745 trading days of historical baselines for E-mini Dow (YM) — 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 Dow, 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
1
Tick value
$5.00
Initial margin
$16,453
Maintenance margin
$14,957
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
1,290
33 pts
10 – 61
≥ 61
≥ 109
Down rotations
1,292
28 pts
10 – 61
≥ 61
≥ 110
Up rotations · n=1,290Down rotations · n=1,292
Auction
Metric
Probability
Neutral Day (breaks both IBH and IBL)
21.48%
Neutral Day follows a Neutral Day
23.13%
Neutral Extreme Day
45.00%
Opening Location
Distribution of the open vs the previous RTH session key levels:
Metric
Probability
Gap up · above pClose
53.02%
Gap up · above pHOD (session gap)
17.99%
Gap down · below pClose
46.98%
Gap down · below pLOD (session gap)
14.90%
Open inside previous IB
35.03%
Open inside previous value area
42.15%
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（134）
Target
Touch probability
1/2 gap (halfway fill)
79.85%
pHOD
63.43%
pClose (gap fill)
44.78%
pVAH
44.03%
pIBH
38.81%
pVPOC
30.60%
pMID
25.37%
pOpen
23.88%
pVAL
17.91%
pIBL
12.69%
pLOD
11.19%
Case B · Open inside previous range（500）
Target
Touch probability
pClose (gap fill)
76.60%
pMID
70.60%
pVPOC
68.20%
pVAH
65.60%
pVAL
61.20%
pOpen
57.00%
pIBH
55.00%
pIBL
53.40%
pHOD
49.20%
pLOD
44.80%
Case C · Open below previous range（111）
Target
Touch probability
1/2 gap (halfway fill)
81.98%
pLOD
65.77%
pIBL
53.15%
pVAL
50.45%
pClose (gap fill)
45.95%
pVPOC
37.84%
pOpen
33.33%
pMID
31.53%
pVAH
20.72%
pIBH
14.41%
pHOD
10.81%
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)
96.78%
Touch ONH
68.05%
Touch ONL
57.58%
Touch both ONH and ONL
28.86%
Touch ONMID
77.72%
Touch ONVAH
76.11%
Touch ONVAL
71.81%
Touch ONVPOC
76.51%
Initial Balance (IB)
The first-hour range and its subsequent breakout behavior:
Metric
Probability
Break at least one side
95.84%
Break both sides (neutral day)
21.48%
Break only IBH
38.79%
Break only IBL
35.57%
IB holds inside previous IB
4.43%
Break neither side
4.16%
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)
65.74%
Close above MID (after single break)
83.74%
Close below IBL (after single break)
61.89%
Close below MID (after single break)
76.23%
Close
Metric
Probability
Close inside previous range
44.56%
Neutral day closes inside IB
42.50%
Close inside previous IB
22.55%
Bearish engulfing
1.34%
Bullish engulfing
0.81%
Volume
Session volume distribution with mode and 1st std-dev range.
Daily session volume (RTH)（n=745）
Mode
75,000
1st std-dev range
50,000 – 110,000
Daily session volume (RTH)
Overnight session volume (ETH)（n=746）
Mode
25,000
1st std-dev range
17,500 – 42,500
Overnight session volume (ETH)
Range
Range distribution for daily / overnight / initial-balance sessions.
Daily session range (RTH)（n=745）
Mode
330 pts
1st std-dev range
160 – 490 pts
Daily session range (RTH)
Overnight session range (ETH)（n=746）
Mode
210 pts
1st std-dev range
80 – 320 pts
Overnight session range (ETH)
Initial balance range（n=745）
Session
08:30 – 09:30 (CT)
Mode
190 pts
1st std-dev range
115 – 315 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