2009 ES Gap Fill Summary (by TradeFlightPlan)

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Long time listener, first time caller here.  I enjoy Slope so much,
I decided it was high time I make a contribution.  The following is an
excerpt from my blog (tradeflight.com) – hope it helps.

Many traders regard the gap fill on the
E-mini S&P 500 futures contract (designated on many trading
platforms by ticker symbol root ES) as one of the highest probability
trades each trading day.

Well, let’s see if the statistics held true in 2009. The gap fill is
defined by price action that touches or breaks through the closing
price of the previous trading day.

Since many traders regard the 4:00PM Eastern Time close as the gap
to be filled, we’ll use the 4:00PM closing time for our analysis. Many
trading platforms show the ES closing prices based on the 4:15PM
session close, so custom tweaks are required to show the previous
trading day’s 4:00PM closing price.

In this analysis, we track the number of trading days the ES filled
its gap, or at least touched the 4:00 closing price from the previous
trading day. We also observe the hourly time slot the ES first fills
its gap on gap fill days.

Traders often regard the half gap fill as an even higher probability
trade. The half gap is defined as half the distance between the opening
price at 9:30AM Eastern Time and the previous trading day’s 4:00PM
closing price.

No surprise here: Further analysis of the ES reveals that the half gap fill was truly a higher probability trade in 2009.

Of course, past performance and 2009 statistics are no guarantee for
future results. And, 60-80% probabilities do not necessarily reflect
optimal trade entry and exit execution points. Finally, not every
trading day affords a gap fill or half gap fill that is worth taking.
Traders must ask themselves whether the remaining distance to the gap
or half gap is worth the risk:reward ratio involved from the point of
entry and stop loss levels. Often, ES gap fill trade setups occur in
premarket globex trading hours, before the 9:30AM opening bell. Trades
always require discretion and should never be placed blindly. However,
astute traders keep these things in mind as they observe what many
regard as one of the highest probability ES trades.

We can continue our study of ES gap fills by considering 4:15PM closing
prices, the average number of points for trades placed precisely at
9:30AM market open, option expiration day Fridays, etc. Perhaps we’ll
revisit a few of these in the near future.