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
509d
Best Streak
23W
Worst Streak
3L
Avg Gain
+8
Avg Loss
-29
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 |
|---|---|---|---|
| 2026-09-10 | Gap UP 3pts | Filled | +3 |
| 2026-09-09 | Gap UP 1pts | Filled | +1 |
| 2026-09-08 | Gap DOWN 6pts | Filled | -6 |
| 2026-09-07 | Gap DOWN 6pts | Filled | -6 |
| 2026-09-04 | Gap DOWN 5pts | Filled | -5 |
| 2026-09-03 | Gap DOWN 3pts | Filled | -3 |
| 2026-09-02 | Gap UP 2pts | Filled | +2 |
| 2026-09-01 | Gap UP 2pts | Filled | +2 |
| 2026-08-31 | Gap UP 2pts | Filled | +2 |
| 2026-08-28 | Gap DOWN 9pts | Filled | -9 |
| 2026-08-27 | Gap UP 32pts | Not Filled | +32 |
| 2026-08-26 | Gap DOWN 0pts | Filled | +0 |
| 2026-08-25 | Gap UP 6pts | Filled | +6 |
| 2026-08-24 | Gap UP 2pts | Filled | +2 |
| 2026-08-21 | Gap UP 7pts | Filled | +7 |
| 2026-08-20 | Gap UP 4pts | Filled | +4 |
| 2026-08-18 | Gap DOWN 3pts | Filled | -3 |
| 2026-08-17 | Gap UP 4pts | Filled | +4 |
| 2026-08-14 | Gap UP 3pts | Filled | +3 |
| 2026-08-13 | Gap DOWN 0pts | Filled | +0 |
See today's full ES odds
Bias, gap fill, ORB odds, expected range — structured before 09:30.