Overnight (ON) Day Range Study for the ES (S&P500 E-mini)

After my RTH ES Daily Range study, I wanted to look at if there is a statistical correlation between the overnight range of the ES and the corresponding regular trading hours day range. But first, I needed to pull the overnight data in my SQL Server database and analyze it in Excel.  Here are my results:

Here we see the the most common ON range is 10 (Same as RTH… hmmmm… 🙂 while the 1st Standard Deviation is 6 to 15 points and the 2nd Standard Deviation is 3 to 35 points.  The data is more condensed that the RTH day range values, but has quite a range of values.

Next I’ll look at the if there is a connection between the ON ranges and the RTH ranges. I’ll also want to look at the first few hours prior to the open to see if there is a correlation there as this ON study will capture any gaps that happen overnight.

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2 responses to “Overnight (ON) Day Range Study for the ES (S&P500 E-mini)

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