748 trading days of historical baselines for U.S. Treasury Bond (ZB) — 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 U.S. Treasury Bond, sample window 2023-07-02 to 2026-07-03, 748 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
748
RTH session
07:20 – 14:00 (CT)
IB session
07:20 – 08:20 (CT)
Includes holidays
No
Min. price fluctuation
1/32
Tick value
$31.25
Initial margin
$4,070
Maintenance margin
$3,700
Exchange
CBOT
Settlement
Deliverable
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
672
0.0625 pts
0 – 0.09375
≥ 0.09375
≥ 0.15625
Down rotations
668
0.0625 pts
0 – 0.09375
≥ 0.09375
≥ 0.15625
Up rotations · n=672Down rotations · n=668
Auction
Metric
Probability
Neutral Day (breaks both IBH and IBL)
27.41%
Neutral Day follows a Neutral Day
32.20%
Neutral Extreme Day
54.63%
Opening Location
Distribution of the open vs the previous RTH session key levels:
Metric
Probability
Gap up · above pClose
47.46%
Gap up · above pHOD (session gap)
21.12%
Gap down · below pClose
49.87%
Gap down · below pLOD (session gap)
22.06%
Open inside previous IB
29.55%
Open inside previous value area
31.02%
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（158）
Target
Touch probability
1/2 gap (halfway fill)
80.38%
pHOD
64.56%
pVAH
43.04%
pClose (gap fill)
41.14%
pIBH
41.14%
pVPOC
32.91%
pOpen
28.48%
pMID
27.22%
pVAL
18.99%
pIBL
17.72%
pLOD
12.66%
Case B · Open inside previous range（425）
Target
Touch probability
pMID
70.35%
pClose (gap fill)
68.71%
pVPOC
67.53%
pVAH
63.76%
pVAL
59.76%
pIBH
56.00%
pOpen
55.29%
pIBL
52.94%
pHOD
48.47%
pLOD
47.06%
Case C · Open below previous range（165）
Target
Touch probability
1/2 gap (halfway fill)
76.97%
pLOD
62.42%
pVAL
43.64%
pClose (gap fill)
41.21%
pIBL
37.58%
pVPOC
30.91%
pMID
26.06%
pOpen
24.24%
pVAH
21.21%
pIBH
15.76%
pHOD
13.33%
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)
93.58%
Touch ONH
57.89%
Touch ONL
59.36%
Touch both ONH and ONL
23.66%
Touch ONMID
70.19%
Touch ONVAH
64.57%
Touch ONVAL
65.91%
Touch ONVPOC
65.37%
Initial Balance (IB)
The first-hour range and its subsequent breakout behavior:
Metric
Probability
Break at least one side
94.92%
Break both sides (neutral day)
27.41%
Break only IBH
34.76%
Break only IBL
32.75%
IB holds inside previous IB
7.62%
Break neither side
5.08%
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)
68.85%
Close above MID (after single break)
81.92%
Close below IBL (after single break)
66.12%
Close below MID (after single break)
80.82%
Close
Metric
Probability
Close inside previous range
41.18%
Neutral day closes inside IB
33.17%
Close inside previous IB
21.93%
Bearish engulfing
1.47%
Bullish engulfing
0.94%
Volume
Session volume distribution with mode and 1st std-dev range.
Daily session volume (RTH)（n=748）
Mode
250,000
1st std-dev range
150,000 – 320,000
Daily session volume (RTH)
Overnight session volume (ETH)（n=749）
Mode
140,000
1st std-dev range
90,000 – 180,000
Overnight session volume (ETH)
Range
Range distribution for daily / overnight / initial-balance sessions.
Daily session range (RTH)（n=748）
Mode
0.6875 pts
1st std-dev range
0.375 – 1.0625 pts
Daily session range (RTH)
Overnight session range (ETH)（n=749）
Mode
0.6875 pts
1st std-dev range
0.34375 – 0.84375 pts
Overnight session range (ETH)
Initial balance range（n=748）
Session
07:20 – 08:20 (CT)
Mode
0.34375 pts
1st std-dev range
0.15625 – 0.5625 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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