What is a Gap Fill?
Gap fills are a basic part of price action that can give you exciting opportunities in trading. Think of the gap in a chart as a "hole" in price, and filling the gap as filling that hole in the chart.
That hole gets filled when price moves all the way through the gap, to the closing level that marks the "start" of the gap. This may happen on the first day, second day, or much later.
When price only goes partly through the gap, say 50%, that's a partial gap fill.
How Often do Gaps Fill?
Gaps fill more often than most people think, but you have to crunch the numbers for a specific symbol to see how often gaps fill for that instrument. Fortunately for you, I've done that, and here's some cool data on QQQ gap fills.
For the following tables, I used historical data from the inception (first day of trading) of the QQQ Nasdaq ETF.
I calculated based on three gap sizes: 0.5% - 0.99%, 1% - 1.99%, and 2% or more.
For each of these, I calculated several gap fill percentages to see how often gaps fill. These include:
- Partial gap fill - 50% of the gap
- Partial gap fill - 80% of the gap
- Full gap fill
I also calculated these separately for the two gap directions. So, you have gap down statistics calculated separately from gap up statistics. As you'll see, direction does make a difference in how often gaps fill.
The first sets of data are based on a same-day gap fill. e.g., the stock gapped in the morning and the filled sometime during that trading day before the close.
Gap Fill Statistics Table - Down Gaps, Filled Same Day (QQQ)
GAP DOWN AMOUNT | Closed 50% or more | closed 80% or more | fully closed |
|---|---|---|---|
0.5% - 0.99 % | 78.06% | 67.01% | 59.35% |
1% - 1.99% | 67.99% | 54.39% | 46.74% |
2% or MORE | 70.31% | 45.31% | 28.91% |
Gap Fill Statistics Table - Up Gaps, Filled Same Day (QQQ)
GAP UP AMOUNT | Closed 50% or more | closed 80% or more | fully closed |
|---|---|---|---|
0.5% - 0.99 % | 72.04% | 59.82% | 53.45% |
1% - 1.99% | 65.55% | 52.70% | 44.73% |
2% or MORE | 51.37% | 41.78% | 32.88% |
Historical data source: Google Finance. Calculations performed by epicctrader.com using Google Sheets and formulas.
You can draw a few interesting conclusions from the data above, at least with regard to the QQQ ETF on Day 1 of a gap:
- Gaps down fill more often than gaps up.
- Small gaps (.5-.99%) down fill at least half the gap quite often: 78%. Almost 4 out of 5 times.
- Small gaps fill completely at a significant rate: Over 59%
- Large gaps down get partially filled at a significant rate: over 70%
But what happens when you give them just a little more time?
How Frequently Do Gaps Fill Within Two Days?
For this, I looked at how many gaps didn't fill on day 1, but did fill on day 2.
Then, I calculated how many gaps were filled within two days, regardless of whether they filled day 1 or day 2.
Gap Fill Statistics - Down Gaps, Day 2 (QQQ)
GAP DOWN AMOUNT | CLOSED fully on day 1 | CLOSED FULLY on DAY 2 | closed fully within 2 days |
|---|---|---|---|
0.5% - 0.99 % | 59.35% | 14.97% | 74.32% |
1% - 1.99% | 46.74% | 10.48% | 57.22% |
2% or MORE | 28.91% | 8.59% | 37.50% |
Gap Fill Statistics - Up Gaps, Day 2 (QQQ)
GAP UP AMOUNT | CLOSED fully on day 1 | CLOSED FULLY on DAY 2 | closed fully within 2 days |
|---|---|---|---|
0.5% - 0.99 % | 53.45% | 10.01% | 63.46% |
1% - 1.99% | 44.73% | 8.74% | 53.47% |
2% or MORE | 32.88% | 10.27% | 43.15% |
As you can see, giving a gap one more day to fill greatly increases the chances. You see the strongest effect with down gaps, where