Opening Gap in Index Futures: A Data-Driven Guide
Updated September 20, 2026
What exactly an opening gap is
An opening gap is the distance between the price at which the regular session opens and the price at which the previous regular session closed. If the open is above that close, the gap is up. If it is below, the gap is down. The word sounds technical, but it describes a subtraction.
In index futures the nuance matters more than in stocks, because the contract almost never stops trading. Between the 4:00 p.m. New York close and the 9:30 a.m. open, price keeps moving. The gap is not a void: it is a stretch that traded outside the main hours.
That is why the reference should be fixed before measuring anything. In these tables the gap always runs from the previous regular close to today's regular open. Another choice, such as the last overnight price, produces another number and another statistic.
What it means for a gap to fill
Filling the gap means price touches the previous regular session close again. Here, it also has to do so within the same regular session. If it touches it the next day, it counts as not filled.
That time cutoff is a decision, not a law of the market. Giving price three days to come back yields much higher percentages that are much less useful for anyone trading intraday. When you compare figures across sources, match the window first.
The second decision is what counts as a touch. It is enough for price to return to the level, with no requirement of a close beyond it or of staying there. It is the loosest possible definition, and even so many gaps do not make it.
Gap size changes the whole result
If you could keep only one variable of gap analysis, it would be size. The table sorts ES sessions by the magnitude of the gap, as a percentage of price, and the result tilts from one extreme to the other.
Tiny gaps, from 0 to 0.1%, fill 90.8% of the time when up and 92.1% when down, over 781 ES sessions. In the 0.1 to 0.25% band, with 1,074 sessions, the values drop to 74.4% and 74.7%.
At the other extreme the picture reverses. Gaps of more than 1% fill 17.8% of the time when up and 21.8% when down, and the sample there is only 394 ES sessions. The crossover happens in the intermediate 0.25 to 0.5% band, with 1,076 sessions: 51.5% up and 59.6% down.
There is a boring explanation behind it. A small gap is close by definition, and price passes through there almost without trying. A large gap demands a long move against it. The table does not uncover an anomaly: it describes a distance.
Gap fill by gap size
ES
| Gap size | Gap up | Gap down | Sessions |
|---|---|---|---|
| 0-0.1% | 90.8% | 92.1% | 781 |
| 0.1-0.25% | 74.4% | 74.7% | 1,074 |
| 0.25-0.5% | 51.5% | 59.6% | 1,076 |
| 0.5-1.0% | 33.1% | 32.0% | 779 |
| >1.0% | 17.8% | 21.8% | 394 |
n = 4,104 · 2010-06-07 to 2026-09-15 · exchange data
Gap measured from the prior regular-session close (16:00 ET) to today's open (9:30 ET). Fill = price trades back to that close within the same regular session. Zero gaps are excluded.
The same gap, five different indices
Here is the finding most worth internalizing. With the same definition and the same period, the gap up fills 58.1% of the time in the ES, over 4,104 sessions, and only 40.9% in the NKD, over 4,094 sessions.
The other indices fall between those two poles. The NQ fills 60.1% of up gaps and 64.1% of down gaps, over 4,130 sessions. The RTY shows 62.2% and 62.1% over 2,339 sessions, a considerably smaller sample. The YM sits at 57.1% and 61.7% over 4,127 sessions.
The conclusion is uncomfortable for headlines: a gap fill figure that does not say which instrument it comes from tells you nothing. Carrying the ES number over to the NKD, or the other way around, changes the expectation completely, and the contrast is not explained by sample size, because both are similar.
The same gap, five instruments
ES, NQ, RTY, YM, NKD
| Instrument | Gap up | Gap down | Sessions |
|---|---|---|---|
| ES | 58.1% | 60.9% | 4,104 |
| NQ | 60.1% | 64.1% | 4,130 |
| RTY | 62.2% | 62.1% | 2,339 |
| YM | 57.1% | 61.7% | 4,127 |
| NKD | 40.9% | 42.9% | 4,094 |
n = 18,794 · 2010-06-07 to 2026-09-15 · exchange data
The same measurement applied to each index. Differences between instruments are why a bare figure, without saying which market it comes from, is useless.
Day of the week adds less than it seems
The calendar also sorts the figures, though less strongly than size. In the ES, Monday is the day with the least filling of up gaps: 49.1% over 819 sessions. That same Monday fills 55.8% of down gaps.
Wednesday sits on the other side of the table, with 64.3% filling for up gaps and 68.3% for down gaps over 829 sessions. In between are Tuesday, with 60.2% and 60.3% over 825 sessions; Thursday, with 59.7% and 62.8% over 826; and Friday, with 56.8% and 57.8% over 805.
Before drawing a rule from Monday, remember where the data comes from. Monday's gap accumulates the whole weekend of news, so it tends to be larger. The day column may be showing the size effect again, disguised as calendar.
Gap fill by day of the week
ES
| Day | Gap up | Gap down | Sessions |
|---|---|---|---|
| Monday | 49.1% | 55.8% | 819 |
| Tuesday | 60.2% | 60.3% | 825 |
| Wednesday | 64.3% | 68.3% | 829 |
| Thursday | 59.7% | 62.8% | 826 |
| Friday | 56.8% | 57.8% | 805 |
n = 4,104 · 2010-06-07 to 2026-09-15 · exchange data
Same gap and fill definition as the size table, split by day of the week.
What these figures do not measure
They do not measure how painful the path is. A session can fill the gap after moving hard against you, and it counts the same as one that fills it in the first minute. There is also no data on time to fill.
They do not measure profitability. A high fill percentage says nothing about commissions, slippage or stop size. The 90.8% for tiny ES gaps comes with a tiny move: the hit is frequent and small at the same time.
And they carry the biases of their period, from June 2010 to September 2026, sixteen years in which U.S. indices rose much more than they fell. Large gaps, moreover, are not spread evenly: they cluster in episodes of stress, so those sessions are far from independent of one another.
How to use it in your preparation, without turning it into a signal
A historical percentage serves to calibrate expectations before the open, not to trigger an order. Seeing that today's gap falls in the ES band of more than 1% changes what is reasonable to expect from the day; it does not tell you what to do with it.
The useful routine is simple: identify the instrument, measure the gap with a single definition, place it in its size band, and note the sample of that cell. If it has few observations, treat it as a hint and not as hard data.
This content is informational and educational material on reading market data. It is not personalized investment advice, and historical behavior does not anticipate that of upcoming sessions. Trading futures involves risk of loss.
Frequently asked questions
- Do all gaps close on the same day?
- No. In the ES, gaps of more than 1% filled within the same regular session 17.8% of the time when up and 21.8% when down, over 394 sessions. The frequency rises a lot when the gap is small.
- What percentage of gaps fill in the ES?
- Taking all sessions with a gap, the ES fills 58.1% of up gaps and 60.9% of down gaps, over 4,104 sessions. That average hides huge differences depending on gap size.
- Which day of the week do the most gaps fill?
- In the ES it is Wednesday, with 64.3% up and 68.3% down over 829 sessions. Monday is the lowest for up gaps, at 49.1% over 819 sessions. Part of that difference may come from gap size, which tends to be larger on Monday.
- How do you measure a gap in futures that trade almost 24 hours?
- You have to pick a fixed reference and not change it. Here the previous regular session close, at 4:00 p.m. New York time, is used against the 9:30 a.m. open. Using the last overnight price gives another gap and another statistic.
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