half gaps vs full gaps: how one setting changes your gap fill rate
"gaps always fill" has cost more traders money than any other saying in the market.
it's not a strategy. it's a saying. and sayings don't make you money. data does.
we ran the gap fill report on 11 of the most traded tickers — ES, NQ, YM, GC, TSLA, NVDA, AAPL, META, NFLX, GOOG, and AMZN — over the last 6 months. the results show that full gap fills are inconsistent at best and losing trades at worst on most tickers. but changing one setting — the fill target — transforms the data across the board.
by the end of this post, you'll have the real gap fill rates across futures and stocks, the difference between half gaps and full gaps, and a complete strategy framework with entries, stops, targets, and filters.
table of contents
- what is a gap fill
- gap fill rates across 4 major futures contracts
- gap fill rates across 7 major stocks
- half gaps vs full gaps: the one setting that changes everything
- how to build a strategy around half gaps
- entries and stops using the "by spike" data
- targets and partial exits
- filtering by gap size
- filtering by day of the week
- key takeaways
what is a gap fill
a "gap" happens when today's open is different from yesterday's close. if price opens higher than where it closed yesterday, that's a gap up. if it opens lower, that's a gap down.
- a "gap fill" is when price retraces back to yesterday's close after gapping away from it. that's the standard definition — a full fill, 100% of the distance from today's open back to the prior session close (PSC).
- a "half gap" is when price covers 50% of the gap distance. it doesn't need to reach the PSC — just the midpoint between today's open and yesterday's close. smaller target, higher fill rate.
the question is: how often does each one actually happen?
gap fill rates across 4 major futures contracts
we pulled the gap fill report for ES, NQ, YM, and GC over the last 6 months. here's what the data shows at the 100% (full gap) fill target:
ES (S&P 500 futures):
- gap ups fill 64% of the time
- gap downs fill 63% of the time
NQ (Nasdaq futures):
- gap ups fill 51% of the time
- gap downs fill 55% of the time
YM (Dow futures):
- gap ups fill 60% of the time
- gap downs fill 64% of the time
GC (Gold futures):
- gap ups fill 48% of the time
- gap downs fill 35% of the time
ES and YM have the strongest numbers. NQ is sitting around a coin flip. GC gap downs are at 35% — a losing trade by any measure.
if you set a minimum threshold of 65% before taking a gap fill trade, full gaps rule out NQ and GC entirely. and if you've been trading the gap fill setup on those tickers without checking the data, the numbers explain the results.
for the full gap fill strategy walkthrough, see our gap fill trading strategy guide.
gap fill rates across 7 major stocks
we ran the same gap fill report on 7 of the most popular stocks. full gaps, last 6 months:
- TSLA: 65% gap up / 49% gap down
- AAPL: 77% gap up / 86% gap down
- NVDA: 49% gap up / 52% gap down
- META: 62% gap up / 59% gap down
- NFLX: 73% gap up / 71% gap down
- GOOG: 67% gap up / 63% gap down
- AMZN: 62% gap up / 60% gap down
if you've been trading gap fills on the market's most popular tickers without checking the data first, you're likely wasting mental capital and real money.
based on the data, AAPL and NFLX are the standouts with 70%+ fill rates in both directions. NVDA is basically a coin flip. TSLA gap downs are losing trades at 49%.
the takeaway: you can trade the same strategy across multiple tickers and get completely different results. using data to verify which tickers actually work for gap fills can transform your approach.
half gaps vs full gaps: the one setting that changes everything
the data above doesn't mean gap fills are a bad strategy. it means most traders are using the wrong target.
edgeful's gap fill report has a customizable fill target. the default is 100% — a full fill from today's open all the way back to the prior session close. but you can change it.
set it to 50%, and now you're targeting a half gap. price only needs to cover half the distance back to yesterday's close. in theory, a smaller target gets hit more often.
and when you check the data, that theory holds up across the board:
ES:
- half gap ups fill 72% of the time (+8% from full)
- half gap downs fill 87% of the time (+24% from full)
NQ:
- half gap ups fill 69% of the time (+18% from full)
- half gap downs fill 76% of the time (+21% from full)
YM:
- half gap ups fill 74% of the time (+14% from full)
- half gap downs fill 83% of the time (+19% from full)
GC:
- half gap ups fill 64% of the time (+16% from full)
- half gap downs fill 60% of the time (+25% from full)
ES gap downs went from 63% to 87%. NQ went from 55% to 76%. YM went from 64% to 83%. even GC, which was a losing trade at 35%, jumped to 60%.
same report. same tickers. same 6-month lookback window. the only thing that changed was the fill target.
this is the difference between using a report on its default settings and actually customizing it to find the edge. every edgeful report has settings like this — the IB timeframe, the ORB criteria, the date ranges, the fill percentages. the traders who get the most out of the data are the ones who adjust these settings to match how they actually trade.
how to build a strategy around half gaps
the fill rates give you the probability. now you need the execution framework — entries, stops, targets, and filters.
entries and stops using the "by spike" data
edgeful's "by spike" subreport tells you how far price moves in the direction of the gap before reversing back to fill. this is the average drawdown you'd sit through if you entered right at the open.
here are the average spike values for YM over the last 6 months:
- gap ups that filled: average spike of $108.12 (max: $298)
- gap downs that filled: average spike of $79.71 (max: $426)
on a gap down that fills, YM moves an average of $79.71 against you before reversing back up. on gap ups that fill, the average spike down is $108.12.
use this data to:
- time your entry. don't enter right at the open. wait for 50-75% of the average spike to play out so you're getting a better price and not sitting through the worst of the move
- set your stop. place it just beyond the average spike value from your entry. if price blows past the average, you want to be out
this gives you a data-backed entry and stop instead of arbitrary numbers. the average spike tells you what "normal" adverse movement looks like for fills — anything beyond that signals the fill probably isn't happening today.
targets and partial exits
your primary take-profit target is the half gap level itself — the midpoint between today's open and yesterday's close. that's the level that fills 72-87% of the time depending on the ticker and direction.
for a runner, you can target anywhere between 50% and 100% fill. edgeful's gap fill report shows the data at every fill percentage, so you can find the exact trade-off between probability and profit that matches your style.
the math is simple: the closer your target is to the open (smaller fill %), the more often it gets hit. the closer to the PSC (larger fill %), the bigger the payout but the lower the probability. half gap (50%) is the sweet spot for most traders because the fill rates are strong enough to build a consistent strategy around.
filtering by gap size
not all gaps are the same. on YM specifically, anything over a 0.4% gap size has not been worth trading over the last 6 months. the bigger the gap, the less likely it fills.
this filter alone can keep you out of the worst trades. check the by-size subreport for each ticker you trade — the cutoff on ES, NQ, and GC will be different from YM.
filtering by day of the week
you can go even deeper. here's the YM half gap fill data broken down by day over the last 6 months:
- Monday: 47% gap up / 73% gap down
- Tuesday: 64% gap up / 67% gap down
- Wednesday: 61% gap up / 62% gap down
- Thursday: 73% gap up / 62% gap down
- Friday: 62% gap up / 58% gap down
the YM data doesn't show a massive day-to-day difference. but if you trade ES or NQ, the breakdown by weekday can look very different. worth checking before you assume every morning is the same setup.
according to edgeful data, some tickers show significant variation between their best and worst day. that's free edge — or free losses if you're ignoring it.
for more on how weekday performance affects trading strategies, see our post on the weekday trading edge.
note: results require customization, time, and effort. the data gives you the framework — finding the right settings for your tickers, timeframes, and risk tolerance is the work that makes it real.
key takeaways
- full gap fills (100%) are inconsistent across most tickers — NQ sits around a coin flip and GC gap downs fill only 35% of the time
- half gaps (50% fill target) dramatically improve fill rates across the board — ES gap downs jump from 63% to 87%, NQ from 55% to 76%, YM from 64% to 83%
- the same gap fill strategy produces completely different results across tickers — AAPL fills 77-86% while NVDA fills 49-52%. check the data for every ticker you trade
- use the "by spike" data for entries and stops — the average adverse movement before a fill tells you when to enter and where to place your stop
- filter by gap size. on YM, gaps over 0.4% haven't been worth trading over the last 6 months. check the by-size subreport for your specific tickers
- according to edgeful data, day-of-week performance varies by ticker. checking today's data before the session is a simple edge most traders skip
- "gaps always fill" is a saying, not a strategy. data-backed fill rates, customized targets, and proper filters are what turn gap fills into a consistent day trading setup
trading involves risk. past performance and historical data do not guarantee future results. the statistics referenced in this post are based on 6-month lookback data and may change. always trade with proper risk management.
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