 0DTE data has limited value. The violent open is mostly dealers digesting pre-market hedge tasks (see Event-Day Playbook · pre-market hedging schedule). Don't open new positions on signals between 9:30–10:00.
How It Stacks Into a Trade Plan
After all four inputs, you're not looking for a trade yet — you're building a picture. Using the same morning:
| Layer | What it tells me |
|---|---|
| Structure | Overnight expanded lower, below PDL / yesterday's value / POC → structural bias bearish (until something changes it) |
| Profile | Sitting in an LVN thin area → if sellers stay in control, fast drop; if buyers step in, fast rotation back to value |
| GEX | Approaching put support + GEX cluster below, dealers short gamma (amplifying) → the overnight drop "had fuel" |
| MBO | A 200-lot at the key level fully absorbed by aggressive buyers → at the exact level where structure/profile/GEX all said something had to give |
Trade plan: all four point to the same story — bearish overnight structure into a thin area near put support, GEX confirms the vol environment, MBO shows aggressive buying absorbing the key resting order. → Long from the absorption zone, targeting value above (POC/HVN); scale out as price returns to value; if the level fails on a retest with aggressive selling and no buyer response on the footprint → bearish thesis is back, step aside.
That's Confluence: not betting a hunch, but four independent inputs pointing at the same opportunity. It doesn't happen every morning — but when it does, you already did the work before the bell, and you don't hesitate.
What the Framework Doesn't Give You
Understanding the concept is step one. The hard part is the execution layer: reading order flow in real time, qualifying entries with the footprint, managing the position when price does something unexpected. That's the difference between understanding order flow and trading it — built through repetition.
HermesGEX automates the first three layers (structure, profile, GEX), maps them to ES / NQ coordinates, and overlays MBO depth and iceberg detection on one terminal — compressing 20–30 minutes of prep into a single read.
Next steps
Equity Options Playbook
Trade single-name and ETF options with Hermēs — find institutional direction with UOA whale flow, read sector and VIX lead with the correlation matrix, locate levels with single-name GEX (distinct from index GEX), and manage IV crush through earnings.
Extreme Gamma Sniping
Wait for price to be magnetized into the max positive / negative Gamma extremes, then fire high-probability reversals using Theta timing, price-volume rejection, and 0DTE targets