Gap Fill

What a gap and a fill are

A gap is the difference between the prior close and the next open. If the market opens above the prior close, it is a gap up. If below, it is a gap down. A gap fills when price later returns to the prior close, closing the distance.

Gaps happen because trading continues overnight in futures and in other regions while the US cash market is closed. News, earnings and economic releases push prices away from the previous close, and the cash market opens at a different price.

Full and partial fills

A full fill means price reaches the prior close. A partial fill means it moves toward it but stops short. Many gaps partially fill and never complete, and others fill within minutes. How a gap behaves depends on its size, the cause, and the overall market trend.

Traders sometimes classify gaps. A common gap in a quiet market with no news is often seen as more likely to fill. A breakaway gap that follows significant news or a technical breakout is often seen as less likely to fill quickly. These are tendencies reported by traders, not rules.

How traders think about it

The idea is that the prior close is a reference of agreed value, and a market that has moved away from it may return to test it. Some traders plan around that, looking for fills as a way to describe where the market is heading after an open. Others treat gaps as signals of strength or weakness and expect continuation.

Both can be right on different days. That is why a gap fill is better thought of as one of several scenarios than as a prediction. The evidence after the open, such as acceptance or rejection near the open and the first hour range, helps decide which scenario is unfolding.

Measuring gaps

Gap size is measured in points or in percent. The gap percentage calculator on this site computes it from the prior close and the open. The overnight gap calculator estimates the SPY reference open from the ES overnight move, which gives an idea of the likely gap before the cash open.

Context matters: a 0.2 percent gap in a calm market is routine, but the same gap after a significant event can be very different.

A routine for evaluating a gap

Before the open, estimate the gap from the overnight futures move. After the open, record the actual gap, its cause if one is known, and whether it is inside, above or below the prior range. Then watch the first half hour for acceptance or rejection near the open.

Keep a log of gaps by size and cause for your instrument. Over time you can see how often small gaps fill the same day, how large gaps behave, and which catalysts produce continuation. Personal data beats general statistics because behavior varies by market and period.

Gap fill versus gap and go

Gap and go describes a gap that continues in its direction without returning to the prior close, while gap fill describes a return. Both happen regularly. The market is not choosing between them in advance; its behavior after the open reveals which is happening. Treat both as scenarios to evaluate, and avoid committing to one before the evidence arrives.

Worked example

Common mistakes

• Assuming that all gaps fill. Many do not, especially after significant news.
• Ignoring the cause of the gap. A news-driven gap behaves differently from one with no catalyst.
• Treating the fill as a target without any other evidence.
• Forgetting that dividends can create apparent gaps in ETFs on ex-dividend dates.

How it connects to ES, NQ, SPY and QQQ

The overnight ES and NQ moves are what create most gaps in SPY and QQQ. The ES overnight move divided by roughly 10 estimates the SPY gap, and the NQ move divided by roughly 41 the QQQ gap, which is how LiquidityLevels expresses the overnight repricing in ETF terms.

Briefings describe the overnight range and structure so that when the market opens with a gap, the context of the move is already known.

Frequently asked questions