ES Futures Overnight Gap Statistics: Fill Rates, Patterns, and Trading Implications

What Is an Overnight Gap in ES Futures?

An overnight gap occurs when the ES futures price at the regular trading session (RTH) open (9:30 AM ET) is meaningfully different from the prior RTH close (4:00 PM ET or 4:15 PM ET for extended hours). The gap represents price movement that occurred during the Globex overnight session, when news events, international market movements, and thin-volume price discovery create price differences between the sessions.

Note the specific definition: the gap is measured between the prior RTH close and the current RTH open — not between the continuous Globex session prices. The Globex session never closes (except for a 1-hour maintenance window on Friday/Saturday), so "gap" refers specifically to the RTH-to-RTH discontinuity that appears on regular session charts.

Overall Gap Fill Statistics

Across historical ES futures data, approximately 70–75% of daily RTH gaps fill at some point during the trading session. "Fill" means price returns to the prior RTH close level at least once during the session. However, this headline statistic is frequently misapplied — the fill rate varies significantly based on gap size and day of week.

Gap fill rate by gap size (approximate, based on multi-year ES data):

• Small gaps (0–5 points): 80–85% fill rate. These micro-gaps often fill within the first 30 minutes of RTH as the market finds equilibrium between overnight and daytime participants.
• Medium gaps (5–15 points): 65–72% fill rate. Fill timing is more variable — may fill early (9:30–11:00 AM) or late (afternoon session), or not at all on directional trend days.
• Large gaps (15–30 points): 50–60% fill rate. At this size, the gap likely reflects genuine new information or institutional repositioning — fill probability drops meaningfully. Expect the fill attempt to occur, but trade it with a wider stop.
• Very large gaps (30+ points): 35–45% fill rate. These extreme gaps driven by major overnight catalysts (geopolitical events, Fed actions, major economic surprises) have near-coin-flip fill probability. Do not assume the gap will fill on these days.

Monday vs. Daily Gap Behavior

Monday gaps deserve separate analysis because they incorporate the full weekend Globex session (approximately 65 hours of uninterrupted trading vs. the typical 17-hour overnight session on other days). Monday gaps are structurally different:

• Monday gap fill rates run approximately 5–10% lower than equivalent-size gaps on other days of the week
• Large Monday gaps (15+ points) that align with the weekly directional trend have particularly low fill probability — the gap represents 65 hours of sustained institutional positioning
• Small Monday gaps (0–5 points) maintain high fill rates (75–80%) similar to daily gaps

The practical implication: do not assume Monday's large gap will fill the same way a Tuesday–Friday large gap might. Respect the Weekly Opening Price (WOP) framework on Mondays — the gap direction relative to WOP is more informative than the gap fill probability alone.

The Correct Way to Trade Gap Fills

The most common gap trading mistake: fading the gap immediately at the open. A short gap-fill trade entered at 9:30 AM on a large-gap day has two problems. First, the opening 5 minutes have the widest spreads and most erratic price action of the day — entry quality is poor. Second, large gaps often extend before filling, meaning a fade entered at the open gets stopped out before the fill occurs.

The YMI gap-fill entry framework:

1. Wait for the initial gap direction move to establish (first 5–15 minutes of RTH). Let the gap either extend further or begin the fill move.
2. For small gaps (0–5 points) starting to fill: enter in the fill direction when TICK confirms the fill move (TICK moving toward zero or negative for a gap-down fill). Stop goes beyond the session open high/low.
3. For medium gaps (5–15 points): wait for the first pullback after the initial gap extension. If the gap was up 10 points and the first RTH candle extends another 5 points but then reverses with TICK turning negative — that's the gap-fill entry setup. Stop above the RTH session high.
4. Target: the gap fill level (prior RTH close) is the primary target. Do not expect more than the fill on medium/large gap-fill trades — the fill is the statistical destination, not a launching pad for further movement in most cases.

When Gap Fill Trades Fail

Gap fills fail when the gap represents genuine directional information. The key filter: does the gap align with the broader weekly and monthly trend? A gap up on an established weekly uptrend is more likely to extend than fill — the gap reflects trend continuation, not overreaction. A gap against the trend (gap up in a downtrend, gap down in an uptrend) has higher fill probability because it's more likely to represent an overreaction to a specific catalyst.

Secondary filter: TICK behavior in the first 15 minutes. If ES gaps up 15 points and TICK immediately spikes above +1,000 and stays elevated — institutions are buying the gap, not fading it. Fill probability on this day is low. If ES gaps up 15 points and TICK immediately reverses below +200 — the gap is being faded by institutions from the first minute. Fill probability is much higher.

Using these two filters (trend alignment + TICK behavior) in conjunction with the gap size statistics gives a significantly more accurate fill probability estimate than the historical averages alone, allowing better position sizing and stop placement on gap-fill trades.