Gap Fill Strategy for ES and NQ Futures: Entries, Stops, and What to Log

A gap fill trade has a built-in target, the prior regular-session close, and a built-in problem: the stop usually sits beyond the opening range, which can leave the reward barely larger than the risk. Before you trade gaps in ES or NQ, work through the numbers. The story that gaps fill is a belief to test, not a settled fact, and I haven't verified a fill rate for you, so don't trust anyone's quoted percentage, including old ones that circulate.

What the gap actually is

For this strategy a gap is the difference between the regular session open (9:30 am ET for US equity cash hours, adjusted for holidays and shortened days) and the prior regular session close. Futures trade nearly around the clock on CME Globex, so the contract did trade through that space overnight. The gap is a regular-hours concept, which is why the prior RTH close is the reference price and not the last price you see on a screen at 9:29. Check CME's schedule for daily breaks and holiday hours, because they aren't universal.

Sort gaps before trading them

Size and cause both matter. A small gap may reflect ordinary overnight drift. A large one often follows news and can represent a real repricing, which is a different situation from an imbalance that corrects. Define your own size buckets in points or in a percentage of ATR, and track outcomes by bucket. An example split is under 5 points, 5 to 20 points, and over 20 points on ES, but treat those cutoffs as a starting hypothesis, since volatility changes over time and NQ moves in larger point terms.

Also log the cause. A scheduled data release, an earnings report from a heavy index component, or a geopolitical headline is different from no obvious news. And log direction relative to the multi-day trend, because a gap that continues the trend and a gap that opposes it may behave differently. You will only know if you record it.

The trade structure

Buying the open of a gap down isn't a setup. A more defined version waits for the opening range (first 15 to 30 minutes) to form. For a gap down, you go long when price breaks above the opening range high, with the stop below the opening range low and the target at the prior close. For a gap up, you short a break below the opening range low, stop above the opening range high, and target the prior close. A partial exit at the gap midpoint is an option for larger gaps.

Hypothetical ES example. The prior close is 5,000.00 and the open is 4,990.00, a 10-point gap down. The 30-minute range is 4,987.00 to 4,993.00. You buy a break at 4,993.25 with a stop at 4,986.75 and a target at 5,000.00.

That is roughly 1 to 1 before costs. At that ratio the setup needs to fill more often than it fails by a margin that covers commissions and slippage, so run the numbers with the edge calculator before trading it. If the opening range is wide, the entry can come close to the target, leaving almost nothing. Skipping those days is a valid rule. The reverse also applies: a narrow opening range gives a tight stop and better reward to risk.

Conditions that may help or hurt

Reasons you might favor a trade: a modest gap with no obvious news, early buying (for a gap down) that forms a clean opening range high, and a prior close that sits where you already have a reference level. Reasons for caution: a major scheduled catalyst behind the gap, a gap in the direction of a strong multi-day trend, and a heavy one-sided opening that suggests participants are pressing the gap direction. These are hypotheses. Write them as yes or no fields in a log and see which ones relate to outcomes in your own sample.

The time limit

A common rule is to exit if price hasn't moved toward the fill after a set time, for example 90 minutes. The logic is that holding a stale trade into the afternoon exposes you to a different kind of session. The specific number is a personal choice, so test two or three values against your log, and don't take 90 minutes as established.

KPL as context

KPL levels are fixed reference prices anchored to the regular session opening print, so on a gap day the anchor is the gapped open itself, and the four standard ES or NQ levels can only be mapped after 9:30 am ET. They don't move intraday. If a level sits between the open and the prior close, you can plan a partial exit there and check later whether price reacted. I wouldn't claim it makes a fill more likely without evidence. See the KPL trading guide for how the map is built.

What to log

For each gap record the date, direction, size, cause, whether the prior close was reached and how long it took, the maximum move against your entry, and commissions. Thirty gaps is a small sample and not a statistically proven edge, so keep size small while it builds, and treat each size bucket as its own, smaller sample.