The Overnight Session Edge Nobody Talks About

Most retail traders treat the overnight session as dead time. They check the close at 4 PM, step away, and return at 9:30 AM to see where the market opens. In between, 17.5 hours of trading happened -- and they missed all of it. The Extended Trading Hours (ETH) session runs from 6 PM to 9:30 AM Eastern Time. That is nearly three-quarters of the total trading day. During this window, Asian and European markets open, economic data from overseas is released, and institutional desks in London and Tokyo are actively trading ES and NQ futures. Ignoring the overnight session means ignoring the majority of the market's operating hours. The overnight range, the levels tested and rejected, the gaps created -- all of this information is available before the Regular Trading Hours (RTH) session opens. Traders who incorporate overnight data into their morning prep have a structural advantage over those who do not.

The overnight session is a fundamentally different market than RTH. Liquidity is thinner, spreads are wider, and the order book is dominated by different participants. Institutional algo flow drops significantly after 5 PM, and what remains is a mix of Asian and European institutional flow, retail futures traders, and systematic strategies running on global schedules. This thinner liquidity creates distinct behavior. Moves that would be absorbed in 30 seconds during RTH can extend for minutes in ETH. A 10-point ES move during RTH might require $500 million in directional flow. The same move overnight might require $50 million. This is why overnight sessions sometimes produce exaggerated reactions to news that RTH later corrects. Volatility clustering behaves differently overnight as well. The ETH session has its own volatility signature that is partially independent of the prior RTH session. A quiet RTH day can be followed by an active overnight if European economic data surprises or if Asian markets move sharply. This is why Curistat rates ETH and RTH independently -- they are correlated but not the same.

The gap between the RTH close and the RTH open is one of the most information-rich data points available to a day trader. It tells you what happened while most domestic participants were away, and it sets up the first trading decision of the session: will this gap fill, or will it hold? Gap behavior is not random. Historically, small gaps (under 0.3% of the prior close) fill within the first 90 minutes of RTH roughly 65-70% of the time. Large gaps (over 0.5%) are more likely to represent genuine overnight repricing and fill less often -- closer to 40-45% of the time. The distinction matters: fading a small gap is a high-probability mean reversion trade, while fading a large gap is fighting a trend. The overnight range provides additional context. If the gap is large but the overnight range was narrow (the move happened in a single burst), it is more likely to be an overreaction. If the gap is large AND the overnight range was wide (the move built progressively through Asia and Europe), it is more likely to represent genuine institutional repositioning that RTH will respect. Combining the gap size, overnight range, and the ETH volatility rating gives you a structured way to evaluate the opening setup before the bell rings. This is not a trade signal -- it is context that sharpens your reading of the first 30 minutes.

Curistat provides independent volatility ratings for both ETH and RTH sessions. The ETH rating reflects overnight conditions: how active was the session, how wide was the range, and what does the overnight behavior suggest about the coming RTH session. A high ETH rating (7-8) combined with a high RTH forecast (7-8) signals a genuinely volatile 24-hour period. Both sessions are expected to produce wide ranges. This combination appears around major economic releases (CPI, NFP) or during global risk events that affect all time zones. A high ETH rating with a low RTH forecast is less common but meaningful. It suggests the overnight session was reactive (perhaps to overseas data or a geopolitical event) but the domestic session is expected to stabilize. Gap-fill trades have elevated probability in this scenario because the overnight move may have overshot. A low ETH rating with a high RTH forecast is the classic "calm before the storm" setup. The overnight session was quiet, but the RTH session has an event catalyst (FOMC, earnings) that is expected to drive movement. Pre-positioning overnight was minimal because participants are waiting for the domestic catalyst. The relationship between ETH and RTH ratings is itself a data point. When they agree, the thesis is straightforward. When they diverge, the divergence tells you something about market structure and participant behavior that is worth incorporating into your plan.

A practical framework for incorporating overnight data into your trading: Before bed (after RTH close): Note the closing price, the RTH high and low, and the current volatility rating for the next ETH session. Set price alerts at key levels -- prior day high, prior day low, and any significant support/resistance zones. If the ETH forecast is elevated, you know overnight movement is likely. Before the open (7-9 AM): Check what happened overnight. Note the ETH high and low, the current price relative to the prior RTH close (the gap), and any levels tested and rejected overnight. Check the ETH rating to see if overnight activity matched or exceeded expectations. Key overnight levels to mark on your chart: the ETH high, the ETH low, the ETH VWAP, and the overnight point of control (the price level with the most volume). These levels act as support and resistance during RTH because institutional participants who traded overnight are defending positions at these prices. Opening strategy: If the gap is small and the overnight range was tight, expect the first move to be a test of the overnight range boundary. If the gap is large with wide overnight range, expect the market to reference the ETH VWAP as a magnet. If overnight was quiet but the RTH forecast is high (event day), expect the real move to start after the catalyst, not at the open. The overnight session is not a separate market. It is the first three-quarters of your trading day. Treating it as context rather than ignoring it is one of the simplest edges available to futures traders.