Gap Fill Probability: Why Most Gaps Don't Fill the Day They Open

Gaps create immediate urgency. The market opens above or below the previous close due to news breaking overnight , and within seconds, traders decide: fade it or chase it? The answer depends on one data point that most futures traders don't check first: gap fill probability.

The harsh truth traders discover too late: roughly half of all 1%+ gaps get filled intraday . More precisely, about 45% of 1-1.99% overnight gaps were fully filled on the same day for the Nasdaq 100, and for gaps of 2% or more, the intraday fill rate drops to roughly 30%-33% . That matters because it means your "sure thing" gap fade has less than a coin flip's edge if you don't know the gap's size relative to volatility.

The Gap Size Rule: Bigger Gaps Don't Fill as Often

The probability of an overnight gap being filled increases as days progress; the larger the gap, the lower the probability that it will fill . Two concrete examples: a gap of size 5-10% move has a 70% chance of filling within 5 days, but a near 90% chance of filling after 50 days . A gap size of 35-40% has a 15% chance of filling within 5 days and a 40% chance of filling after 50 days .

For a day trader, those numbers collapse immediately to intraday. If the price gaps down 0.15%, there is a pretty high probability (92%) that the price will fill the gap at some point during the day . But even if the price gaps down 0.35%, which requires a bigger move for the gap fill, the odds of a fill are still quite high at 69% .

The pattern is mechanical: the bigger the gap, the less likely it is to get filled immediately. Big news-driven gaps often create momentum that day (at least initially), whereas more modest gaps are easier for the market to mean-revert .

The Real Problem: Identifying Gap Type in Real-Time

Size alone doesn't tell the whole story. The entire strategy hinges on correctly identifying the gap type - common, breakaway, runaway, or exhaustion - yet this is genuinely hard in real time, and the exhaustion gap in particular often can only be confirmed in hindsight .

Breakaway gaps fill less than 30% of the time within the first week , which is why traders who chase earnings gaps on news often win - the gap wasn't meant to fill. Conversely, exhaustion gaps fill 75-85% of the time within 5 trading sessions , so fading those produces steady wins if you can spot them.

The problem: you can't. Misclassifying a gap leads directly to choosing the wrong strategy: fading a runner or chasing a filler. This irreducible uncertainty means even well-read gap trades fail regularly, and stops are non-negotiable .

When Gaps Almost Never Fill: The Anti-Pattern

For ES and NQ futures specifically, large gaps in volatile markets that open outside the previous range almost never fill - when all three align, the fill rate drops to around 21% . These are "gap-and-go" days where fading the gap is a losing strategy .

The inverse signal is rare but powerful: a gap down but overnight rally has an 83.3% fill rate - this signal is rare (30 cases observed) but the logic is sound: it means the gap is already being faded before RTH opens .

The Core Trade: Overnight Gaps vs. RTH Gaps

Futures gaps form between one RTH close and the next RTH open, with overnight (Globex) trading in between. The overnight session often partially fills or extends the gap before RTH even opens. This context makes futures gap data specific to the conditions futures traders actually face .

This is crucial for prop traders. A simple gap-down fade strategy on the ES with an average gain per trade of 0.48% and a profit factor of 1.8 works reasonably well, most likely because of the extra risk premium of the gap down opening .

Why This Matters for Your Account

Gap fills aren't a high-conviction setup. They're a probability game with harsh execution constraints. Volatility and execution risk are limiting factors - gaps form on news and at the open, when markets are most volatile, spreads are widest, and slippage is worst. Entering too early into this chaos, or sizing positions as if it were a normal market, can produce outsized losses .

For evaluation traders, that execution slippage can eat the entire profit margin of a gap fade. For funded traders running thin, the whipsaw risk is real: you fade a 0.2% gap, it fills at 0.1%, you're out. It reverses, gaps back open, now you're long into a gap-and-go day with a drawdown hit.

The mechanical edge exists, but it's smaller and messier than it looks from the charts.

Rules for Trading Gaps Mechanically

If you trade gaps, the data suggests:

1. Define your gap size first. Don't start size until you've tested your specific contract's fill probabilities. NQ behaves differently than ES. Micros are different still.

2. Filter out large gaps. Determine your definition and what constitutes a significant change. Consider the history of the futures contracts you trade and your unique risk tolerance .

3. Wait for the opening range. The 15-minute close is used instead of the opening bell because the initial price reaction is often noisy. When institutional buyers drive a significant gap, they typically follow through with additional buying. The 15-minute consolidation after the open gives a defined risk level .

4. Stop beyond the gap extreme. Always use a stop placed beyond the gap extreme for fades or below the opening range for momentum trades .

Prop firm rules change frequently - always confirm the current rules with your firm. Trading futures involves substantial risk of loss.

References

• Gap Fill Probability Study - Afraid to Trade
• Fading the Gap: How SPY and QQQ Overnight Moves Play Out - SharePlanner
• Gap Fill Strategy: 2,791 Days of NQ Data (2015-2025) - TradingStats
• Gap Trading Strategy Complete Guide (2026) - Quantum Algo
• Gap Trading Strategies - QuantifiedStrategies.com
• Gap Trading Strategies - Optimus Futures
• Gap Trading Strategy - TradeAlgo

Key definitions

Gap - A discontinuity between the closing price of one trading session and the opening price of the next, typically caused by overnight news or market events.

Gap fill - The subsequent price movement that closes the gap by returning price to the previous session's closing level.

Breakaway gap - A gap that occurs at the beginning of a significant price trend and has a low probability of being filled, typically occurring on directional news.

Exhaustion gap - A gap that occurs near the end of a price move and has a high probability of being filled within days, signaling potential reversal.

RTH (Regular Trading Hours) - The official market session for a futures contract, typically 9:30 a.m. To 4:00 p.m. ET for US equity index futures.

Globex - The CME's electronic trading platform where futures trade continuously outside regular trading hours, including overnight sessions between RTH close and open.

Gap-and-go - A market condition where a large gap opens outside the previous day's range in volatile conditions and rarely fills intraday, indicating sustained directional momentum rather than mean reversion.

Educational research on historical data only - not investment advice, not a signal, and never a performance promise. Past results do not predict future performance. Drafting uses AI assistance; every citation is link-verified before publication and every paper is re-audited weekly against the library's editorial standard. Last reviewed by the PropLedger research pipeline: 2026-08-26. Educational research on historical data; not financial advice.