Reading context

Monday 21 September 2026, 10:00 ET (21:00 ICT). In its first 30 minutes NQ rose 194 points, and buyers who crossed the spread outnumbered sellers by 2,250 contracts. Tuesday 22 September, 10:00 ET: almost the same picture, a 165-point rise and a buyer surplus of 2,786 contracts. Same signal, two days in a row. Monday covered 646 points by the close, Tuesday 302. Could you have known before the bell that the two mornings differed? Partly. This lesson shows the five lines that would have told you, and the one thing they cannot.

Key terms

Context (bối cảnh): where today’s market stands relative to what has already been traded, written down before the open Definition. In this course it is five lines on a sheet.

True gap (khoảng trống giá thật): the regular session opens outside the prior session’s whole range, above its high or below its low Definition. An open outside the prior value area (vùng giá trị: the range where about 70% of the prior session’s volume traded, M1.01) but inside its range is weaker: “outside value”. The third case is “inside value”.

Overnight session (phiên qua đêm): Globex trading from 18:00 ET the evening before to the 09:30 ET open Definition. Its high and low are known before you start.

Term you need: delta. Delta is the number of contracts bought by traders who crossed the spread (lifted the offer) minus the number sold by traders who hit the bid. “+2,250 in 30 minutes” means aggressive buyers outnumbered aggressive sellers by that many contracts. M3.04 teaches it properly; here it is simply “the signal”.

Chart first: one signal, two contexts

What to see: the first bar looks alike on both sides; what differs is where it sits. On Monday the whole day prints far above Friday’s value. On Tuesday the strong first bar runs into prices Monday had already traded heavily.

How it works

The five-line sheet

A signal is an event. Context is the map you place the event on. You write the map before 09:30 ET, in one sentence per line House rule:

1. Prior session: high, low, close and value area (M1.04 adds the day type).
2. Overnight: high and low, and whether the night traded above or below the prior close.
3. Gap: open minus prior close, in points, and that as a share of an average day’s range.
4. Open location: true gap, outside value, or inside value.
5. Scheduled news: what is released today and at what ET time (REG6.01 owns the event clock).

Monday’s sheet, written at 09:25 ET:

NQ, Mon 21 Sep 2026
(1) Fri: range 29,659.25-29,937.75, close 29,916.50, value 29,694-29,820
(2) Overnight: 29,904.00-30,275.00, all of it above Friday's value
(3) Gap: about +306 pts (open 30,222.00), roughly 0.8 of an average day
(4) Location: true gap up, 284 pts above Friday's high
(5) News: none on our list (check your calendar)
Read: the market has already moved away from Friday's prices.
Ask: does it keep trading up here (acceptance) or come back into Friday's range?

Tuesday’s sheet: prior range 30,216.50–30,862.75, value 30,513–30,862, overnight 30,670.00–30,916.50, gap −20 points, open 30,764.25 inside value.

Why the sheet changes what a signal means

Order-flow signals describe what traders did over a short time, not where it happened. A buyer surplus that pushes NQ out of a prior range, after a night that already left that range, is buying at new prices. The same surplus inside yesterday’s value is buying at prices both sides already traded heavily. The print is identical; the question it answers is different Definition.

So the sheet does two jobs. It tells you which question to ask (Monday: “is the move away accepted?”; Tuesday: “does price leave Monday’s value at all?”). And it tells you how wide a day to plan for, which is the part the lab could measure.

Gaps and the overnight

A true gap is the overnight session claiming new prices. The morning’s job is to test that claim: either trading holds out there (acceptance, M1.07) or it returns into the prior range. Below about half an average day, the prior close is not special: it is reached about as often as any price the same distance away (REG4.01 owns those numbers).

Myth / hypothesis: “The open tests the overnight high or low first.” A common teaching line, not yet measured by our lab: a hypothesis to count, not a fact Lore.

What the data says

Our lab tested whether context makes a level work better. It took every pre-market level within 0.25 ATR of the open (ATR, biên độ trung bình, is the average daily range over 14 sessions) and split the days by gap size. Then it compared how often each level held with random prices at the same distance.

What context did change was the width of the day MeasuredNasdaq index. On QQQ, days that opened with a gap of at least 0.5 ATR had a regular-session range of 0.91 ATR (123 days, first period) and 0.86 ATR (72 days, second period), against 0.77 and 0.76 on the other days. SPY showed the same in both periods, and on those wide days every price, real level or random, stalled less often.

Worked example: Tuesday’s plan, long side

Tuesday’s sheet says: inside Monday’s value, no gap, overnight 30,670.00–30,916.50. Context does not say “buy”. It says “expect an ordinary-width day, and the question is whether price leaves Monday’s value.”

A conditional long plan, written before the open House rule: if price trades above Monday’s high (30,862.75) and holds above it for the next 30 minutes, the move out of Monday’s value is being accepted; invalid back below 30,862.75. On Tuesday the first bar closed at 30,929.50 and the next one stayed at 30,908.50 or higher, so the condition was met at 10:30 ET. For size, an inside-value day has no reason to be wide, so about 300 points was a sensible planning number for the day, not 600. The rest of the day traded 30,885.75 to 31,065.50: 136 points beyond the 10:00 close, never back below 30,862.75.

The mirror and the failure

The mirror. On a true gap down the sheet reads the other way: the overnight claims lower prices, and the question is whether trading holds below the prior low or comes back inside. The width result is about gap size, up or down.

The failure. Look at what the sheet did not tell you. On Tuesday, the inside-value day, NQ still closed 265 points above its open. The context gave a fair width, not the direction, and a trader who read “inside value” as “fade the first push” sold 30,929.50 into a day that ended at 31,029.25. Context ranks questions; it does not answer them.

Placebo check: context did not rescue the levels

Do it on the platform

Prop-firm note. Line 5 matters twice on an evaluation account: firms restrict trading around some scheduled releases. PROP2.06 shows those windows from the firm’s dated rule pages.

Common mistakes

Common mistake: treating context as an edge. “Big gap, so the overnight high is safe to buy” turns a description into a forecast. Our lab found named levels held at the random-price rate on big-gap days too. Use the gap to plan the width of the day, not to trust a line.

Common mistake: skipping the sheet because the first minutes look obvious. On 21 and 22 September they looked almost the same; only the written context told the days apart.

Drill: write the sheet for 22 October 2026

Prior session (21 Oct): range 29,771.00–30,113.00, close 29,997.75, value area 29,883–30,088. Overnight 29,417.00–29,993.25. NQ opens at 29,516.00 (09:30 ET, 20:30 ICT). Average true range about 530 points.

1. Write lines 1 to 4.
2. Classify the open.
3. Using the lab’s width result, what kind of day do you plan for?

What we don’t know yet

• Whether the overnight high or low is tested first after the open: not yet measured.
• Whether context changes order-flow signals (rather than levels) at a zone: not yet measured; M4.09 sets the rule the lab will score.
• The width result on NQ futures over a long sample: measured on the Nasdaq-index proxy, NQ extrapolated.

Recap

• Write five lines before the open: prior session, overnight, gap, open location, news.
• The same signal answers a different question in a different context; the sheet tells you which question.
• In our lab’s test, big gaps came with wider days on the Nasdaq-index proxy.
• Context did not make named levels hold better than random prices at the same distance.

Further reading

• James F. Dalton, Eric T. Jones and Robert B. Dalton, Mind Over Markets (updated edition, 2013): open location, overnight inventory and acceptance in the auction framework.
• Auction Market Theory: gaps and opens described as auction behaviour.
• Market Profile Course 1: Introduction: the overnight session versus the day session.
• Our lab: pre-market levels against a distance-matched placebo on 721 sessions, split by gap size, volatility and event days; and this lesson’s two NQ mornings, counted from our own tick recording.

Prerequisite: M1.04 (day types, line 1 of the sheet) and M1.05 (opening types). Next: M1.07, the three questions, because once the sheet is written you need a way to judge, bar by bar, whether the market is accepting or rejecting the prices it names.

Educational content only. Not financial advice. Futures trading involves substantial risk of loss.