Overnight Gaps and How They Fill

The market closes at one price and opens at another. Everything in between happened while you were asleep.

That untraded space is the gap, and this tool describes what happens next.

Gap % = (Today's Open − Yesterday's Close) / Yesterday's Close × 100

Example: INTC

Intel closed yesterday at $35.00 and opened today at $33.70:

Gap % = ($33.70 − $35.00) / $35.00 × 100 = −3.70%

Because INTC opened $1.30 below its prior settlement, the stock registered a 3.70% gap down.

Filled or held

For every gap, the engine asks one thing: did price get back to yesterday's close before the bell?

If it did, the gap filled. If it didn't, the gap held.

Both days gapped down by the same amount. Only the close decides which one filled.

Gap filled: the session's closing price trades back through yesterday's closing price.
Gap held: the session's closing price fails to reach yesterday's closing price, leaving a residual price void at the bell.

See today's gaps

Matching on size and direction

The tool ranks today's gap against every gap that ticker has ever printed.

Gap downs get compared to gap downs only, never against up gaps and vice versa. The two behave differently, and mixing them just muddies the sample.

For example, if INTC's gapped down 3.70% the tool looks for gap downs similar in size to 3.70%.

Bigger gaps fill less

You've heard the term "gaps always fill". On a same-day basis the data says the opposite. They don't fill very often, and the bigger the gap, the worse the odds.

Same-day fill rates by gap size, INTC.
Gap size	Gap Fill Rate
0.5 to 1%	30%
1 to 2%	19%
Over 3%	9%

The bigger the gap, the less often INTC closed it by the bell. A gap of 0.5 to 1% filled 30% of the time; above 3%, 9%.

Key takeaway

Once an overnight gap exceeds 3.00%, same-day fill probabilities fall to roughly 9%. Expecting a large gap to fill before the bell runs directly counter to the historical odds.

Open-to-Close Drift

The tool looks at more than just gap fill rates.

It also tells you what happened after the open.

Average open-to-close return. Measures the move from the opening print to the closing print of every similar gap. The gap itself drops out of the math. All this asks is what was the average move after the gap.

Open-to-close green odds. Counts how many of those same sessions closed above their open. The gap plays no part here either. All this asks is which direction price went after the gap.

Intraday Return % = (Close − Open) / Open × 100

Tool Glossary

The Basics

Gap

The difference between today's open and yesterday's close, in percent. It is the part of the move that happened overnight, before anyone could trade it in regular hours.

Gap fill

When price trades back to the prior close, closing the gap it opened with.

Market open

9:30 AM ET, when regular trading begins. The gap between the open and the prior close carries everything that happened overnight.

Market close

4:00 PM ET, when the regular session ends. The tool uses the closing time to measure the open-to-close moves of previous similar gaps.

The Readings

Gap fill rate

The share of that ticker's past gaps of similar size and direction that closed by the bell.

Average open-to-close return

The mean move from the opening print to the closing print across the matched sessions.

Open-to-close green odds

The share of matched days that closed above their open.

Gap Fills Tutorial