How Long For Open Gaps to Fill?
Friday, October 17, 2008 at 4:46PMOne of the common perceptions about the markets is that "all gaps eventually get filled." This is probably true, though I've never tested it.
On a related note, one of the questions I get frequently, is "since most gaps fill within a few days, why not hold your opening gap fade position until the gap fills and thereby avert the loss?"
While it is true that most gaps do fill within a few days, many do not. Check out the unfilled gaps in the E-Mini S&P 500 index that remain open since last Fall:
Surprising, huh.
So, how long does it take for the typical gap, THAT DOES NOT FILL THE SAME DAY, to close? Answer: 19 days. Clearly this is exaggerated by the gaps that took much longer, but it is probably longer than most traders believe. Here's the list of multi-day fills since Fall, 2007:
View Printer Friendly Version
Email Article to Friend
Reader Comments (2)
I here the newcomer. Not absolutely I will understand with topic. Explain, please.
Over 70% of opening gaps in most equity indices will "fill" the opening gaps (formed by the price movement away from their prior closing price during their overnight/electronic session) by retracing back to their prior day close at some point during that day. Those that don't, often take many days, if not weeks, to finally retrace and fill the gap.
This post simply shows the average number of days for the E-Mini S&P 500 index price to retrace and fill those price gaps that did not fill the same day that they occurred. Thanks for the question.