The headline number
A gap forms when the regular session opens away from the prior day's close, on a news catalyst, an overnight move, or a weekend of accumulated flow. We measured every gap on NQ and ES from 2020 to mid-2026 and asked whether price returned to the prior close before the 16:00 ET bell.
of 1,661 gapped sessions · avg gap 98 pts
of 1,629 gapped sessions · avg gap 23 pts
A little better than a coin flip, and roughly the same on both indices. Traded blindly, "fade the gap" is barely an edge. The edge lives one level down, in how big the gap is.
Fill rate collapses with size
This is the whole study in one table. Small gaps almost always fill; large gaps usually don't. On NQ, a sub-10-point gap fills 96.4% of the time, an 80-point-plus gap only 38.1%. The relationship is monotonic on both instruments.
| Gap size (points) | NQ fill % | ES fill % |
|---|---|---|
| 0 – 10 pts | 96.4% | 84.2% |
| 10 – 20 pts | 86.2% | 63.6% |
| 20 – 40 pts | 82.7% | 37.7% |
| 40 – 80 pts | 63.8% | 27.5% |
| 80 pts + | 38.1% | 11.3% |
The buckets are in points, and a point is not the same size on both markets, ES trades near 5,600 and NQ near 20,000, so 10 ES points is a far larger percentage move than 10 NQ points. That is exactly why ES fills less readily at every bucket: its "10-point" gap is structurally bigger. Compare fill rates within an instrument, not across the point columns.
Intraday Key Levels
Plots the prior-day close, the level a gap is measured against and fills back to, alongside PDH, PDL, and the session pivots, so the gap and its target are on the chart at the open.
See the Intraday Key Levels indicator →Gap up vs gap down
Direction barely moves the needle. Gaps down fill slightly more often than gaps up on both instruments, but the difference is a percentage point or two, not a tradable asymmetry on its own.
| Gap direction | NQ fill % | ES fill % |
|---|---|---|
| Gap up (open above prior close) | 59.8% | 57.2% |
| Gap down (open below prior close) | 61.0% | 59.8% |
What it means for your trading
- ·"Fade the gap" needs a size filter. The base fill rate (~60%) is weak; the small-gap fill rate (85–96%) is where the edge is.
- ·Big gaps are continuation, not fade. An 80-point NQ gap fills only 38% of the time, and an equivalent ES gap 11%. Large gaps favor going with the move, not against it.
- ·Size in the instrument's own terms. Judge a gap by its recent range, not a fixed point count, the same point value means different things on ES and NQ.
- ·Direction is close to neutral. Gap-down fills marginally more; it isn't an edge by itself.
A gap is measured against, and fills back to, the prior day's close. For how often price revisits the prior day's extremes more broadly, see the previous-day high/low hit rate; for the first-hour range that frames the open, the Initial Balance break study.
Methodology
- Instruments
- NQ (E-mini Nasdaq-100) and ES (E-mini S&P 500), from continuous MNQ/MES micro-contract prices, the identical price series.
- Sample
- NQ n = 1,661 · ES n = 1,629 gapped sessions
- Period
- 2 Jan 2020 – 30 Jun 2026 (~6.5 years)
- Gap
- RTH open minus prior RTH close
- Fill definition
- Price trading back through the prior close at any point before the 16:00 ET close
- Data
- 1-minute bars, US/Eastern; Steady Turtle proprietary session database
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