Initial Balance Breakout Statistics: ES & NQ Futures Data (2015–2025)

How often does the Initial Balance break? If you’ve traded ES or NQ futures, you’ve heard that the IB “almost always” breaks — but nobody shows you the actual numbers. How far does it extend? How often is the first breakout a false break? Does IB tier matter? Does the C-period confirmation actually work?

We analyzed 5,519 trading days — 2,686 days of ES (E-mini S&P 500) and 2,833 days of NQ (E-mini Nasdaq 100) futures, covering every RTH session from January 2015 through December 2025. We measured breakout probability, extension rates at seven levels (25% through 300% of IB range), breakout timing by TPO period, C-period confirmation rates, retracement behavior, false breakout rates, and risk metrics (MAE/MFE) from breakout points.

The baseline: 97.8% of ES days and 96.2% of NQ days see at least one IB breakout. But that single number hides enormous variation. A narrow IB (below 0.5× ATR) breaks 98.7% of the time with a median extension of 74.8%. An extreme IB (above 1.5× ATR) breaks only 66.7% of the time — and the median extension drops to 22.3%. When the C-period confirms the breakout, 45.5% of ES days reach 100% extension upside. When it fails, 37.9% close back inside the IB.

Here’s what 5,519 days of initial balance data actually show.

What Is the Initial Balance?

The Initial Balance (IB) is the price range established during the first hour of Regular Trading Hours — from 9:30 AM to 10:30 AM Eastern Time. It consists of two 30-minute TPO periods: the A-period (9:30–10:00) and the B-period (10:00–10:30). The IB high is the highest price reached during this window; the IB low is the lowest.

The concept comes from Market Profile theory, developed by J. Peter Steidlmayer at the Chicago Board of Trade. The idea is straightforward: the first hour sets the “initial” trading range for the day, and what happens after — whether price breaks out of that range, how far it extends, and where it closes relative to the IB — tells you what kind of day is developing.

A breakout occurs when price exceeds the IB high (upside breakout) or falls below the IB low (downside breakout) at any point after 10:30 AM. A double breakout means both sides were violated during the session. Extension is measured as a percentage of the IB range — so “100% extension up” means price traveled one full IB range above the IB high.

This differs from the Opening Range, which typically covers the first 30 minutes (9:30–10:00). The Initial Balance uses the full first hour, capturing both A and B periods. We use a 60-minute IB throughout this analysis.

We classify IB size relative to the 14-day ATR into four tiers:

Tier	IB Range vs ATR	Description
Narrow	< 0.5× ATR	Below average — compressed first hour
Normal	0.5–1.0× ATR	Typical day
Wide	1.0–1.5× ATR	Expanded first hour — high early activity
Extreme	> 1.5× ATR	Unusually large — major news or event

This distinction is critical. Grouping all IB sizes together — which most discussions do — produces a blended average that doesn’t apply to any specific day you’re looking at.

How We Measured IB Breakout Probability

For each trading day, we compute the IB high, IB low, and IB range from 1-minute bars during the 9:30–10:30 window. We then track all price action from 10:30 through the 4:00 PM close to measure breakout outcomes.

What we measure:

Breakout type — did price break above the IB high only (single up), below the IB low only (single down), both sides (double), or neither (none)?

Extension targets — did price reach 25%, 50%, 75%, 100%, 150%, 200%, or 300% of the IB range beyond the breakout point? We check each target for both directions, with two deadlines: by Noon ET and by Close.

First breakout timing — which TPO period (C through M) saw the first breakout?

C-period confirmation — did the C-period (10:30–11:00) close above the IB high, below the IB low, or inside the IB?

Retracement — after the first breakout, did price retrace back into the IB? How deep?

Risk metrics — Maximum Adverse Excursion (MAE) and Maximum Favorable Excursion (MFE) from the breakout point.

False breakout detection — did the first breakout fail (price returned inside IB by the close)?

Parameter	Value
Instruments	ES (E-mini S&P 500), NQ (E-mini Nasdaq 100)
Period	January 5, 2015 – December 29, 2025
ES trading days	2,686
NQ trading days	2,833
Session	RTH only (9:30 AM – 4:00 PM ET)
IB window	9:30 – 10:30 AM ET
Extension targets	25%, 50%, 75%, 100%, 150%, 200%, 300% of IB range
Time horizons	By Noon (12:00), By Close (16:00)
IB tier classification	Narrow: <0.5× ATR, Normal: 0.5–1.0×, Wide: 1.0–1.5×, Extreme: >1.5×
ATR calculation	14-period ATR on daily RTH bars

Breakout Type Distribution

The IB breaks almost every day. Out of 2,686 ES trading days, only 58 (2.2%) saw no breakout at all — meaning the IB high was the day’s high AND the IB low was the day’s low. For NQ, 108 out of 2,833 days (3.8%) had no breakout.

Breakout Type	ES Count	ES %	NQ Count	NQ %
Single Up	1,028	38.3%	1,151	40.6%
Single Down	831	30.9%	934	33.0%
Double	769	28.7%	640	22.6%
None	58	2.2%	108	3.8%
Any Breakout	2,628	97.8%	2,725	96.2%

The first thing that stands out: single up is the most common type for both instruments — consistent with the long-term upward drift in equity index futures. But nearly 3 in 10 ES days (28.7%) and more than 1 in 5 NQ days (22.6%) see a double breakout, meaning price violated both the IB high and IB low during the session.

ES has a notably higher double breakout rate than NQ (28.7% vs 22.6%). This means ES is more likely to see both sides of the IB tested on any given day — a meaningful behavioral difference between the two instruments.

How Far Do Breakouts Extend? The Extension Ladder

This is the core of initial balance analysis — and the data nobody else publishes. How far does price actually travel beyond the IB high or low?

ES Extension Ladder

Extension Level	Up – by Noon	Up – by Close	Down – by Noon	Down – by Close
25%	29.3%	52.0%	28.2%	47.3%
50%	15.2%	38.2%	16.5%	36.5%
75%	7.0%	26.5%	9.4%	27.9%
100%	3.5%	18.8%	5.2%	20.5%
150%	1.0%	8.1%	1.8%	11.6%
200%	0.4%	4.4%	0.7%	7.1%
300%	0.0%	1.5%	0.3%	2.6%

NQ Extension Ladder

Extension Level	Up – by Noon	Up – by Close	Down – by Noon	Down – by Close
25%	26.1%	47.1%	24.6%	41.5%
50%	11.9%	32.4%	14.0%	30.9%
75%	4.6%	20.9%	7.3%	22.0%
100%	1.8%	12.8%	4.3%	15.9%
150%	0.5%	5.1%	1.4%	8.2%
200%	0.1%	2.1%	0.5%	4.1%
300%	0.0%	0.6%	0.3%	1.6%

Read this carefully. On ES, about half of all days see the IB extend at least 25% in one direction — but only 18.8% reach a full 100% extension upside by the close. The drop-off is steep and progressive.

The by-Noon column tells a different story than by-Close. Only 3.5% of ES days reach 100% upside extension by noon — but 18.8% reach it by close. That means the afternoon session adds 15.3 percentage points of 100% extensions. Unlike gap fills (where the first hour is the main fill window), IB extensions build throughout the day.

Downside extensions are slightly higher than upside at every level — 20.5% vs 18.8% for 100% on ES. This is consistent across both instruments and suggests a modest downside extension bias.

ES extends further than NQ at every level. At the 100% mark: ES reaches it 18.8% up / 20.5% down, vs NQ’s 12.8% up / 15.9% down. The median extension confirms this — 63.6% for ES vs 55.6% for NQ.

IB Tier Analysis: Narrow vs Normal vs Wide vs Extreme

IB tier is the single strongest predictor of breakout behavior — the equivalent of gap size in gap fill analysis. A narrow IB means the first hour was compressed, creating stored energy for a larger breakout. A wide or extreme IB means the first hour already captured much of the day’s range.

IB Tier	ES n	ES Breakout	ES Double	ES None	ES Med. Ext	NQ n	NQ Breakout	NQ Double	NQ None	NQ Med. Ext
Narrow	1,779	98.7%	33.6%	1.3%	74.8%	1,584	98.5%	29.1%	1.5%	63.8%
Normal	827	96.6%	20.4%	3.4%	50.7%	1,136	94.2%	15.2%	5.8%	45.3%
Wide	62	93.5%	4.8%	6.5%	39.6%	88	84.1%	5.7%	15.9%	36.7%
Extreme	6	66.7%	0.0%	33.3%	22.3%	13	76.9%	0.0%	23.1%	33.3%

The pattern is dramatic. Narrow IB days — which account for 66.2% of ES days and 55.9% of NQ days — break out 98.7% of the time with a median extension of 74.8% on ES. One in three narrow IB days sees a double breakout, meaning both sides get violated.

Wide IB days tell the opposite story. Only 4.8% of ES wide IB days produce double breakouts, and the median extension drops to 39.6%. By the time the IB is wide, most of the day’s range is already established in the first hour.

Extreme IB days are rare (6 ES, 13 NQ in the dataset) but instructive: a third of ES extreme IB days see no breakout at all. The IB simply IS the day’s range.

This has direct implications for how you interpret the IB each morning. When the IB is narrow relative to ATR, you should expect a breakout — the question is which direction. When the IB is wide, the IB boundaries are more likely to contain the rest of the day.

Using IB range percentile data confirms this gradient. The smallest 20% of IB ranges (by 60-day percentile) produce breakouts 99.3% of the time on ES with a median extension of 84.5%. The largest 20% break out 95.5% of the time with a median extension of only 54.0%.

When Does the First Breakout Happen?

If the IB is going to break, when does it typically happen? The C-period (10:30–11:00) — the very next period after the IB closes — dominates.

TPO Period	Time	ES %	NQ %
C	10:30–11:00	65.2%	63.9%
D	11:00–11:30	15.3%	14.7%
E	11:30–12:00	7.1%	7.3%
F	12:00–12:30	3.6%	4.0%
G	12:30–13:00	2.5%	2.2%
H	13:00–13:30	1.6%	2.3%
I–M	13:30–16:00	4.8%	5.5%

Nearly two-thirds of all first breakouts happen in the C-period — within 30 minutes of the IB closing. By the end of the D-period (11:30 AM), over 80% of first breakouts have already occurred.

This means if you’re watching for an IB breakout, the first 30–60 minutes after the IB closes are where the action is. Late-day breakouts (after 1:00 PM) account for less than 10% of first breaks.

What if there’s no breakout by noon? On ES, 14.4% of days had no breakout by noon (386 days). Of those, 15.0% stayed “none” by the close — the rest eventually broke out in the afternoon. On NQ, 17.3% had no breakout by noon, and 21.8% of those stayed “none” by close.

In other words: if the IB hasn’t broken by noon, about 1 in 5 NQ days (and 1 in 7 ES days) will stay contained for the rest of the session.

C-Period Confirmation: Does It Matter?

The C-period is the first 30-minute period after the IB closes (10:30–11:00). In Market Profile theory, how the C-period behaves relative to the IB is considered an early signal for the day’s direction. Our data lets us test this directly.

Where does the C-period close?

C-Period Close	ES %	ES n	NQ %	NQ n
Above IB High	18.1%	486	17.8%	503
Below IB Low	15.6%	420	15.0%	424
Inside IB	66.3%	1,780	67.3%	1,906

About two-thirds of the time, the C-period closes inside the IB — no confirmation either way. But when it does close outside, the implications are significant.

When C-period confirms: extension rates

C-Period Close	ES hit 50% ext	ES hit 100% ext	NQ hit 50% ext	NQ hit 100% ext
Above IB High → Up	79.0%	45.5%	76.1%	33.2%
Below IB Low → Down	81.7%	50.0%	78.3%	41.7%

When the C-period closes above the IB high on ES, 45.5% of those days went on to reach 100% upside extension (one full IB range above IBH). When it closes below the IB low, 50.0% reached 100% downside extension.

This is a strong data point. The unconditional 100% extension rate on ES is about 18.8% up and 20.5% down. With C-period confirmation, those rates more than double.

When C-period breaks out but fades back

Sometimes the C-period pushes beyond the IB boundary but then closes back inside. This is a “failed” C-period. Out of 2,686 ES days, 807 (30.0%) had a failed C-period.

After C-period failure	ES	NQ
Closed above IB	35.3%	33.9%
Closed inside IB	37.9%	38.5%
Closed below IB	26.8%	27.6%
Ended as double breakout	46.8%	35.5%

When the C-period fails, about 38% of days close inside the IB. Notably, 46.8% of ES days with a failed C-period ended as double breakout days — price eventually broke both sides.

IB Direction and Formation Bias

During the IB itself, does the sequence of how the high and low form predict the breakout direction? The data shows a strong relationship.

IB High Formed First vs IB Low Formed First

Formation	n	Single Up	Single Down	Double	None
ES – High first	1,340	24.0%	44.8%	29.6%	1.6%
ES – Low first	1,346	52.5%	17.0%	27.6%	2.8%
NQ – High first	1,414	24.0%	48.7%	24.0%	3.3%
NQ – Low first	1,419	57.2%	17.3%	21.1%	4.4%

The pattern is clear and consistent across both instruments. When the IB high forms first (price pushed up early, then pulled back), the day is roughly twice as likely to produce a single downside breakout as a single upside breakout. When the IB low forms first (price pushed down early, then recovered), single up breakouts dominate — 52.5% on ES and 57.2% on NQ.

In other words: the IB tends to break opposite to whichever extreme formed first. If the market pushed higher early in the IB and then came back down, it’s more likely to continue lower after the IB closes.

IB Direction Bias

How the IB itself closes (above or below its midpoint) also shows a directional relationship:

IB Close	n	Broke Up	Broke Down	Closed Above IB	Closed Below IB
ES – IB closed up	1,375	82.7%	44.1%	46.9%	20.5%
ES – IB closed down	1,311	50.5%	75.8%	26.0%	35.5%
NQ – IB closed up	1,456	81.4%	38.1%	47.5%	17.5%
NQ – IB closed down	1,377	44.1%	74.1%	24.1%	36.2%

When the IB closes up, the upside breakout rate is 82.7% on ES — but the downside still breaks 44.1% of the time. The IB direction bias is real but not absolute. Both sides still get tested in many cases.

Retracement After Breakout

After the IB breaks, does price come back to retest the IB range? Almost always — but the depth of retracement matters enormously for the day’s outcome.

Retracement Metric	ES	NQ
Retraced into IB at all	99.9%	100.0%
Reached 50% retracement	55.7%	50.8%
Reached opposite IB boundary	29.8%	23.6%

Virtually every breakout sees some retracement back into the IB range. The question is how deep. On ES, 55.7% of breakouts retrace at least 50% of the IB range (back to the midpoint). About 30% retrace all the way to the opposite boundary.

Retracement depth determines the day

This is one of the strongest findings in the dataset:

Retracement Depth	ES n	Closed in Break Direction	Closed Inside IB	Double
Shallow (< 25%)	664	93.8%	6.2%	0.0%
Deep (≥ 50%)	1,462	24.8%	49.2%	52.7%

Retracement Depth	NQ n	Closed in Break Direction	Closed Inside IB	Double
Shallow (< 25%)	773	92.4%	7.6%	0.0%
Deep (≥ 50%)	1,385	23.9%	51.0%	46.3%

When the retracement is shallow — price breaks out and doesn’t come back more than 25% — the day closes in the breakout direction 93.8% of the time on ES. Zero of these became double breakout days. This is a high-conviction continuation signal.

When the retracement is deep — price comes back more than 50% into the IB — only 24.8% close in the original breakout direction. Over half of these become double breakout days. A deep retracement essentially nullifies the original breakout signal.

Midpoint Retest Outcome

On ES, 55.6% of breakout days saw a midpoint retest (50%+ retracement). Of those, 53.4% eventually returned to the breakout level, and 52.7% broke the opposite side. On NQ, 50.8% saw a midpoint retest, with 46.6% returning to break and 46.3% breaking opposite.

Breakouts by Context

Day of Week

Day	ES n	ES Breakout	ES Double	ES None	ES Med. Ext	NQ n	NQ Breakout	NQ None	NQ Med. Ext
Mon	536	96.1%	23.5%	3.9%	61.5%	566	94.9%	5.1%	53.2%
Tue	541	97.8%	28.1%	2.2%	61.4%	571	96.0%	4.0%	55.4%
Wed	538	98.5%	36.8%	1.5%	68.4%	568	97.5%	2.5%	58.0%
Thu	543	98.2%	28.7%	1.8%	67.7%	571	97.0%	3.0%	53.3%
Fri	528	98.7%	26.3%	1.3%	62.1%	557	95.7%	4.3%	58.0%

Wednesday stands out with the highest double breakout rate on ES (36.8%) and the highest median extension on both instruments. Monday has the lowest breakout rate and the highest “none” percentage — consistent with the gap fill data showing Monday as the weakest day for mean reversion.

Volatility Regime (ATR)

ATR Regime	ES n	ES Breakout	ES Double	NQ n	NQ Breakout	NQ Double
Low	883	97.3%	28.3%	812	94.7%	21.2%
Normal	1,049	97.9%	27.8%	1,171	96.4%	21.7%
High	723	98.5%	29.9%	819	97.3%	25.0%

Higher volatility regimes produce slightly more breakouts and more double breakouts — but the differences are modest. The IB breaks in all volatility environments.

Gap Context

Our gap fill analysis showed that gap size dramatically affects fill probability. How does gap context affect IB breakout behavior?

Gap Tier	ES n	ES Breakout	ES Med. Ext	NQ n	NQ Breakout	NQ Med. Ext
Tiny	1,420	97.9%	62.7%	1,570	96.3%	54.3%
Small	898	98.2%	67.4%	919	95.9%	56.6%
Medium	250	96.8%	64.6%	240	97.5%	61.5%
Large	54	100.0%	56.0%	49	93.9%	48.1%

Gap size has minimal effect on whether the IB breaks (it almost always does regardless), but small gaps show slightly higher median extensions. Large gap days on ES saw 100% breakout rate — but with smaller median extensions, suggesting the gap already consumed part of the day’s directional move.

Open vs Previous Day’s Range

Open Position	ES n	ES Single Up	ES Single Down	NQ n	NQ Single Up	NQ Single Down
Above range	708	40.7%	33.2%	733	38.6%	36.3%
Inside range	1,557	37.7%	29.9%	1,678	41.6%	31.5%
Below range	421	36.3%	30.4%	422	40.3%	33.2%

Open location relative to the previous day’s range shows surprisingly little effect on breakout direction for the IB — unlike gap fills, where open location is the second strongest predictor. The IB breakout behavior is more influenced by its own internal structure (tier, formation) than by the opening context.

Risk Profile: MAE & MFE from Breakout

If you enter at the IB breakout level, what’s the typical adverse excursion before the favorable move, and how far does the favorable move go?

Metric	ES Up (pts)	ES Down (pts)	NQ Up (pts)	NQ Down (pts)
Median MAE	7.25	9.00	27.00	34.25
Median MFE	8.25	9.75	30.25	35.25
MAE / ATR	0.20×	0.26×	0.19×	0.25×

The median adverse excursion from an IB high breakout is 7.25 ES points or 27.0 NQ points — about 0.20× ATR in both cases. Downside MAE is slightly larger (0.26× ATR on ES, 0.25× on NQ), reflecting the tendency for downside breakouts to see more retracement.

Risk by IB Tier (ATR-normalized)

IB Tier	ES Up MFE:MAE	ES Down MFE:MAE	NQ Up MFE:MAE	NQ Down MFE:MAE
Narrow	1.14	1.09	1.13	1.03
Normal	1.09	1.07	1.16	1.17
Wide	2.14	1.13	1.14	1.15
Extreme	0.64	0.67	0.65	0.86

The MFE:MAE ratio measures how much favorable excursion you get per unit of adverse excursion. Narrow and normal IB tiers cluster around 1.1× — meaning the median favorable move is about 10% larger than the median adverse move.

Extreme IB tiers drop below 1.0 — the adverse excursion exceeds the favorable excursion. This makes sense: when the IB is already extreme, there’s less room for further extension but plenty of room for retracement.

False Breakouts: When the IB Break Fails

Not every breakout leads to a trend day. False breakouts — where price breaks the IB boundary but closes back inside — are common.

False Break Metric	ES	NQ
First break failed (close inside IB)	34.0%	34.8%
All days closing inside IB	35.4%	37.3%
Upside break failed	45.2%	42.9%
Downside break failed	53.2%	52.2%

About one-third of all first breakouts fail — price breaks the IB boundary at some point but closes back inside. Downside breakouts fail more often than upside (53.2% vs 45.2% on ES). This is consistent with dip-buying activity that pushes price back up after a downside break.

First Break Failed — Then What?

When the first breakout fails, does price reverse and break the opposite side?

Failed Break	ES n	Then broke opposite	Closed opposite side	NQ n	Then broke opposite	Closed opposite side
Failed Up	462	37.0%	—	473	27.1%	—
Failed Down	432	31.5%	—	477	22.6%	—

On ES, when the first upside breakout fails, 37.0% of the time price subsequently broke below the IB low. When the first downside breakout fails, 31.5% broke upside. NQ shows lower reversal rates (27.1% and 22.6%). A failed first breakout on ES is a more reliable reversal signal than on NQ.

ES vs NQ: Head-to-Head Comparison

ES and NQ are highly correlated but have meaningfully different IB characteristics. All comparisons use ATR-normalized metrics where applicable, since raw point values aren’t comparable between instruments.

Metric	ES	NQ	Difference
Total cases	2,686	2,833	—
Any breakout	97.8%	96.2%	ES +1.6 pp
Single Up	38.3%	40.6%	NQ +2.3 pp
Single Down	30.9%	33.0%	NQ +2.1 pp
Double breakout	28.7%	22.6%	ES +6.1 pp
No breakout	2.2%	3.8%	NQ +1.6 pp
Median extension	63.6%	55.6%	ES +8.0 pp
100% ext up rate	18.8%	12.8%	ES +6.0 pp
100% ext down rate	20.5%	15.9%	ES +4.6 pp
MAE up (ATR)	0.20×	0.19×	Similar
MAE down (ATR)	0.26×	0.25×	Similar
First break failed	34.0%	34.8%	Similar
C-period → 100% up	45.5%	33.2%	ES +12.3 pp
Close inside IB	35.4%	37.3%	Similar
IB high = RTH high	33.0%	36.7%	NQ +3.7 pp
IB low = RTH low	40.4%	44.4%	NQ +4.0 pp

Key differences:

ES produces more double breakouts (28.7% vs 22.6%) and higher median extensions (63.6% vs 55.6%). This means ES is more likely to see both sides of the IB tested and to extend further from the IB boundaries. ES is the more “active” instrument relative to its IB.

NQ’s IB high and low are more likely to be the day’s high and low (36.7% / 44.4% vs 33.0% / 40.4% on ES). This means NQ is more likely to set its extremes during the first hour and not extend as far afterward — it captures more of the day’s range in the IB itself.

Risk profiles are nearly identical when normalized to ATR — about 0.20× ATR for upside MAE and 0.25× for downside MAE on both instruments.

C-period confirmation is notably stronger on ES: when the C-period confirms an upside breakout on ES, 45.5% reach 100% extension — vs only 33.2% on NQ.

Has the IB Changed Over Time?

Is the IB becoming more or less reliable? Are breakout rates shifting? Let’s check the year-by-year data.

Yearly Breakout Rates

Year	ES n	ES Breakout	ES Med. Ext	NQ n	NQ Breakout	NQ Med. Ext
2015	257	97.7%	60.7%	257	96.9%	55.1%
2016	207	98.1%	63.3%	258	94.6%	51.0%
2017	257	96.9%	61.1%	257	94.2%	47.5%
2018	257	98.4%	77.5%	257	98.1%	52.9%
2019	258	96.5%	56.6%	258	92.6%	53.6%
2020	259	98.1%	60.8%	259	98.8%	56.8%
2021	258	98.1%	57.9%	258	95.7%	55.2%
2022	258	97.3%	71.9%	258	96.5%	60.8%
2023	257	98.4%	68.3%	257	96.1%	59.3%
2024	259	99.2%	71.0%	259	98.5%	54.7%
2025	159	97.5%	64.2%	255	96.5%	50.6%

The breakout rate is remarkably stable — ranging from 96.5% to 99.2% on ES and 92.6% to 98.8% on NQ across 11 years. There is no degradation over time. The IB breaks with the same consistency in 2024 as it did in 2015.

Median extension shows more variability. 2018 was the standout year for ES extensions (77.5%), coinciding with the February volatility spike and Q4 selloff. 2022 was the strongest year for NQ extensions (60.8%), during the bear market with large directional moves.

The most recent period (2024–2025) shows normal behavior — no signs of the IB concept losing effectiveness.

Seasonality (Month of Year)

Month	ES Breakout	ES Med. Ext	NQ Breakout	NQ Med. Ext
Jan	98.3%	64.7%	96.6%	55.0%
Feb	97.7%	61.8%	96.8%	57.7%
Mar	100.0%	68.2%	98.3%	56.4%
Apr	98.6%	76.6%	97.4%	63.0%
May	97.8%	58.8%	97.1%	51.9%
Jun	97.9%	60.4%	94.5%	52.3%
Jul	98.4%	71.9%	95.5%	59.8%
Aug	97.4%	59.8%	93.9%	50.0%
Sep	96.3%	63.7%	95.8%	59.6%
Oct	97.7%	68.2%	97.9%	58.8%
Nov	97.7%	59.7%	97.5%	52.5%
Dec	96.2%	63.4%	93.4%	50.3%

March has the highest breakout rate on ES (100% — every March trading day in the dataset saw a breakout). April produces the highest median extensions on both instruments (76.6% ES, 63.0% NQ), typically driven by earnings season and quarter-start positioning.

December and August show the lowest breakout rates and extensions — consistent with lower liquidity and more range-bound behavior during summer and holiday periods.

Use It Live on Your Chart

All the initial balance statistics in this article are built into our TradingView indicator: IB Live Dashboard [ES/NQ] (soon).

The indicator on an ES chart: real-time IB tracking with extension levels, tier classification, breakout probabilities, C-period confirmation status, and risk metrics — all on one panel.

The indicator detects today’s IB at 10:30 AM, classifies it by tier, tracks breakout status in real time, and displays the relevant statistics on your chart — including extension probabilities specific to today’s IB tier and context.

What the indicator shows:

• Today’s IB — high, low, range, tier classification, IB direction, formation sequence
• Extension Levels — 25% through 300% targets plotted on the chart
• Breakout Probabilities — context-specific rates based on IB tier, gap, day of week
• C-Period Status — real-time tracking of C-period confirmation or failure
• Risk Info — typical MAE/MFE for the current IB tier
• Live Status — which extension targets have been hit, current breakout type

The statistics are based on 2,686 ES days and 2,833 NQ days (2015–2025), pre-computed and embedded in the script.

Explore This Data Yourself

All the initial balance breakout statistics in this article come from our IB Analytics dashboard. It runs these calculations for ES and NQ with filters for every factor discussed above — IB tier, breakout type, gap context, day of week, volatility regime, and more.

You can filter by custom date ranges, combine conditions, and explore how breakout probability and extension rates shift for specific contexts. The dashboard shows the full extension ladder, timing distributions, C-period confirmation rates, retracement analysis, risk profiles, and multi-condition scenarios.

Think of it as a data-driven initial balance analysis tool that shows you the historical statistics before the session opens.

Methodology

Parameter	Value
Instruments	ES (E-mini S&P 500), NQ (E-mini Nasdaq 100)
Data period	Jan 5, 2015 – Dec 29, 2025
ES trading days	2,686
NQ trading days	2,833
Data resolution	1-minute bars
Session	RTH 9:30 AM – 4:00 PM Eastern Time
IB window	9:30 – 10:30 AM ET (A + B periods)
C-period	10:30 – 11:00 AM ET
Breakout definition	Price exceeds IB high or IB low after 10:30 AM
Extension measurement	Percentage of IB range beyond breakout boundary
Extension targets	25%, 50%, 75%, 100%, 150%, 200%, 300%
Time horizons	By Noon (12:00 ET), By Close (16:00 ET)
IB tier classification	Narrow: <0.5× ATR14, Normal: 0.5–1.0×, Wide: 1.0–1.5×, Extreme: >1.5×
ATR calculation	14-period ATR on daily RTH OHLC bars
Gap classification	Tiny: <0.3× ATR, Small: 0.3–0.7×, Medium: 0.7–1.2×, Large: >1.2×
MAE	Maximum adverse excursion from breakout point (IB high for long, IB low for short)
MFE	Maximum favorable excursion from breakout point
Retracement	Depth of price return into IB range after initial breakout, as % of IB range
False breakout	First breakout that did not hold — price closed back inside IB
IB formation	Whether the IB high or IB low was established first (by time of occurrence)