Most gaps reach their midpoint. The question is how fast and under what conditions.
A midpoint fill means price retraces halfway through the gap. We tracked every SPY gap over 25 years and built cumulative probability curves out to 7 trading days — then split them by daily trend direction and hourly compression state.
Methodology
›Gap calculation: RTH only. Gap = 9:30 AM open minus previous day's 4:00 PM close. Pre-market moves are baked into the gap size.
›Midpoint fill: Price reaches (previous close + open) / 2. For a 1% gap up from $500, the midpoint is $502.50 (halfway back).
›Fill tracking: Uses RTH daily highs/lows (9:30–16:00) over the next 1–7 trading days.
›Daily EMA 21 slope: Computed on RTH daily candles. “Bullish” = today's daily EMA 21 > yesterday's. Captures the prevailing multi-week trend.
›1h compression: Bollinger Band squeeze on the 60-minute chart at 9:00 AM (the bar covering 9:00–9:59, which includes market open). The 1-hour bars include extended hours (4am–7pm), so the BB/ATR squeeze calculation reflects overnight and pre-market volatility, not just RTH.
›Weekly EMA 21: From RTH weekly candles. “Above Weekly 21” = the day's 9:30 AM open is above the most recent weekly EMA 21. This captures whether price is in a weekly uptrend or downtrend relative to the pivot.
Dataset & Conditions
6,536 gaps across 25 years of SPY (Jan 2000 – Oct 2025). Every trading day produces either a gap up or gap down from the prior RTH close. We split these by size bucket and by two filters measured at the time of the gap:
Gap Up (n=3,589)
Bucket
All
EMA21↑
EMA21↓
<0.25%
1,562
1,172
390
0.25–0.5%
1,012
687
325
0.5–1%
713
451
262
1–2%
245
138
107
2%+
57
29
28
Gap Down (n=2,947)
Bucket
All
EMA21↑
EMA21↓
<0.25%
1,306
927
379
0.25–0.5%
739
445
294
0.5–1%
563
242
321
1–2%
266
66
200
2%+
73
10
63
Condition filters:
›Daily EMA 21 slope — computed on RTH daily candles. “Bullish” = today's EMA 21 > yesterday's EMA 21. This captures the prevailing multi-week trend direction.
›1-hour compression — BB squeeze on the 60-minute chart, sampled at the 9:00 AM bar (covers 9:00–9:59). Hourly bars include extended hours (4am–7pm), so this reflects overnight volatility. When active: BB width < 2×ATR.
›Weekly EMA 21 position — from RTH weekly candles. “Above” = day's open is above the weekly 21 EMA. Captures the weekly trend regime.
›Combined filters — e.g., compression + EMA21 direction, or weekly 21 position + daily EMA21 direction. Note: some combined buckets have small samples (n<30). Treat those with caution.
Key Finding
99%
Gap ups <0.25% during bearish EMA21 reach midpoint within 1 day
96%
Gap downs <0.25% during bullish EMA21 reach midpoint within 1 day
33%
Large gap ups (2%+) in compression + bull trend: midpoint at 7 days n=3, small sample
Trend alignment is everything for gap fills. Counter-trend gaps reach midpoint dramatically faster. A 0.5–1% gap up during bearish EMA21 reaches midpoint 85% in one day vs only 66% during bullish. The market snaps back to the mean when it gaps against the prevailing trend. With-trend gaps, especially large ones during compression, are often breakout gaps that resist filling.
Cumulative Fill Curves
Select a condition to see how fill rates change. Each cell shows the probability that the gap has reached its midpoint by that many trading days. Read left to right to see the fill curve build.
Practical Takeaways
Small counter-trend gaps reach midpoint almost immediately. Gap ups under 0.25% during bearish EMA21 reach their midpoint 99% of the time on day 1. Gap downs in a bull trend: 96%. These are near-certainty mean reversion trades.
Large gaps during compression + bull trend resist midpoint fills. Only 33% of 2%+ gap ups reach their midpoint within 7 days when compression is active and EMA21 is rising (small sample, n=3). These are breakout gaps — the squeeze resolved upward. Fading these carries significant risk.
Gap downs in a bull trend are buyable. 0.5–1% gap downs during bullish EMA21 reach midpoint 86% on day 1 and 93% by day 7. The trend is your friend — the gap is a dip to buy.
Gap downs in a bear trend take longer. Same 0.5–1% gap down during bearish EMA21 reaches midpoint 71% on day 1 and 88% by day 7. The gap is with the trend, so there's less reason for price to bounce back.