Small ones, almost always; big ones, no. Gaps smaller than a tenth of a normal day's range filled 93% of the time, mostly in the first hour. Gaps bigger than a whole normal day filled only 19%. And trading the fill, after costs, averaged −$2.66 per day (±$11.99): there's no edge in it.
We measured 1,790 Micro Nasdaq sessions (2019-2026). The gap is the 9:30 am open against the previous 4:00 pm close, as a multiple of the median daily range of the 20 previous sessions. A gap "fills" when price touches the previous close before 4:00 pm.
How often it fills, by size
| Gap size | Days | Filled | Filled in the first hour | Fade it: average per day |
|---|---|---|---|---|
| 0× – 0.1× | 317 | 93% | 89% | −$2.05 ± $11.12 |
| 0.1× – 0.25× | 417 | 79% | 66% | −$3.11 ± $18.59 |
| 0.25× – 0.5× | 490 | 56% | 36% | −$16.05 ± $21.92 |
| 0.5× – 1× | 421 | 36% | 13% | $9.33 ± $29.54 |
| over 1× | 145 | 19% | 1% | $7.81 ± $75.05 |
"Fade it": sell the gap up (or buy the gap down) at the 9:30 open with 1 MNQ, target the previous close, exit at 4:00 pm if it doesn't get there. Commission $1.20 and 1 tick of slippage on entry and on the closing exit. ± is the 95% margin of error.
Why "the gap always fills" doesn't pay
- The filled gaps are the small ones. They fill often, but they're worth a few points: after costs, fading them averaged −$2.05 a day.
- The big ones rarely fill, and every day is a lottery. Their average result swings so much (±$75.05 of margin of error) that it says nothing either way.
- Hit rate isn't profit. Overall 68% of the trades made money, yet the average was −$2.66; it lost money in 5 of 8 years.
What it's good for
- Context, not a signal: on a small gap, the previous close is a level price will very likely visit. On a big gap, don't assume it.
- Size and stops: rather than the gap, watch the first hour: a busy first hour does predict a busy afternoon (see what the first hour predicts).
- If you still want to trade it, test it with your own rules and costs first, with enough trades (how many?).
Educational content based on our own experience. Not investment advice. Firm rules change: check them on each firm's website. This article contains no affiliate links.