Does the S&P 500 Fill Its Gaps? It Depends Entirely on Size
Filled same session (%)
"The gap always fills" is received wisdom on the S&P 500. Like most received wisdom, it's true right up until it costs you. We measured every overnight gap — the cash open versus the prior cash close — across 418 sessions and asked a simple question: does it fill, and what decides it?
Size is the whole answer
| Gap size | Filled same session |
|---|---|
| 0–5 pts | 95.9% |
| 5–10 pts | 78.6% |
| 10–25 pts | 59.7% |
| 25–50 pts | 35.9% |
| >50 pts | 20.4% |
The relationship is almost a straight line down. Small gaps are noise — the market opens a few points off and drifts back to fair value within the session nine or nineteen times out of twenty. Large gaps are signal — something repriced overnight, and price extends away from the prior close rather than returning to it. Above 50 points, "the gap always fills" is simply false four times out of five.
Relative size is even sharper than absolute size
Points alone don't account for how volatile the tape is. Measured against the day's ATR, the split is starker still:
| Gap vs ATR | Filled same session |
|---|---|
| < 0.25× ATR | 94.4% |
| 0.25–0.5× ATR | 79.5% |
| 0.5–1× ATR | 56.6% |
| 1–2× ATR | 31.9% |
| > 2× ATR | 9.1% |
A gap larger than twice the average range fills barely 9% of the session. In volatility terms, a big gap is a regime statement, not a mean-reversion opportunity.
Even the stubborn ones mostly fill — eventually
Widen the window to five sessions and most gaps do close — the small ones (~92%), the mid ones (~76%) — but the largest gaps still only fill about 43% of the time even over a week. A >50-point gap is not a "wait for it" trade; roughly half of them never come back.
A small directional wrinkle
Up-gaps and down-gaps behave similarly at small sizes, but large up-gaps extended slightly more often than large down-gaps — consistent with an equity market that trends up and gaps up on genuine strength. Day of week mattered at the margin too: Monday carried the largest gaps, Friday the smallest, as weekend positioning built and unwound.
What this means
The precise fade/follow thresholds we trade stay private, but the framework is simple and general:
- Gap size is the signal-vs-noise dial. Small gaps fade; large gaps follow. There is no single "gaps fill" rule — there's a curve.
- Scale the gap to volatility, not just to points. Against ATR the fill probability is even more decisive.
- Large gaps are regime statements. Half of the biggest ones never fill, even over a week — don't marry the mean-reversion trade.
The edge isn't knowing that gaps fill. It's knowing the exact point on the size curve where "fade it" flips to "follow it."
Studies like this become the filters inside a documented playbook — the research → playbook → backtest → live loop, locked to one instrument at a time, rather than a scanner firing on everything.