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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.
Thursday's ES close was 1351.00

Globex range is 1337.00 - 1357.25

80% boundary ( 7 ES point gap down ) = 1344.00

Gap Mid-point (close - globex low) = 1344.00

...with 10 minutes until the official open, ES is currently trading 1343.00 = - 8 ES points
ES opened just inside the 80% boundary at 1344.75
established a long in the ER2 in the 697.50 zone for the gap fill trade .. initial target up at the 704-05 zone.
added long 700.2, stop raised to b/e
b/e stop hit...
...opened a new long in the ER2 at the 697.00 level

...same basic target / relatively tight stop

Also, will add higher given the opportunity
stopped out for a loss of - 1.0
I'm went in long at 41.75.....need to have that key 1339 hold...otherwise 1334 coming.....
covered some at 45 even when we broke that swing top with higher volume and over 950 on ticks....42.50 needs to hold up for me which doesn't seem likely.....confused market today....I'm looking for 15 points of real time range today so with current highs in the 1349 and the lows in the 1338 area we can project where it should the trick is to take a trade to get there...

So far this week we have had 3 gap days in the ES that have went the distance of the gap after the real time session opened...that is a cool
stopped at Break even on runners....nothing working
great gap play in the ES today. Huge rally sold near the R2 pivot to watch it gap fill and then some.WOOT!