Report Guides
Opening gap fill rates, timing, and size impact on probability
A gap occurs when price opens at a different level from the prior session's close. Gap fill analysis measures how often price returns to fill these gaps and the factors that influence fill probability.
| Gap Size | Fill Rate | Avg Time to Fill |
|---|---|---|
| Small (<0.3 ATR) | 75-85% | 1-2 hours |
| Medium (0.3-0.7 ATR) | 55-70% | 2-4 hours |
| Large (>0.7 ATR) | 35-50% | Often unfilled |
Small gaps: Fade aggressively — enter toward the gap fill with a stop beyond the opening range. These fill most of the time and usually fill within the first hour or two.
Large gaps: Wait for price action confirmation. Large gaps that hold after 30 minutes often become continuation days. If price fails to fill, trade in the gap direction.