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GAP FILL PROBABILITY

Not every gap is the same gap. Size it, classify it, and check it against real historical fill rates before you decide whether to fade it.

⚠ Price data from embedded widgets below runs on a delay (typically 10–15 min) and is not a live trading feed. Confirm exact levels in your own platform before acting.

Size Today's Gap

Not All Gaps Behave the Same

A gap isn't automatically a signal to fade or to chase — what kind of gap it is matters more than the fact that it exists. The same 0.5% gap can mean completely different things depending on where it happens in the broader trend.

COMMON GAP
Small, no real catalyst — usually just overnight noise. These fill most often and fastest, since there's nothing fundamentally new to reprice.
BREAKAWAY GAP
Happens at the start of a new move, often on real news. These often don't fill soon — the market is repricing to new information, not just gapping on noise.
RUNAWAY / CONTINUATION GAP
Occurs mid-trend, signals the existing move has strength. Filling this gap would mean the trend is breaking down — so these tend to hold.
EXHAUSTION GAP
Comes after an already-extended move — the market's last gasp in that direction. These fill more often than the other types, since they often mark a reversal.

What The Data Actually Shows

Gap size Same-day fill rate
Tiny (< 0.3× ATR) ~93% with ORB confirmation
NQ baseline (all sizes) ~60% overall
Gap down vs. gap up ~62% vs. ~59%
Common gaps (no catalyst) ~70–75%
Median time to fill (tiny gap) ~7 minutes
Median time to fill (small gap) ~74 minutes

Figures pulled from published backtests covering roughly 2,600–2,800 ES/NQ trading days (2014–2025) and a separate 25-year ES study — these are historical averages, not live-calculated from current data, and are not a guarantee for any single day. Bigger gaps and gaps with a real news catalyst (earnings, Fed decisions, geopolitical events) fill less reliably than this table implies — treat these as a starting reference, not a rule.