ESGap Fill
ES Gap Fill Probability
How often ES (S&P 500 futures) fills its overnight gap during the regular session.
What this number means
This is a base rate — how often a gap returns to the prior close at some point during the session. It is not a trade win rate.A mechanical "fade the gap" trade with a real stop fills only ~56% of the cash session on our 3-year 1-min test and is roughly breakeven once a stop and fills are modeled. We publish the difference on purpose — see the methodology.
Regime Filter
VOLATILITY
MACRO EVENT
TREND
GAP SIZE
SESSION TYPE
Probability
87%
Sample Size
480d
Best Streak
23W
Worst Streak
3L
Avg Gain
+8
Avg Loss
-30
Base Rate — Fills At Some Point (not a win rate)
EXTREME87%
ES gap fills behave similarly to NQ but with slightly lower probability due to broader index composition. Most reliable between 10am–12pm ET.
Recent Results
ES Gap Fill · Point Outcome by Day
Recent Setups
| Date | Setup | Result | Points |
|---|---|---|---|
| 2026-06-05 | Gap DOWN 11pts | Not Filled | -11 |
| 2026-06-04 | Gap DOWN 32pts | Filled | -32 |
| 2026-06-03 | Gap UP 4pts | Filled | +4 |
| 2026-06-02 | Gap DOWN 1pts | Filled | -1 |
| 2026-06-01 | Gap DOWN 1pts | Filled | -1 |
| 2026-05-29 | Gap UP 6pts | Filled | +6 |
| 2026-05-28 | Gap UP 14pts | Filled | +14 |
| 2026-05-27 | Gap DOWN 4pts | Filled | -4 |
| 2026-05-26 | Gap UP 28pts | Not Filled | +28 |
| 2026-05-22 | Gap UP 1pts | Not Filled | +1 |
| 2026-05-21 | Gap DOWN 19pts | Filled | -19 |
| 2026-05-20 | Gap DOWN 1pts | Filled | -1 |
| 2026-05-19 | Gap DOWN 2pts | Filled | -2 |
| 2026-05-18 | Gap DOWN 22pts | Filled | -22 |
| 2026-05-15 | Gap DOWN 3pts | Filled | -3 |
| 2026-05-14 | Gap UP 8pts | Not Filled | +8 |
| 2026-05-13 | Gap DOWN 7pts | Filled | -7 |
| 2026-05-12 | Gap DOWN 1pts | Filled | -1 |
| 2026-05-11 | Gap DOWN 15pts | Filled | -15 |
| 2026-05-08 | Gap DOWN 23pts | Filled | -23 |
See today's full ES odds
Bias, gap fill, ORB odds, expected range — structured before 09:30.