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TapeUpdated daily after close · as of 2026-10-05

Gap Analysis: Do Gaps Always Fill?

Every overnight gap for SPY (1993+) and QQQ (1999+): how often up- and down-gaps of each size trade back to the prior close — the gap fill — same day and within five sessions, plus the average open→close drift that followed. The folk saying, replaced with base rates.

Today's reading

As of market close on October 5, 2026, SPY opened essentially flat (+0.01% vs the prior close) — no meaningful gap to trade. Since 1993, SPY has opened with a gap of 0.1% or more on 80% of sessions, averaging 0.42% in size.

Sources, methodology & freshnessSPY (1993–present) & QQQ (1999–present) daily OHLC from our price database · Daily after US market close (~1pm PT)Data as of 2026-10-05 · Open ↓
Source
SPY (1993–present) & QQQ (1999–present) daily OHLC from our price database
Methodology
Gap = open/prior close − 1; fill = trade back to prior close (low for up-gaps, high for down-gaps), same-day and within 5 sessions, bucketed by size and direction
Updates
Daily after US market close (~1pm PT)Data as of 2026-10-05
Maintained & reviewed by Yuriy Matso — methodology shown on the page.
Gap analysisSPY · 2026-10-05 · open
FLAT OPEN
+0.01%
Under 0.1% — no meaningful gap to trade

SPY has opened with a real gap (≥0.1%) on 80% of sessions since 1993, averaging 0.42%.

Symbol:SPY daily OHLC (1993–present)
01

Fill rates by gap size — SPY

Same-day fill = price traded back to the prior close during the gap day's session. Fill probability falls sharply with size — and note the avg open→close column: large up-gaps historically kept going rather than fading.

Up-gaps (open above prior close) — SPY

Gap sizeFill same dayFill ≤ 5 sessionsAvg open→closeO→C upN
0.1–0.25%78%91%-0.03%50%1,209
0.25–0.5%60%82%-0.03%50%1,336
0.5–1%46%70%+0.01%54%928
1–2%26%53%+0.19%60%290
2%+27%52%+0.15%57%67

Down-gaps (open below prior close) — SPY

Gap sizeFill same dayFill ≤ 5 sessionsAvg open→closeO→C upN
0.1–0.25%80%92%+0.01%53%933
0.25–0.5%66%89%+0.00%52%917
0.5–1%43%76%-0.04%50%673
1–2%33%69%-0.02%51%309
2%+29%60%+0.49%50%82

“Fill ≤ 5 sessions” includes the gap day; gaps too recent for a full 5-session window are excluded from that column's denominator. Base rates, not signals.

02

Gap history — SPY

Window:loading…
Loading…
Filled same dayFilled within 5 sessionsUnfilled

How Gap Analysis Works

  1. 1
    Measure the overnight gap
    For every session, the gap is today's open versus yesterday's close: open ÷ prior close − 1. A positive gap means the market opened above where it closed; negative means below. Days with a gap under 0.1% are treated as flat.
  2. 2
    Define "filled" the standard way
    An up-gap fills when price trades back down to the prior close — the day's low touches or crosses it. A down-gap fills when the high trades back up to the prior close. We check the gap day itself (same-day fill) and the following sessions, out to five.
  3. 3
    Bucket by size and direction
    Gaps behave differently by size, so we split them: 0.1–0.25%, 0.25–0.5%, 0.5–1%, 1–2%, and 2%+, separately for up and down gaps. Each bucket reports its sample count, same-day fill rate, within-5-session fill rate, and the average open→close return that followed.
  4. 4
    Read today's gap against its own history
    The headline card shows the latest session's gap, its bucket, and that bucket's historical fill rates — "gaps this size filled same-day X% of the time" — so the base rate is attached to the number instead of a folk saying.

Who Uses Gap Analysis

Day Traders
The gap-fill trade is a morning staple. These are its actual base rates by gap size — small gaps fill same-day far more often than the big ones the saying gets applied to.
Gap-and-Go Traders
The other side of the trade: large up-gaps historically kept going (positive average open→close), which is exactly when fading is weakest. The size buckets show where momentum beats reversion.
Swing Traders
An unfilled gap is a level. The within-5-session fill rates tell you how long open gaps typically stay open, and which sizes tend to remain unfilled as breakaway gaps.
Systematic Traders
Clean base rates for a gap-fade or gap-follow rule, split by direction and size with three decades of samples — test against it before risking capital on a folk saying.

Pro Tips

01
"Gaps always fill" is a size illusion
Small gaps (0.1–0.25%) fill the same day roughly 4 times in 5 — but they barely need to move to do it. Gaps over 1% filled same-day only about a quarter to a third of the time. The saying survives because most gaps are small.
02
Big up-gaps lean gap-and-go
For 1%+ up-gaps, the average open→close return after the gap has been positive with a ~60% up-day rate — the market that gapped up kept going more often than it faded. Fading strength into a large gap has been the weak side of the trade.
03
Direction matters less than size
Up- and down-gaps of the same size fill at broadly similar rates; the fill probability falls off with size for both. Size the trade off the bucket. The direction adds little.
04
An unfilled big gap is information
Roughly half of 2%+ gaps were still unfilled five sessions later — those are often breakaway gaps around real news. If a large gap refuses to fill quickly, treat it as a regime marker. It is not a pending magnet.

Common Issues & Solutions

What exactly counts as a "fill"?▾
Price trading back to the prior session's close — the low touching it for up-gaps, the high for down-gaps. Some traders measure to the prior open or require a close beyond; touching the prior close is the most common definition and the one used here.
Why do small gaps fill so often?▾
A 0.15% gap only needs a 0.15% wiggle against the gap direction to fill, and average intraday ranges are several times that. High fill rates on small gaps are mostly arithmetic and carry no edge by themselves.
Does this include overnight futures moves?▾
No — it uses regular-session ETF opens and closes. The "gap" is the cash-session open versus the prior cash close, which is the gap a stock/ETF day trader actually faces at the bell.
SPY vs QQQ — which should I use?▾
Both are shown. QQQ gaps more often and bigger (higher-beta index), so its buckets have different base rates. Use the symbol you actually trade.

Frequently Asked Questions

Do gaps always fill?▾
No — fill probability falls sharply with gap size. In SPY since 1993, gaps of 0.1–0.25% filled the same day about 78–80% of the time, but gaps over 1% filled same-day only about 26–33% of the time, and roughly half of 2%+ gaps were still open five sessions later. The saying persists because most gaps are small, and small gaps fill almost by arithmetic.
What is a gap fill?▾
A gap fills when price trades back to the prior session's closing level — for an up-gap, the low reaching down to yesterday's close; for a down-gap, the high reaching up to it. "Same-day fill" means it happened during the gap day's own session.
Should you fade a gap up?▾
Depends on size. Small up-gaps filled same-day most of the time, which is what the fade trade banks on. Large up-gaps (1%+) were the opposite: they filled same-day only about a quarter of the time and the average open-to-close return after them was positive — historically gap-and-go, not gap-and-fade. These are base rates, not signals.
How often does SPY gap at the open?▾
Using a 0.1% threshold, SPY has opened with a real gap on about 80% of sessions since 1993, with an average absolute gap of roughly 0.4%. QQQ gaps more often and larger.
How often is this updated?▾
Daily after the US market close. Each new session's gap is classified into its size bucket and the fill-rate tables recompute over the full history.

Explore Other Tools

Weekday Analysis
SPY intraday vs overnight returns by day of week — where the overnight drift lives
Intraday Momentum
How big QQQ's daily moves are running — the regime a gap trades into
Range Efficiency
Trend vs chop — whether moves follow through or fade
Bull vs Bear Power
Who controlled the regular session, from 5-minute candle bodies
Last updated: 2026-10-05