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
519d
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 |
|---|---|---|---|
| 2026-11-12 | Gap DOWN 24pts | Filled | -24 |
| 2026-11-11 | Gap UP 10pts | Not Filled | +10 |
| 2026-11-10 | Gap UP 7pts | Filled | +7 |
| 2026-11-09 | Gap DOWN 31pts | Filled | -31 |
| 2026-11-06 | Gap DOWN 24pts | Filled | -24 |
| 2026-11-05 | Gap UP 17pts | Filled | +17 |
| 2026-11-04 | Gap UP 14pts | Filled | +14 |
| 2026-11-03 | Gap UP 10pts | Filled | +10 |
| 2026-11-02 | Gap UP 12pts | Filled | +12 |
| 2026-10-30 | Gap DOWN 45pts | Not Filled | -45 |
| 2026-10-29 | Gap DOWN 15pts | Not Filled | -15 |
| 2026-10-28 | Gap UP 4pts | Filled | +4 |
| 2026-10-27 | Gap UP 1pts | Filled | +1 |
| 2026-10-26 | Gap UP 30pts | Filled | +30 |
| 2026-10-23 | Gap UP 2pts | Filled | +2 |
| 2026-10-22 | Gap DOWN 3pts | Not Filled | -3 |
| 2026-10-21 | Gap UP 30pts | Filled | +30 |
| 2026-10-20 | Gap UP 6pts | Filled | +6 |
| 2026-10-19 | Gap DOWN 25pts | Filled | -25 |
| 2026-10-16 | Gap DOWN 2pts | Filled | -2 |
See today's full ES odds
Bias, gap fill, ORB odds, expected range — structured before 09:30.