Milkman Trades — Cumulative Gap Fills
Midpoint fill probability over 1–7 trading days, by gap size and trend (n=6,536)
01 — What's a Midpoint Fill
Halfway-back, not full close-the-gap
A midpoint fill = price retraces to (PDC + open) / 2. RTH only, gap = 9:30 open vs prior 4:00 close. Cumulative probability tracked through next 1–7 trading-day RTH highs/lows. 6,536 gaps across 25 years of SPY (2000–2025).
99.0%
Gap ups <0.25% in bear EMA21
→ midpoint by day 1
96.0%
Gap downs <0.25% in bull EMA21
→ midpoint by day 1
33%
2%+ gap ups, compression + bull
→ midpoint by day 7 (n=3)
02 — All Gaps by Size (Day 1 / Day 7)
Baseline midpoint fill rates
| Gap size | Up D1 | Up D7 | Down D1 | Down D7 |
|---|
| <0.25% | 94.4% | 97.4% | 94.7% | 97.2% |
| 0.25–0.5% | 83.0% | 90.8% | 88.0% | 94.5% |
| 0.5–1% | 72.4% | 87.0% | 77.4% | 90.8% |
| 1–2% | 57.1% | 75.1% | 70.3% | 88.7% |
| 2%+ | 61.4% | 71.9% | 63.0% | 86.3% |
Tiny gaps (<0.25%) are near-certainty fills. Large gaps drop sharply but most still fill within a week.
03 — Counter-Trend Magic
Trend alignment is the dominant filter
| 0.5–1% gap | D1 | D7 |
|---|
| Gap up, bear EMA21 (counter) | 84.4% | 94.7% |
| Gap up, bull EMA21 (with-trend) | 65.4% | 82.5% |
| Gap down, bull EMA21 (counter) | 85.5% | 93.4% |
| Gap down, bear EMA21 (with-trend) | 71.3% | 88.8% |
Counter-trend gaps fill ~20pp faster on day 1. With-trend gaps are often breakouts.
04 — Compression × Trend (gap ups)
Compression breakouts resist filling
| Gap up, regime | n | D1 | D3 | D7 |
|---|
| Compression + EMA21 bull | 153 (0.5–1%) | 71.2% | 76.5% | 85.6% |
| Compression + EMA21 bull (1–2%) | 30 | 60.0% | 76.7% | 76.7% |
| Compression + EMA21 bull (2%+) | 3 | 33.3% | 33.3% | 33.3% |
| Compression + EMA21 bear (0.5–1%) | 92 | 85.9% | 93.5% | 94.6% |
Compression + bull trend + large gap up = breakout signature. Don't fade. (Note: 2%+ bucket is n=3, illustrative only.)
★ Bottom Line
How to trade gap fills
- Small counter-trend gaps are near-certainty mean-reversion. <0.25% gap up in a bear EMA21 fills 99% on day 1. Same for gap down in a bull trend (96%). Fade confidently with size.
- Trend alignment is everything. The same 0.5–1% gap fills ~20 percentage points faster against trend than with-trend on day 1. Always check daily EMA21 slope first.
- Compression + bull + large gap up = breakout, not fade. 2%+ gap ups in compression + bull trend only fill 33% by day 7 (small sample). The squeeze resolved up — don't fight it.
- Gap downs in a bull trend are buyable. 0.5–1% gap downs during bullish EMA21 fill 86% day 1, 93% by day 7. Trend-pullback → dip-buy.
- Even “ugly” large gaps mostly fill. 2%+ gap downs still hit midpoint 86% by day 7 across all regimes. Patience pays.
milkmantrades.com · ATR Levels & Phase Oscillator by Saty Mahajan
Source: /gap-fills.html · 25 years of SPY (2000–2025)