SPX 0DTE: What an Opening Gap Tells You About the Day

An opening gap often feels like it sets the tone for the day. We tested how well this holds up in the S&P 500 across 33 years of sessions. The findings are clear: gaps are quite reliable at predicting whether they will fill, but they offer almost no edge on the direction of the close. Small gaps usually get filled, while large gaps are more likely to run.

Everything in one table

Here is every gap size against the three things a 0DTE trader cares about:

1. the average open-to-close move
2. the odds the day closes above the open
3. how often the gap fills (price trading back to the prior close at any point in the session)

Opening gap	Days	Open to close avg	O->C Green %	Fills	Touched & reversed
Big gap down (>1%)	369	+0.11%	52%	40%	24%
Gap down (0.5 to 1%)	643	−0.04%	51%	47%	25%
Small gap down (0.1 to 0.5%)	1,804	+0.01%	54%	73%	36%
Flat (within 0.1%)	1,748	+0.02%	51%	n/a	n/a
Small gap up (0.1 to 0.5%)	2,575	−0.03%	51%	68%	36%
Gap up (0.5 to 1%)	911	0.00%	54%	47%	26%
Big gap up (>1%)	353	+0.17%	60%	31%	19%

Direction is close to a coin flip

Run your eye down the green column and it barely moves. Whether the market gapped up or down, the day closed above its open about 51 to 54 percent of the time, hugging the 52.5 percent baseline you get on any random day. The average open-to-close move in every bucket rounds to nearly zero. The one mild exception is a big gap up of more than 1 percent, which closed green 60 percent of the time, a small continuation lean. A sharp gap down did not keep sliding either: it closed green about as often as a coin toss, so the reflex to sell a gap down has no support here. For calling the day's direction, the gap is a weak input.

How often gaps fill comes down to size

Fills are where the gap actually carries information, and the driver is the gap's size rather than its direction.

A small gap of 0.1 to 0.5 percent filled about 70 percent of the time. A big gap of more than 1 percent filled only 30 to 40 percent. The pattern is smooth and roughly symmetric: the larger the gap, the less likely the prior close gets tagged before the bell. Gap downs filled a little more often than gap ups of the same size, since the market is quicker to buy back a dip than to give back a pop, but that direction effect is small next to the size effect. The practical read for a same-day trade: a small gap is likely to close, a large gap is likely to hold.

When a gap fills, what happens next is a coin-flip

Filling the gap does not dictate what happens next. After price traded back to the prior close, it reversed and closed on the gap's original side 54% of the time following up gaps and 50% of the time following down gaps. This suggests the prior close acts as a short-term magnet, particularly for smaller gaps that reach the level more often, after which the odds of a bounce versus a break are close to even.