Gap Fill Rate - SPY
Will it fill or not? Depends on size.
5 years of data. 1,219 gaps analyzed.
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Will it fill or not? Depends on size.
5 years of data. 1,219 gaps analyzed.
Small gaps (< 0.20%). How long do they take?
Half fill within the first 5 minutes of the session.
IB between 0.2% and 0.4%. What happens next?
372 days analyzed. Breakout is the most frequent scenario.
The side that forms first in the IB predicts the direction of the break.
Low first
Breakout: 142 | Breakdown: 62
High first
Breakdown: 105 | Breakout: 61
The market gives you hints. You just need the data to see them.
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