Stats › Intraday and market microstructure › Opening gaps

Only 60% of Nasdaq gaps are filled the same day

Tiny gaps, by the close
77.8%
All gaps, by the close
60.3%
All gaps, by noon
51.9%
All gaps, by 10:30
43.3%
Large gaps, by the close
8.2%

Source: TradingStats, private study, E-mini Nasdaq 100 futures, Jan 2015 to Dec 2025. This is the whole problem with quoted gap fill rates in one chart. Anyone can pick a bar and call it the answer, and none of them is wrong on its own terms.

Nasdaq futures never open at the previous day's close, so there is a gap every single session. About six in ten of those gaps are filled the same day. The four in ten that are not are the ones worth studying.

2,791Sessions studied
60.3%Filled by the close
100%Days that gapped
8.2%Large gaps filled

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