NASDAQ-100 E-Mini Futures · NQ · 10-Year Study · 2016–2026

RTH Breaks

Prior Day RTH High / Low — Open Scenario Probabilities

Each RTH session is classified by where the 09:30 open price falls relative to the prior day's RTH range (pRTH high and low). From that opening classification, three probability sets are tracked: how often the session closes above or below the breached level, and how often price reaches — via wick — the opposite extreme of the prior day range. A breach is defined as any bar whose high or low extends more than 1 tick (0.25 points) beyond the pRTH level. Close probabilities use the 16:00 bar close. Data covers 2,488 RTH sessions on the NQ Emini from March 2016 through March 2026.

Trading Days 2,488
Period Mar 2016 – Mar 2026
RTH Session 09:30 – 16:00
Breach Wick > 0.25 pts (1 tick)
RTH Breaks — Structural Diagram
RTH Breaks — Structural Diagram
Illustrative session · Opens below pRTH low · rallies inside range · pRTH high holds
Conceptual · Not to scale
PRIOR DAY RTH RANGE (pRTH) pRTH HIGH pRTH LOW RTH OPEN · 09:30 · BELOW pRTH LOW RALLY HIGH NO BREACH · pRTH HIGH HOLDS BREACH pRTH LOW RTH CLOSE · 16:00 09:30 11:00 12:00 14:00 16:00
pRTH High / Low boundary
RTH Open (below pRTH low)
Breach — wick > 1 tick beyond level
Rally high — falls short, no breach
RTH Close (16:00 bar)
Opening Scenario Distribution
Opens Above pRTH High
654
26.3% of all sessions
Gap Up
Opens Below pRTH Low
363
14.6% of all sessions
Gap Down
Opens Inside pRTH Range
1,471
59.1% of all sessions
Inside Range
Scenario 1 — Gap Up
↑
Opens ABOVE pRTH High
RTH open price > prior day RTH high
654 sessions
Close above pRTH High  ·  holds gap, bullish close
69.9% 457 days
Close below pRTH High  ·  gap fills, closes back inside
30.1% 197 days
Does Not Breach pRTH Low  ·  no wick > 1 tick below pRTH low
88.1% 576 days
Scenario 2 — Gap Down
↓
Opens BELOW pRTH Low
RTH open price < prior day RTH low
363 sessions
Close below pRTH Low  ·  holds gap down, continuation
59.5% 216 days
Close above pRTH Low  ·  gap fills, closes back inside
40.5% 147 days
Does Not Breach pRTH High  ·  no wick > 1 tick above pRTH high
90.4% 328 days
Scenario 3 — Inside Range
↔
Opens INSIDE pRTH Range
pRTH low < RTH open < pRTH high
1,471 sessions
No breach either side  ·  stays entirely within pRTH range
17.7% 261 days
Breaches one side only  ·  high OR low > 1 tick beyond pRTH
74.0% 1,088 days
Breaches both sides  ·  high AND low > 1 tick beyond pRTH
8.3% 122 days