745 trading days of historical baselines for E-mini Nasdaq-100 (NQ) — 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 E-mini Nasdaq-100, sample window 2023-07-02 to 2026-07-03, 745 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
745
RTH session
08:30 – 15:00 (CT)
IB session
08:30 – 09:30 (CT)
Includes holidays
No
Min. price fluctuation
0.25
Tick value
$5.00
Initial margin
$42,649
Maintenance margin
$38,772
Exchange
CME
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
1,292
32.75 pts
5.5 – 63.75
≥ 63.75
≥ 117
Down rotations
1,279
29.5 pts
7.75 – 68
≥ 68
≥ 117.5
Up rotations · n=1,292Down rotations · n=1,279
Auction
Metric
Probability
Neutral Day (breaks both IBH and IBL)
20.13%
Neutral Day follows a Neutral Day
24.00%
Neutral Extreme Day
46.67%
Opening Location
Distribution of the open vs the previous RTH session key levels:
Metric
Probability
Gap up · above pClose
57.18%
Gap up · above pHOD (session gap)
24.43%
Gap down · below pClose
42.82%
Gap down · below pLOD (session gap)
15.44%
Open inside previous IB
30.34%
Open inside previous value area
34.36%
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（182）
Target
Touch probability
1/2 gap (halfway fill)
79.12%
pHOD
69.78%
pVAH
58.24%
pIBH
50.55%
pClose (gap fill)
49.45%
pVPOC
45.05%
pMID
35.16%
pOpen
33.52%
pVAL
24.73%
pIBL
16.48%
pLOD
12.64%
Case B · Open inside previous range（448）
Target
Touch probability
pClose (gap fill)
69.87%
pMID
66.96%
pVPOC
65.85%
pVAH
64.51%
pVAL
59.15%
pIBH
50.67%
pOpen
50.45%
pIBL
49.55%
pHOD
48.44%
pLOD
41.96%
Case C · Open below previous range（115）
Target
Touch probability
1/2 gap (halfway fill)
84.35%
pLOD
66.09%
pVAL
50.43%
pIBL
46.96%
pClose (gap fill)
40.00%
pVPOC
35.65%
pOpen
30.43%
pMID
28.70%
pIBH
21.74%
pVAH
20.87%
pHOD
13.91%
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)
94.50%
Touch ONH
63.62%
Touch ONL
54.23%
Touch both ONH and ONL
23.36%
Touch ONMID
73.56%
Touch ONVAH
74.77%
Touch ONVAL
68.46%
Touch ONVPOC
74.90%
Initial Balance (IB)
The first-hour range and its subsequent breakout behavior:
Metric
Probability
Break at least one side
97.45%
Break both sides (neutral day)
20.13%
Break only IBH
42.42%
Break only IBL
34.90%
IB holds inside previous IB
6.58%
Break neither side
2.55%
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)
67.41%
Close above MID (after single break)
86.39%
Close below IBL (after single break)
57.31%
Close below MID (after single break)
75.00%
Close
Metric
Probability
Close inside previous range
43.09%
Neutral day closes inside IB
41.33%
Close inside previous IB
22.68%
Bearish engulfing
1.07%
Bullish engulfing
0.67%
Volume
Session volume distribution with mode and 1st std-dev range.
Daily session volume (RTH)（n=745）
Mode
400,000
1st std-dev range
330,000 – 540,000
Daily session volume (RTH)
Overnight session volume (ETH)（n=746）
Mode
140,000
1st std-dev range
75,000 – 155,000
Overnight session volume (ETH)
Range
Range distribution for daily / overnight / initial-balance sessions.
Daily session range (RTH)（n=745）
Mode
160 pts
1st std-dev range
115 – 330 pts
Daily session range (RTH)
Overnight session range (ETH)（n=746）
Mode
135 pts
1st std-dev range
50 – 245 pts
Overnight session range (ETH)
Initial balance range（n=745）
Session
08:30 – 09:30 (CT)
Mode
105 pts
1st std-dev range
70 – 200 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