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Opening Gap Trade

The Regular Trading Hours (RTH) opening gap trade is a well known trading setup. This trading setup is certainly something I always consider at the opening of the new RTH trading session.

Guy did an analysis of this setup in his article titled "Fading the Gap"

From his article we learn the following historical statistics from the sample period he used...
  • "On average 76% or three quarters of all gaps close at some point during RTH."

  • Gaps on Monday were the least likely to fill and Thursday gap openings the most likely.

  • Opening gaps up to 7 ES points in size were filled during the session at least 70% of the time. This probability drops off surprisingly quickly above the 7 ES point range.

Given these basic concepts as a foundation, I thought it might be helpful to use this topic for further discussion, analysis and trading ideas.
big volume as we hit first target...implies that this is going down further or back other words I'm not expecting consolidation
yeah that was funny, momentum finally showed up as the market gave up 1358 and broke down through your 55 target... good call on that short Bruce !
i'm actually reversing back to a long bias here, as long as ES does not break too far below 1350, im guessing 1350 is going to be the floor... (key word is "guessing")
nice reverse PT..I think my 49 area may be coming soon but I got out at 53.75 giant flush of volume this time down has me thinking that they aren't gonna buy them up again...down at this 52 level
I think the most interesting thing that applies to your thread is that they ran it up almost the exact same amount of the gap amount in the S&P....

i.e. a 12 point gap open went 12 points in the gap direction and rolled over...

all those using a 1 to 1 risk to reward got smoked good....only to watch the market go in the direction they's a cruel world!!!
gap up at yesterdays high so I'm shorting the 1362 in overnight.......this has almost an hour to go till real time is 1356 area as that is first key number once/if we crack 1359 area....1347 is ultimate target.....upside has the 1368 number if we continue to rally today...a print of 1365 will be a concern for me here in overnight as that is 5 points above the VA high
Tuesday close in the ES was 1349.75

Tuesday High was 1363.50

Globex High is 1363.00

Open today is 1360.25 giving us an opening gap up in the ES of +10.5 putting us 3.5 points outside our 80% threshold (of 7 ES points). Using the historical probability table, it looks like a 50-50 proposition on the gap fill this morning.

ES is right up against resistance at yesterday's high, so there is some potential to work trades off that level, either as a short against resistance or as a long on a breakout through resistance for a run up to the 1380 and 1400 levels.
seems like it's gonna be a day to sell into hopes that we accelerate of the downside.....
as the ES closes in on the gap fill, I a nibbling at a long here in the ES at 1351.50
seems like your NQ market wants to fill in that nasty overnight gap down at the 1794 area.....perhaps my data is messed up...
great gap play in the ES today. Huge rally sold near the R2 pivot to watch it gap fill and then some.WOOT!