Gap Fill Strategy: 2,791 Days of NQ Futures Data

Do gaps always get filled? If you’ve searched for this, you’ve found plenty of opinions — and very little data. The common claim is that “gaps always fill eventually,” but nobody tells you when, how often, or what it costs you to wait.

We built a gap fill strategy around actual data — 2,791 trading days of NQ futures (E-mini Nasdaq 100), every Regular Trading Hours session from January 2015 to December 2025. We measured gap fill probability at four thresholds (25%, 50%, 75%, and 100%) across three time horizons (by Initial Balance, by Noon, and by Close).

The baseline: 60.3% of NQ gaps fill completely by the close. But that single number hides enormous variation. A tiny gap that opens inside the previous day’s range fills 77.8% of the time. A large gap that opens outside the range fills just 8.2% of the time. And under the right conditions, the probability reaches 93%.

Here’s what the gap fill statistics actually show — and how to use them.

Our Gap Fill Analytics dashboard: 2,791 NQ futures days, interactive filters, fill ladder, timing, risk, and scenario analysis.

What Is a Gap Fill in Trading?

A gap occurs when today’s Regular Trading Hours open is at a different price than yesterday’s RTH close. A gap up means today opens higher; a gap down means today opens lower. When you look at gap fill stocks charts or futures charts, the gap shows as an empty space between the close and the next open.

A gap fill is when price retraces from today’s open back to yesterday’s close — closing that price difference. We measure fills at four thresholds:

• 25% fill — price covers a quarter of the gap
• 50% fill — price covers half the gap
• 75% fill — price covers three-quarters
• 100% fill — price fully returns to the previous close

Most gap fill analysis you’ll find online only measures 100% fills by end of day. That misses the full picture. A gap that reaches 75% fill within the first hour behaves very differently from one that fills 100% in the last ten minutes — and both matter for different trading strategies.

Why gap size matters more than gap direction

The single biggest factor in gap fill probability isn’t whether the gap is up or down — it’s how big the gap is relative to the instrument’s recent volatility. We classify gaps by their size relative to the 14-day ATR:

Tier	Size vs ATR	Typical NQ Points
Tiny	< 0.3x ATR	Under ~100 pts
Small	0.3–0.7x ATR	~100–250 pts
Medium	0.7–1.2x ATR	~250–400 pts
Large	> 1.2x ATR	400+ pts

This distinction is critical. Grouping all gaps together — which most studies do — produces a blended average that’s misleading for any specific gap you’re looking at.

How this differs from gap fill in stocks

Gap fill stocks statistics typically cover daily closing gaps on equities or ETFs. Futures gaps work differently: they form between one RTH close and the next RTH open, with overnight (Globex) trading in between. The overnight session often partially fills or extends the gap before RTH even opens. Our analysis captures all of this context — making it specific to the conditions futures traders actually face.

How We Measured Gap Fill Probability

What counts as a gap

A gap is the difference between today’s RTH open (9:30 AM ET) and yesterday’s RTH close (4:00 PM ET). Every trading day produces a gap — even if it’s a fraction of a point. We include all gap sizes in the overall gap fill statistics but break them down by tier for actionable analysis.

Fill measurement

For each day, we track whether price reached the 25%, 50%, 75%, and 100% fill levels at three checkpoints: end of the Initial Balance (first hour, 10:30 AM), Noon ET, and the RTH close (4:00 PM). We also record the exact time each fill level was reached.

Additional metrics

Beyond fill/no-fill, we measure:

MAE (Maximum Adverse Excursion) — how far price moves against the fill direction before filling. If you’re fading the gap on a gap up, how much does price push higher before coming back down?

Extension beyond fill — after a 100% fill, how much further does price continue past the previous close?

Fill session — did the gap fill during the Initial Balance, the morning session, or the afternoon?

Dataset

Parameter	Value
Instrument	NQ (E-mini Nasdaq 100 futures)
Period	January 5, 2015 – December 30, 2025
Total trading days	2,791
Session	RTH only (9:30 AM – 4:00 PM ET)
Gap definition	RTH Open minus Previous RTH Close
Fill thresholds	25%, 50%, 75%, 100%
Time horizons	Initial Balance (10:30), Noon, Close (16:00)

Gap Fill Probability: The Fill Ladder

This is the core of any gap fill strategy — the fill ladder that nobody else publishes.

The Fill Ladder: gap fill probability at four thresholds across three time horizons. Color-coded from green (high probability) to dark (low). Click any cell to drill into details.

From 2,791 NQ futures trading days, here’s how often the gap reaches each fill threshold by each time horizon:

Fill Level	by 10:30 AM (IB)	by Noon	by Close
25% fill	72.9%	80.2%	86.6%
50% fill	55.5%	65.5%	76.1%
75% fill	44.3%	55.0%	68.0%
100% fill	43.3%	51.9%	60.3%

Read this carefully. If the gap reaches 25% fill by the Initial Balance — which it does nearly 73% of the time — the question becomes whether momentum continues. And most of the filling that’s going to happen has already happened by noon. The afternoon adds only 8.4 percentage points to the 100% fill rate (51.9% → 60.3%).

This has immediate implications for gap fill strategy. If you’re fading the gap, the first hour is when most fills happen. If it hasn’t filled by noon, the odds of a late-session fill drop sharply.

How to read the fill ladder

• 86.6% reach 25% fill by close — gaps almost always get partially filled. Pure gap-and-go (no pullback at all) is rare.
• 60.3% reach 100% fill by close — the headline number. About 3 in 5 gaps fill completely.
• 43.3% fill 100% within the first hour — most complete fills happen early. This tells you the gap fill strategy window is front-loaded.
• Gap between 75% and 100% is narrow (68.0% vs 60.3%) — once price covers 75% of the gap, it usually finishes the job.

Gap Fill by Gap Size

Does gap size affect fill probability? Dramatically. This is where the real edge in any gap fill strategy lives.

Gap Size	Count	100% Fill by Close
Tiny (< 0.3x ATR)	1,711	77.8%
Small (0.3–0.7x ATR)	690	42.0%
Medium (0.7–1.2x ATR)	241	25.6%
Large (> 1.2x ATR)	149	8.2%

The gap fill percentage drops nearly 10x from tiny to large gaps. This is the single most important finding in the entire dataset:

• Tiny gaps (under ~100 NQ points) are mean-reversion plays. Nearly 4 in 5 fill completely.
• Small gaps are a coin flip — 42% fill rate. Additional context (direction, location, volatility) matters a lot here.
• Medium gaps fill only 1 in 4 times. These are trend days more often than not.
• Large gaps almost never fill same-day. An 8.2% fill rate means fading the gap on a large gap is a losing strategy 92% of the time.

If someone tells you “gaps always get filled” without qualifying by size, they’re giving you a blended average that doesn’t apply to any specific gap you’ll see on your NQ chart.

Gap Up vs Gap Down: Which Fills More?

Direction	Count	100% Fill	Median Fill Time
Gap Up	1,579	58.8%	21 min
Gap Down	1,212	62.2%	15 min

Gap downs fill slightly more often and slightly faster. The difference (3.4 percentage points) is consistent across all fill thresholds. This reflects stronger mean reversion on downside gaps in equity index futures — likely driven by dip-buying activity during RTH.

The difference is statistically real but not large enough to base a strategy on direction alone. Gap size and open location matter far more.

Gap Fill by Open Location

Where today’s open falls relative to the previous day’s range is the second most powerful predictor after gap size.

Open Location	Count	100% Fill
Inside previous range	1,664	70.4%
Above previous range	571	47.1%
Below previous range	556	44.1%

When the open is inside yesterday’s range, the gap is small by definition and price has a natural “gravitational pull” back toward the previous close. When the open is outside the range — especially below it on a gap down — price has broken out of the prior structure and is less likely to reverse.

This is critical for gap fill strategy: an inside-range open is inherently more likely to fill. An outside-range open tells you to be cautious about fading.

Gap Fill by Day of Week

Day	Count	100% Fill
Monday	533	53.9%
Tuesday	567	62.8%
Wednesday	573	63.5%
Thursday	565	62.4%
Friday	553	58.8%

Monday has the lowest gap fill rate (53.9%), likely because weekend gaps carry genuine sentiment shifts — earnings, macro events, geopolitical news — making them more likely to represent true trend moves rather than noise.

Wednesday peaks at 63.5%. Mid-week gaps tend to be smaller and more noise-driven, making them ideal for a gap fill strategy.

Gap Fill by Volatility Regime

Regime	Count	100% Fill
Low volatility (ATR14/ATR50 < 0.8)	711	63.2%
Normal volatility (0.8–1.2)	1,426	60.8%
High volatility (> 1.2)	654	56.3%

Lower volatility environments produce higher fill rates. In low-vol regimes, gaps are smaller in absolute terms and the market mean-reverts more reliably. High volatility means larger gaps with more momentum behind them — harder to fade.

The difference (63.2% vs 56.3%) is meaningful but less dramatic than gap size or open location. Volatility matters most when combined with other factors — which we’ll cover in the multi-condition setups section.

When Do Gaps Fill? Timing Analysis

How long does it take for a gap to fill? This data is essential for managing trades — knowing when to expect the fill (or give up) changes everything about position management.

Timing breakdown: most partial fills happen within the first 5 minutes. Full 100% fills peak in the 09:30-09:45 window with a median time of under 10 minutes for typical gaps.

Median fill time by gap size

Gap Size	Median Time to 100% Fill	P75	P90
Tiny	7 minutes	30 min	127 min
Small	74 minutes	159 min	237 min
Medium	122 minutes	201 min	283 min
Large	143 minutes	234 min	310 min

Tiny gaps fill in the first few minutes. If you’re trading a gap fill strategy on a tiny gap and it hasn’t filled within 30 minutes, something is wrong — you’re already in the 75th percentile of fill times.

Median fill time by threshold

Fill Level	Median Time
25% fill	1 minute
50% fill	5 minutes
75% fill	10 minutes
100% fill	18 minutes

The first 25% of gap closure happens almost instantly — within the first minute. This tells you the opening candle almost always moves toward the fill, at least partially.

Fill session distribution

Session	Fills Here
Initial Balance (9:30–10:30)	43.3%
AM session (10:30–12:00)	8.6%
PM session (12:00–16:00)	8.3%
Never fills	39.7%

If a gap fills, it overwhelmingly fills in the first hour. The AM and PM sessions each contribute less than 9% of total fills. This is the most important insight for gap fill strategy timing: the IB is the fill window. After that, you’re in hope territory.

Fading the Gap: Risk and Drawdown (MAE)

Fading the gap means taking a trade opposite to the gap direction — selling into a gap up or buying into a gap down — expecting the gap to fill. Before you implement this gap fill strategy, you need to understand the risk.

Risk profile for gap fades: typical drawdown is just 12 points, but the P90 reaches 62 points. 87% of fills have minimal adverse excursion. The Risk Summary shows exact ATR-relative thresholds.

MAE profile for gap fill trades

Metric	NQ Points	vs ATR
Median drawdown	44.2 pts	0.34x ATR
P75 drawdown	107.2 pts	0.62x ATR
P90 drawdown	203.0 pts	0.97x ATR
Whipsaw rate	10.1%	—

The median drawdown is 44 NQ points — manageable. But the P90 is 203 points. One in ten gap fade trades will see a 200+ point adverse move before the fill happens (if it happens at all).

Whipsaw risk: 10.1% of the time, price moves against the fill direction significantly before reversing. These are the trades that hit your stop, then fill the gap without you.

MAE by gap size

Gap Size	Median MAE	P75 MAE	P90 MAE
Tiny	27.8 pts	67.5 pts	130.2 pts
Small	89.3 pts	178.6 pts	298.4 pts
Medium	156.7 pts	289.1 pts	412.0 pts
Large	241.3 pts	398.7 pts	556.2 pts

The risk scales with gap size. Fading a tiny gap risks about 28 points on average (median MAE). Fading a large gap risks 241 points median — and the gap probably won’t fill anyway (8.2% fill rate). This is why any practical gap fill strategy should focus on tiny and small gaps.

What Happens After a Gap Fills?

Once the gap fills 100%, does price stop at the previous close? Usually not.

After the gap fills: the day closes as an Up Day 54.5% of the time. Extension beyond the fill target ranges from 15 to 173 points. The Chop Index shows how tradeable the post-fill action is.

Extension beyond the previous close

Metric	NQ Points
Median extension	39.5 pts
P75 extension	94.1 pts
Extends 20+ pts	69.2%
Extends 50+ pts	43.3%

After filling the gap, price typically continues past the previous close by a median of 39.5 points. Nearly 70% of fills extend at least 20 points beyond the previous close. This is important for exit strategy — taking profit exactly at the gap fill level leaves money on the table more often than not.

A complete gap fill strategy should account for this extension. Consider trailing your stop after the fill rather than exiting at the previous close.

High-Probability Gap Fill Setups

Now we combine multiple factors to find the highest-probability gap fill scenarios. These are the setups where the data gives you a genuine edge.

The Scenario Finder automatically identifies the best multi-condition setups. “Highest Probability” (89.3%), “Best Risk-Adjusted” (81.7% with only 12.3 pts MAE), and “Best Impact” (72.7% across 400+ cases).

The best gap fill setups (>80% fill rate)

Setup	Count	100% Fill
First 15-min candle toward fill + Tiny gap	773	93.1%
ORB toward fill + Tiny + Inside range	934	90.6%
ORB toward fill + Tiny gap	1,213	89.9%
Tiny + Inside range + Thursday	228	84.2%
Gap Down + Tiny + Inside range	591	80.5%

The pattern is clear: tiny gaps + confirmation = 80-93% fill probability. The “confirmation” can be:

• First 15-minute candle moving toward the fill
• Opening Range Breakout toward the fill direction
• Inside-range open

When these align, you have a gap fill strategy with 9:1 or better odds. These aren’t cherry-picked — each setup has hundreds of cases.

What makes these setups work

Every high-probability setup shares the same structure:

1. Small gap — the market didn’t gap far, so the move back is short
2. Early confirmation — the first few minutes show the market wants to fill
3. Favorable structure — inside the previous range means the gap is within normal noise

When all three are present, the gap fill isn’t just probable — it’s overwhelmingly likely.

When Gaps Don’t Fill

A gap fill strategy also needs to know when NOT to fade. These are the scenarios where gaps almost never fill same-day:

Low-probability scenarios (<30% fill)

Scenario	Count	100% Fill	Don’t Fill
High vol + Medium/Large gap	105	21.0%	79.0%
Medium/Large + Below range	131	21.4%	78.6%
Medium/Large + Above range	112	25.9%	74.1%
Monday + Outside range	242	35.5%	64.5%
High volatility + Outside range	358	43.9%	56.1%

The anti-pattern is clear: large gaps in volatile markets that open outside the previous range almost never fill. When all three align — high volatility, large gap, outside range — the fill rate drops to around 21%. These are gap-and-go days where fading the gap is a losing strategy.

The overnight session gives clues

Overnight Scenario	Count	100% Fill
Gap up + Overnight up (aligned)	1,541	58.5%
Gap down + Overnight down (aligned)	1,182	61.7%
Gap up + Overnight down (opposed)	38	73.7%
Gap down + Overnight up (opposed)	30	83.3%

When the overnight session moves opposite to the gap direction (rare), the gap fill probability jumps substantially. Gap down but overnight rallied: 83.3% fill rate. This signal is rare (30 cases) but the logic is sound — it means the gap is already being faded before RTH opens.

Weekly open alignment

Gap vs Weekly Open	Count	100% Fill
Aligned (gap extends the weekly move)	1,459	58.5%
Opposed (gap reverses the weekly move)	1,332	62.3%

Gaps that go against the weekly trend fill slightly more often — consistent with mean reversion within the weekly cycle.

Use It Live on Your Chart

All the gap fill statistics in this article are built into our TradingView indicator: Gap Fill Probability & Statistics [ES/NQ].

The indicator on an ES chart: real-time gap tracking with fill levels (25/50/75/100%), context-specific fill probabilities, live MAE, risk info, best fill times, and after-fill behavior — all on one panel.

The indicator detects today’s gap at the RTH open, classifies it by size, direction, and context, then displays the relevant statistics on your chart in real time — including fill chances by time of day, risk metrics, timing analysis, and after-fill behavior. It covers both ES and NQ with separate statistics for each instrument.

What the indicator shows:

• Today’s Gap — direction, size in points, ATR-relative tier, open location, volatility regime
• Fill Chances — gap fill probability of reaching each fill level (25/50/75/100%) by 10:30, Noon, and Close, specific to your gap’s context
• Live Status — real-time tracking of which fill levels have been reached, time elapsed, current MAE and MFE
• Risk Info — typical drawdown (P75), worst 10% drawdown (P90), whipsaw probability
• Best Time to Fill — cumulative fill distribution showing when most fills happen
• Opening Range — both-sides break probability
• After Gap Fills — continuation vs reversal statistics, extension beyond fill

The statistics are based on 2,791 NQ days and 2,646 ES days (2014–2024), pre-computed and embedded in the script for instant display — no external data calls.

Explore This Data Yourself

All the gap fill statistics in this article come from our Gap Fill Analytics tool. It runs these calculations for NQ, ES, and other futures instruments with filters for every factor discussed above — gap size, direction, open location, day of week, volatility regime, and more.

You can filter by custom date ranges, combine conditions, and explore how gap fill probability shifts for specific contexts. The tool shows the full fill ladder, timing distributions, MAE profiles, and ranked multi-condition scenarios.

Think of it as a data-driven gap fill strategy builder that shows you the historical odds before the session opens.

Methodology

Parameter	Value
Instrument	NQ (E-mini Nasdaq 100 futures)
Data period	Jan 5, 2015 – Dec 30, 2025 (2,791 trading days)
Session	RTH 9:30 AM – 4:00 PM Eastern Time
Overnight session	6:00 PM – 9:30 AM ET
Gap definition	RTH Open minus Previous RTH Close
Fill thresholds	25%, 50%, 75%, 100% of gap size
Time horizons	Initial Balance (10:30), Noon (12:00), Close (16:00)
Gap size classification	Tiny: <0.3x ATR, Small: 0.3–0.7x ATR, Medium: 0.7–1.2x ATR, Large: >1.2x ATR
ATR calculation	14-period ATR on daily bars
Volatility regime	Low: ATR14/ATR50 < 0.8, Normal: 0.8–1.2, High: > 1.2
MAE	Maximum adverse excursion from open in the anti-fill direction
Extension	Maximum favorable excursion past previous close after 100% fill
Fill session	IB (9:30–10:30), AM (10:30–12:00), PM (12:00–16:00)