Fractiz
Pattern Detail
Gap Fill Rate
How often overnight gaps close back to the prior session's close during the following regular trading hours.
Overall Fill Rate
49.5%
of 2,908 RTH gaps in NQ filled during the same session
Gap Threshold
0.25%
Minimum move from prior RTH close to register as a gap
Sample Range
1m
2008-01-02 to 2026-02-24
Direction Breakdown
Gap Up
- Occurrences
- 1,633
- Same-day fill
- 47.6%
- Avg bars to fill
- 88
- Avg adverse move
- 0.9%
- Continuation rate
- 52.4%
Gap Down
- Occurrences
- 1,275
- Same-day fill
- 52.0%
- Avg bars to fill
- 89
- Avg adverse move
- 1.0%
- Continuation rate
- 48.0%
Fill Rate by Gap Size
| Size Bucket | Range | Gap Up (fill %) | Gap Down (fill %) |
|---|---|---|---|
| Small | 0.25%–0.50% | 60.4% (690) | 68.5% (495) |
| Medium | 0.50%–1.00% | 44.8% (609) | 49.1% (462) |
| Large | 1.00%–∞ | 26.0% (334) | 30.5% (318) |
Recent Occurrences (20)
| Date | Direction | Size | Filled | Bars to fill |
|---|---|---|---|---|
| Feb 23, 2026 | Down | -0.37% | No | — |
| Feb 20, 2026 | Down | -0.60% | Yes | 7 |
| Feb 19, 2026 | Down | -0.50% | Yes | 111 |
| Feb 17, 2026 | Down | -0.36% | Yes | 5 |
| Feb 12, 2026 | Up | +0.27% | Yes | 16 |
| Feb 11, 2026 | Up | +0.79% | Yes | 42 |
| Feb 9, 2026 | Down | -0.35% | Yes | 12 |
| Feb 6, 2026 | Up | +0.50% | No | — |
| Feb 5, 2026 | Down | -0.90% | No | — |
| Feb 3, 2026 | Up | +0.30% | Yes | 5 |
| Feb 2, 2026 | Down | -0.52% | Yes | 7 |
| Jan 30, 2026 | Down | -0.61% | No | — |
| Jan 28, 2026 | Up | +0.68% | No | — |
| Jan 27, 2026 | Up | +0.53% | No | — |
| Jan 22, 2026 | Up | +1.01% | No | — |
| Jan 20, 2026 | Down | -0.61% | Yes | 72 |
| Jan 19, 2026 | Down | -1.53% | No | — |
| Jan 16, 2026 | Up | +0.58% | Yes | 31 |
| Jan 15, 2026 | Up | +1.13% | No | — |
| Jan 14, 2026 | Down | -0.63% | No | — |
Detection scan: NQ 1m · 2008-01-02 to 2026-02-24 · generated Apr 26, 2026
What this pattern measures
A gap is when a session’s regular-trading-hours (RTH) open prints meaningfully away from the previous RTH close. This page measures how often those gaps “fill” (price returns to the prior close) during the same session, and how that fill rate depends on gap size.
Definitions used on this page:
- RTH is 08:30 to 15:00 Central Time for CME equity index futures, matching the NYSE/Nasdaq cash session.
- A gap is recorded when the first RTH bar’s open is at least 0.25% away from the previous RTH session’s close.
- A gap “fills” if, at any point during the same RTH session, price touches the previous RTH close.
Why it matters
Gap fill rate is one of the most-cited bits of retail trading folklore. The common claim that “most gaps fill” is directionally correct for small gaps and meaningfully wrong for large ones. The numbers below break down by gap size, instrument, and date range so you can calibrate against the specific market you’re trading rather than a generic aggregate.
How to read the numbers
- Fill rate is the fraction of gaps that closed back to the prior RTH close before that same session ended.
- Avg bars to fill is the average number of 1-minute bars into the session before a filled gap actually filled. Only filled events contribute.
- Avg adverse move is how far price extended in the gap direction before reversing to fill, expressed as a percentage of the prior close. Answers: “if I faded this gap immediately, what’s the worst open-trade pain on average before the fill?”
- Continuation rate is the share of gaps that didn’t fill. Unfilled gaps tend to signal that the overnight move carried real information and price kept going.
What’s not here
- Multi-day fills. The page only tracks same-session fills.
- Cross-instrument correlation, for example whether gaps in NQ and ES tend to fill together.
- Regime conditioning: trend vs. chop, high-vol vs. low-vol.