745 trading days of historical baselines for E-mini Russell 2000 (RTY) — 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 Russell 2000, 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
0.10
Tick value
$5.00
Initial margin
$12,054
Maintenance margin
$10,958
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
1,248
4.1 pts
1.1 – 6.3
≥ 6.3
≥ 10.5
Down rotations
1,189
2.5 pts
0.8 – 6.1
≥ 6.1
≥ 10.4
Up rotations · n=1,248Down rotations · n=1,189
Auction
Metric
Probability
Neutral Day (breaks both IBH and IBL)
14.90%
Neutral Day follows a Neutral Day
18.92%
Neutral Extreme Day
39.64%
Opening Location
Distribution of the open vs the previous RTH session key levels:
Metric
Probability
Gap up · above pClose
53.96%
Gap up · above pHOD (session gap)
19.87%
Gap down · below pClose
46.04%
Gap down · below pLOD (session gap)
16.38%
Open inside previous IB
37.85%
Open inside previous value area
39.06%
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（148）
Target
Touch probability
1/2 gap (halfway fill)
79.73%
pHOD
62.16%
pVAH
56.08%
pClose (gap fill)
48.65%
pVPOC
44.59%
pIBH
41.89%
pMID
28.38%
pOpen
27.03%
pVAL
20.95%
pIBL
14.19%
pLOD
12.16%
Case B · Open inside previous range（475）
Target
Touch probability
pMID
72.00%
pClose (gap fill)
71.58%
pVPOC
70.53%
pVAH
65.89%
pVAL
62.74%
pIBL
57.26%
pOpen
53.26%
pIBH
48.63%
pLOD
48.42%
pHOD
45.26%
Case C · Open below previous range（122）
Target
Touch probability
1/2 gap (halfway fill)
85.25%
pLOD
71.31%
pVAL
54.10%
pIBL
48.36%
pClose (gap fill)
44.26%
pVPOC
41.80%
pMID
32.79%
pOpen
31.97%
pVAH
25.41%
pIBH
16.39%
pHOD
11.48%
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)
93.69%
Touch ONH
59.33%
Touch ONL
59.33%
Touch both ONH and ONL
24.97%
Touch ONMID
76.51%
Touch ONVAH
71.81%
Touch ONVAL
70.07%
Touch ONVPOC
67.65%
Initial Balance (IB)
The first-hour range and its subsequent breakout behavior:
Metric
Probability
Break at least one side
93.69%
Break both sides (neutral day)
14.90%
Break only IBH
38.52%
Break only IBL
40.27%
IB holds inside previous IB
5.77%
Break neither side
6.31%
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)
63.76%
Close above MID (after single break)
83.28%
Close below IBL (after single break)
56.67%
Close below MID (after single break)
80.33%
Close
Metric
Probability
Close inside previous range
42.28%
Neutral day closes inside IB
49.55%
Close inside previous IB
27.25%
Bearish engulfing
1.61%
Bullish engulfing
0.94%
Volume
Session volume distribution with mode and 1st std-dev range.
Daily session volume (RTH)（n=745）
Mode
130,000
1st std-dev range
90,000 – 165,000
Daily session volume (RTH)
Overnight session volume (ETH)（n=746）
Mode
30,000
1st std-dev range
20,000 – 46,000
Overnight session volume (ETH)
Range
Range distribution for daily / overnight / initial-balance sessions.
Daily session range (RTH)（n=745）
Mode
32 pts
1st std-dev range
15 – 40 pts
Daily session range (RTH)
Overnight session range (ETH)（n=746）
Mode
18 pts
1st std-dev range
9 – 31 pts
Overnight session range (ETH)
Initial balance range（n=745）
Session
08:30 – 09:30 (CT)
Mode
17 pts
1st std-dev range
12 – 26.5 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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