instrument report · Rates
5-Year T-Note ZF
Historical statistics for 5-Year T-Note over 44,265 observations, from 2010-06-07 to 2026-09-16. Every table shows its sample size (n) next to the percentage.
What sets this instrument apart
- In ZF an upside gap fills 59.2% of the time on a Friday and 46.0% on a Monday: 13.2 percentage points between two days of the same week.
- The day's high is made in the London session 43.4% of the time, across 4,180 sessions.
- When it breaks the Initial Balance high, the session closes beyond it 52.2% of the time; when it breaks the low, 51.8%. The asymmetry between the two sides is what sets ZF apart from other contracts.
Tables
Historical frequencies, not forecasts: each row's sample size sits on the right.
Opening gap fill, by day
ZF
| Day | Gap up | Gap down | Sessions |
|---|---|---|---|
| Monday | 46.0% | 50.5% | 810 |
| Tuesday | 52.4% | 53.6% | 809 |
| Wednesday | 56.4% | 57.7% | 813 |
| Thursday | 55.9% | 51.9% | 819 |
| Friday | 59.2% | 60.3% | 803 |
n = 4,054 · 2010-06-07 to 2026-09-15 · exchange data
Gap measured from the prior regular-session close to today's open. Fill = price trades back to that close within the same regular session.
Gap fill by gap size
ZF
| Gap size | Gap up | Gap down | Sessions |
|---|---|---|---|
| 0-0.1% | 67.9% | 68.4% | 2,592 |
| 0.1-0.25% | 32.6% | 34.8% | 1,213 |
| 0.25-0.5% | 14.3% | 10.4% | 201 |
n = 4,006 · 2010-06-07 to 2026-09-15 · exchange data
Gap size changes the outcome more than any other variable: read this table before the day-of-week one.
Initial Balance break and close beyond the level
ZF
| Day | Breaks the high | Breaks the low | Breaks |
|---|---|---|---|
| Monday | 51.1% | 52.9% | 1,055 |
| Tuesday | 54.3% | 52.6% | 1,053 |
| Wednesday | 52.1% | 52.0% | 1,099 |
| Thursday | 51.8% | 48.1% | 1,005 |
| Friday | 51.4% | 53.5% | 916 |
n = 5,128 · 2010-06-07 to 2026-09-15 · exchange data
IB = the range of the first 60 minutes of the regular session. The percentage is how often the session closed beyond the broken extreme, not how often a break happened.
Breaking yesterday's range and the closing colour
ZF
| Day | Breaks the high and closes green | Breaks the low and closes red | Breaks |
|---|---|---|---|
| Monday | 66.3% | 66.6% | 691 |
| Tuesday | 72.2% | 72.2% | 864 |
| Wednesday | 72.1% | 68.2% | 844 |
| Thursday | 67.6% | 71.0% | 803 |
| Friday | 71.2% | 67.5% | 818 |
n = 4,020 · 2010-06-07 to 2026-09-16 · exchange data
Session colour = close versus the same day's open. It does not measure whether the close held beyond the broken level. A day that breaks both sides counts in both columns.
Does the overnight direction carry into the regular session?
ZF
| Day | Overnight up | Overnight down | Sessions |
|---|---|---|---|
| Monday | 47.8% | 49.1% | 810 |
| Tuesday | 52.9% | 51.9% | 809 |
| Wednesday | 50.5% | 48.5% | 813 |
| Thursday | 48.4% | 49.3% | 819 |
| Friday | 49.9% | 53.7% | 803 |
n = 4,054 · 2010-06-07 to 2026-09-15 · exchange data
Overnight direction = from yesterday's regular close to today's open. The percentage is how often the regular session then moved the same way.
Where the day's high and low are made
ZF
| Session | High of day | Low of day | Sessions |
|---|---|---|---|
| Asia | 21.7% | 21.2% | 4,180 |
| London | 43.4% | 45.4% | 4,180 |
| New York | 17.4% | 16.2% | 4,180 |
| Outside sessions | 17.5% | 17.2% | 4,180 |
n = 16,720 · 2010-06-07 to 2026-09-15 · exchange data
How the daily extreme splits across the three sessions of the 24-hour cycle.
Gap fill between calendar days
ZF
| Day | Gap up | Gap down | Sessions |
|---|---|---|---|
| Monday | 79.6% | 74.2% | 799 |
| Tuesday | 93.9% | 92.8% | 316 |
| Wednesday | 93.5% | 93.6% | 341 |
| Thursday | 97.9% | 93.3% | 306 |
| Friday | 95.4% | 91.8% | 297 |
n = 2,059 · 2010-06-07 to 2026-09-16 · exchange data
Here the gap is measured between the close and the open of whole calendar days, not against the regular session. In a contract trading nearly 24 hours that gap is small and fills far more often.
How the day closed, by day of the week
ZF
| Day | Closes green | Closes red | Sessions |
|---|---|---|---|
| Monday | 48.2% | 49.4% | 848 |
| Tuesday | 49.3% | 48.7% | 848 |
| Wednesday | 50.2% | 48.1% | 848 |
| Thursday | 48.1% | 48.6% | 849 |
| Friday | 50.1% | 48.7% | 831 |
n = 4,224 · 2010-06-07 to 2026-09-16 · exchange data
Close versus the same day's open. If both columns sit near 50%, the day of the week on its own says nothing: that is the most common result and also the most useful to know.
To understand these numbers
These guides explain how each concept is calculated and how to read it without fooling yourself.
Opening Gap in Index Futures: A Data-Driven Guide
Initial Balance: What It Is and How to Use It Intraday
Value Area, POC, VAH and VAL: How to Read Value
RTH vs Globex in Index Futures: What Changes
Base Rates in Trading: What They Are and How to Read Them
Other instruments in the family
Historical frequencies describe what happened; they do not guarantee what will happen and are not investment advice.