Our prior post on the 2009 ES Gap Fill Summary
received a nice response with several followup questions and thirst for
more. The most frequent questions in our inbox asked what effect the
size of the opening gap had on the gap fill probabilities.

Well, let's take a look. In this analysis, we determine the size of
the opening gap as the difference between the opening price at 9:30AM
ET and the prior day's 4:00PM ET close for each day in 2009.

It is important to note that we observe astute traders initiate gap fill trades during the Globex session before
the regular market open at 9:30AM. The hour before market open provides
some of the best entry opportunities. However, for a quick study and
gap size distribution, we went ahead and used the 9:30AM opening price
for this analysis.

Many traders use a gap of less than 80-100 points on the Dow futures
(YM) as a signal that the ES is likely to fill its gap. We ran the
analysis for both ES gap fills and half gap fills. As you can see from
the tables and charts, our analysis suggests an ES gap of less than 5-6
points seems to yield the best results.

The opening gap is expressed in ES points, rounded up or down to
contain the actual size of the gap. For example, an actual ES gap of
-3.25 would fall within -4 ES points, an actual ES gap of +3.25 would fall within +4 ES points.

These tables summarize the 2009 ES gap fill statistics based on the
absolute value of the opening gap, regardless of whether it was a
positive or negative value. Click on each table or chart to view in
full size.

Just to make sure the results didn't wildly differ, we also took a
quick look at the 2009 statistical distribution across all opening gap
values, from negative to positive.