Half-Gap Fill Rate Dashboard
2019–2026 | 1,774 sessions | E-mini S&P 500
What is the Half-Gap?
The half-gapis the midpoint between the prior session's settlement (close) and the current session's opening price. When the market opens with a gap, price has a measurable tendency to fill back to this midpoint during RTH. The fill rate depends on the size of the gap.
How to use this
- Directional bias at the open — If the half-gap has a high fill probability, lean in the direction of the fill (long for gap-down, short for gap-up).
- Gap size matters — Small gaps fill at 89–99% across all markets. Larger gaps are less reliable and should be filtered.
- Use the on-chart study — The AMT Half-Gap Alert study shows the live fill probability, gap bin, and direction directly on your Sierra Chart.
- Combine with context — Use alongside Flagship levels, IB structure, and market internals for higher-confidence setups.
78.1%
Overall Fill Rate
76%
Gap-Up Fill (n=988)
80.7%
Gap-Down Fill (n=786)
1,774
Total Sessions
Fill Rate by Gap Width (pts)
Gap width (pts) — smaller gaps fill at higher rates across all markets
Detailed Fill Rates — ES
| Gap Width | n (Up) | Fill% (Up) | n (Dn) | Fill% (Dn) | n (Total) | Fill% (Total) |
|---|---|---|---|---|---|---|
| 0-5 | 152 | 99.3% | 153 | 98.7% | 305 | 99% |
| 5-10 | 199 | 87.9% | 150 | 91.3% | 349 | 89.4% |
| 10-15 | 155 | 83.9% | 113 | 88.5% | 268 | 85.8% |
| 15-20 | 148 | 72.3% | 88 | 83% | 236 | 76.3% |
| 20-25 | 82 | 64.6% | 54 | 72.2% | 136 | 67.6% |
| 25-30 | 70 | 60% | 45 | 71.1% | 115 | 64.3% |
| 30-40 | 83 | 60.2% | 61 | 59% | 144 | 59.7% |
| 40-50 | 34 | 52.9% | 35 | 60% | 69 | 56.5% |
| 50+ | 65 | 38.5% | 87 | 51.7% | 152 | 46.1% |
| TOTAL | 988 | 76% | 786 | 80.7% | 1774 | 78.1% |
Key Findings — ES
- ES half-gaps fill at an overall rate of 78.1% across 1,774 sessions (HIGH confidence).
- The smallest gaps (0-5 pts) fill at 99%— near certainty. Fill rate decreases monotonically with gap size.
- Gap-down fills (80.7%) are consistently slightly higher than gap-up fills (76%) across most bin sizes. This suggests a mild long bias in mean-reversion.
- The largest gaps (50+ pts) fill only 46.1% of the time — these are the ones to avoid or fade with caution.