This morning would have been the 3rd upgap in a row ES being as high as 4 points during the night, but by now it is already back to a flat open.... It actually pulled back twice between 1540 and 1536....
Instead of having another large downgap (9 ES points) in a row as a start for the day, thanks to the 8:30 economic news release we are back to breakeven, only sligthly down before the open. The market abhors gaps....specially 2 in a row...
2nd gap alert! We are having the 2nd upgap (11 ES points) in a row after yesterday's gap hasn't filled yet, so today's gap has a 90% chance of getting filled by the end of the day. Actually the gap already got much smaller while I was out with the dog, so it is currently only 6 ES pts....
Gaps are filled on all futures. There was a 7 ES pts gain if you shorted when I posted... P.S.: Vertigo3 backtested it see his post above....
I thought it is time to revive this thread because the futures with this volatility gapping up and down like crazy. Last Friday we had a runaway downgap, meaning the gap never got fill during the day and we closed much lower. Then during Sunday night we went even lower, thus we had our 2nd consecutive gap. Sure enough it got filled just before the open, and the market tanked from there. One more for the rule! Then Monday night we went lower and opened with a gap of 10 ES points. There was a try to fill it but it got only up to -5 pts before tanking further. Just after 2 pm we were like -25 ES pts in the red, but then the market "remembered" my rule and with the help of a Wyckoff spring rallied and closed the gap at 3:35 pm, just in time to verify the rule. So that is 2 more for the rule....
============== It varies; but its more than bid ask spread, also called ''noise'' It varies, with stocks also; when they really sell or dump them , or really buy a good uptrend usually more than 2 gaps. Especially when there are motivated sellers.