ES Initial Balance Stats

The Initial Balance (IB) is the price range established in the first hour of trading. Peter Steidlmayer (creator of Market Profile) believed that the first hour was when the locals would attempt to find a price area where two-sided trade could take place.


Chart 1: IB proportion of the day's range frequency distribution

IB mean proportion of the day's range: 51%

IB median proportion of the day's range: 48%

IB median proportion when IB range is NR7: 37%

IB median proportion when IB range <= 60% of 10-day Avg: 35%

IB median proportion when IB range <= 80% of 10-day Avg: 40%

IB median proportion when IB range >= 150% of 10-day Avg: 64%

IB median proportion when IB range >= 200% of 10-day Avg: 80%

Chart 2: IB proportion of day's range vs. IB % of Avg


Chart 3: IB proportion of day's range vs. IB range

Range extension beyond both sides of the IB: 37%

Extension beyond both sides of IB when open outside VA: 28% ^#

Extension beyond both sides of IB when open inside VA: 39% ^#

VA = prior day Value Area

Data from ES day session from Nov 1st 2007 unless otherwise specified

#: This data is for ES day session from April 10 2008 - I will update these stats if they change markedly as the sample size increases.

SRS