Opening Gap Trivia 09/24/11

I looked over the last two years of ES futures data for the daily time periods of 0930 to 1615 ET.

The two scenarios that I analyzed are open up gaps and open down gaps of more than 4 points. 65% of the up gap days traded back into the gap area by at least 4 points. 76% of the down gaps traded back into the gap area by at least 4 points.

CAUTION

The market on gap days doesn't always try to close the gap immediately. There are days when the market will trade in the opposite direction of the gap a considerable distance before reversing and trading back into the gap area.

Charles