748 trading days of historical baselines for 10-Year T-Note (ZN) — 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 10-Year T-Note, 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
1/64
Tick value
$15.625
Initial margin
$2,063
Maintenance margin
$1,875
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
631
0.03125 pts
0 – 0.0625
≥ 0.0625
≥ 0.09375
Down rotations
589
0.03125 pts
0 – 0.0625
≥ 0.0625
≥ 0.078125
Up rotations · n=631Down rotations · n=589
Auction
Metric
Probability
Neutral Day (breaks both IBH and IBL)
26.87%
Neutral Day follows a Neutral Day
24.38%
Neutral Extreme Day
52.24%
Opening Location
Distribution of the open vs the previous RTH session key levels:
Metric
Probability
Gap up · above pClose
48.40%
Gap up · above pHOD (session gap)
21.26%
Gap down · below pClose
48.26%
Gap down · below pLOD (session gap)
22.73%
Open inside previous IB
29.81%
Open inside previous value area
31.82%
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（159）
Target
Touch probability
1/2 gap (halfway fill)
82.39%
pHOD
65.41%
pVAH
45.28%
pIBH
42.77%
pClose (gap fill)
40.88%
pVPOC
33.33%
pMID
28.93%
pOpen
26.42%
pVAL
20.75%
pIBL
15.72%
pLOD
11.95%
Case B · Open inside previous range（419）
Target
Touch probability
pMID
73.03%
pClose (gap fill)
71.36%
pVPOC
71.36%
pVAH
65.16%
pVAL
62.05%
pOpen
58.95%
pIBH
55.37%
pIBL
52.74%
pHOD
49.64%
pLOD
44.39%
Case C · Open below previous range（170）
Target
Touch probability
1/2 gap (halfway fill)
77.65%
pLOD
60.59%
pIBL
42.94%
pVAL
40.59%
pClose (gap fill)
38.82%
pVPOC
29.41%
pMID
27.65%
pOpen
25.88%
pVAH
22.94%
pIBH
15.88%
pHOD
12.35%
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
57.35%
Touch ONL
60.16%
Touch both ONH and ONL
23.93%
Touch ONMID
68.72%
Touch ONVAH
67.78%
Touch ONVAL
66.31%
Touch ONVPOC
70.45%
Initial Balance (IB)
The first-hour range and its subsequent breakout behavior:
Metric
Probability
Break at least one side
94.65%
Break both sides (neutral day)
26.87%
Break only IBH
34.63%
Break only IBL
33.16%
IB holds inside previous IB
9.89%
Break neither side
5.35%
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)
66.02%
Close above MID (after single break)
79.92%
Close below IBL (after single break)
64.92%
Close below MID (after single break)
83.87%
Close
Metric
Probability
Close inside previous range
40.11%
Neutral day closes inside IB
38.81%
Close inside previous IB
22.06%
Bearish engulfing
1.34%
Bullish engulfing
1.47%
Volume
Session volume distribution with mode and 1st std-dev range.
Daily session volume (RTH)（n=748）
Mode
1,150,000
1st std-dev range
625,000 – 1,325,000
Daily session volume (RTH)
Overnight session volume (ETH)（n=749）
Mode
525,000
1st std-dev range
375,000 – 750,000
Overnight session volume (ETH)
Range
Range distribution for daily / overnight / initial-balance sessions.
Daily session range (RTH)（n=748）
Mode
0.40625 pts
1st std-dev range
0.203125 – 0.5625 pts
Daily session range (RTH)
Overnight session range (ETH)（n=749）
Mode
0.296875 pts
1st std-dev range
0.171875 – 0.421875 pts
Overnight session range (ETH)
Initial balance range（n=748）
Session
07:20 – 08:20 (CT)
Mode
0.140625 pts
1st std-dev range
0.0625 – 0.265625 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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