The Overnight Gap Fill

#1 Win RateBeginner

The cleanest, most consistent setup in futures — and almost nobody uses it systematically.

76–80%

Win Rate

3:1 avg

Avg R:R

Why It Works: Did you know that 76–80% of overnight gaps in ES and NQ fill back to the prior day 4 PM close? This one statistical fact is worth thousands of dollars if you apply it with discipline.

Step Progress0 / 7 steps reviewed

The "gap" starts at 4:00 PM EST every weekday when Regular Trading Hours (RTH) close. Whatever the closing price was — that is your gap fill target. Most platforms show this as a horizontal line. In NinjaTrader: it is the "Daily Settlement" level. In TradingView: look at the 4 PM candle close price. This level is your anchor for the entire strategy.

Pro Tip

Write down the prior RTH close every evening before your next session. Example: Monday 4 PM close = 5,408.50. Tuesday job = fill any gap above or below that level.

✓ Do This

Check the RTH close price every evening before your next session

Mark it as a horizontal line on your chart before 9:30 AM

Identify if price opened ABOVE (gap up) or BELOW (gap down) that level

✗ Avoid This

✗Use the globex or overnight open as your reference — use the 4 PM RTH close only

Not all gaps are tradeable. Gaps that are too small are just noise. Gaps that are too large usually have a fundamental news reason and may not fill quickly. The sweet spot: 0.1% to 0.5% of the index price. For ES around 5,400: perfect gap = 5 to 27 points. Smaller than 5 = ignore. Larger than 30 = check for major news catalyst.

Pro Tip

If a gap forms because of a major scheduled event like FOMC, CPI, or NFP — treat it with extra caution. These gaps sometimes fill, but the volatility makes stop placement harder.

✓ Do This

Calculate gap size in points and as a percentage

Acceptable gap: 0.1 to 0.5 percent of the index price

Check if any major news catalyst caused the gap

✗ Avoid This

✗Trade gaps larger than 0.6% without extra confirmation

✗Trade gaps on major news announcement days without a tight plan

The opening 5 to 10 minutes of RTH are chaotic. Market makers adjust spreads, options exercise, algorithms reposition. Price moves violently in random directions. Do not enter at 9:30 AM. Wait for the market to breathe. Watch the TICK index. When TICK readings calm down from extreme spikes (above +800 or below -800), the initial volatility is settling.

Pro Tip

The magic window is 9:36 AM to 9:45 AM EST. By then, the opening volatility has settled and the gap fill trade — if it is going to happen — starts showing early signs.

✓ Do This

Wait until at least 9:36 AM before considering entry

Watch the TICK index: wait for readings to come inside plus or minus 800

Look for price to stop making new extremes — a small consolidation forming near the open

✗ Avoid This

✗Enter at 9:30 AM — this is almost always a losing habit for beginners

✗Chase the first big move of the day before confirmation

VWAP is your directional filter for the gap fill trade. On a gap-up day (price opened above prior close), VWAP should be BELOW current price — confirming that intraday sentiment leans toward the fill. Gap fill SHORT: VWAP should be below current price. If VWAP is ABOVE current price — the fill direction is contested. Wait or skip.

Pro Tip

VWAP alignment creates a 3-confluence setup: (1) Historical probability 76%, (2) Price structure (the gap), (3) VWAP direction confirming the lean. Three in one.

✓ Do This

Gap up + VWAP below price: SHORT trade toward prior close

Gap down + VWAP above price: LONG trade toward prior close

If VWAP and gap direction disagree: wait or skip the trade

✗ Avoid This

✗Take the trade when VWAP contradicts your intended direction

Price rarely goes straight from the open to the gap fill level. It makes a move, pulls back, then continues. You want to enter on that pullback — not by chasing the initial move. For a gap-up short: price opens at 5,419, sells off to 5,412, then bounces back up to 5,415. THAT bounce to 5,415 is your entry. You are now short with price already showing the direction.

Pro Tip

Use a limit order at the pullback level. Never use a market order for futures entries — you give away 1 to 2 ticks of slippage every single trade.

✓ Do This

Enter on the first pullback after the initial directional move

Use limit orders — set your price and wait for the fill

Your entry should be in the direction of the gap fill, not against it

✗ Avoid This

✗Chase price as it moves away from you

✗Enter using a market order — slippage compounds significantly over hundreds of trades

Your stop goes above the overnight high (for gap-up shorts) or below the overnight low (for gap-down longs). If price breaks beyond the overnight extreme, the gap fill thesis is wrong — institutions are pushing for new territory, not returning to fair value. Typical stop distance: 6 to 12 ES points, depending on overnight volatility. Always verify with ATR times 1.5 for that day.

Pro Tip

Never set the stop at a round number like 5,420.00 — set it at 5,420.50 or 5,421.25. Round numbers are hunted by algorithms. One tick beyond the round number keeps you in the trade.

✓ Do This

Stop above overnight high for short gap fills

Stop below overnight low for long gap fills

Add 1 to 2 ticks beyond the level to avoid being hunted at round numbers

✗ Avoid This

✗Set stop at round numbers — they get hunted by algorithms

✗Use a fixed-point stop without checking the overnight range

Your primary target is exactly the prior day 4 PM settlement price — where the gap fills. If price reaches this level, take your profit. On average, the full gap fill happens within the first 60 to 90 minutes of RTH. If it is 11:30 AM and the gap is only 50% filled with no momentum — exit at 50% and move on.

Pro Tip

The gap fill level is your primary target. If you want to hold for more, move your stop to breakeven first so profits are protected no matter what.

✓ Do This

Set T1 at the prior RTH close (the gap fill level)

Take full or partial profits when the gap fills

If holding for more, move stop to breakeven first

✗ Avoid This

✗Ignore the gap fill level hoping for a bigger move

✗Hold a gap fill trade past 12:00 PM without the gap being filled — the odds drop significantly

Annotated Full Trade — The Overnight Gap Fill

// FULL EXAMPLE — ES Gap Fill Short
Monday 4:00 PM RTH close: 5,408.50
Tuesday 9:30 AM RTH open: 5,421.00
   Gap up: +12.50 points (0.23%) ✓ Size is perfect
   VWAP at open: 5,416.00 (below price) ✓
⏸ Wait: 9:30–9:37 → Opening volatility settles
Price bounced from 5,416 back up to 5,419 (pullback entry)
🎯 SHORT entry: 5,419 (9:39 AM)
   Stop: 5,427 (above overnight high) = 8 pt risk
   Target: 5,408.50 (gap fill) = 10.50 pt reward
✅ Gap filled at 10:08 AM (29 minutes)
   Profit: +10.50 pts = +$525/ES contract | R:R = 1.3:1
   (Larger gaps of 20–30 pts yield 3:1+ R:R easily)

The Strategy Playbook4 Proven Systems. Every Step Explained.

The Overnight Gap Fill

The Strategy Playbook
4 Proven Systems. Every Step Explained.