The Overnight Gap Fill

#1 Win RateBeginner

76–80% of overnight gaps fill back to the prior close. Find the gap, wait for confirmation, trade the fill.

76–80%

Win Rate

3:1 avg

Avg R:R

📊 Instruments

ES, NQ, MES, MNQ

⏱️ Timeframe

5-min entry → 1-min trigger

🕐 Best Time

9:36–11:00 AM ET

CHART TIMEFRAMES:5m1m

The Simple Rule: Price opened higher or lower than yesterday ’s 4 PM close? It usually comes back. Short the gap-up, long the gap-down.

Step 1 / 6

01 — Mark the Prior Day 4 PM Close

Mark the Prior Day 4 PM Close

Step 1 of 6 · The Overnight Gap Fill

1 / 6

💡 The Simple Version

This is your target for the whole trade. Before market opens, draw a horizontal line at yesterday's 4 PM closing price.

📊

Gap-up = price opened ABOVE prior close. Your trade = SHORT back to the prior close.

Full Explanation

The gap is the distance between where price CLOSED yesterday at 4 PM and where it OPENED this morning at 9:30 AM. That 4 PM close is your fill target — when price reaches it, you take profit.

✓ Do This

Check 4 PM close every evening. Mark it on your chart before 9:30 AM.

Label it clearly: "Gap Fill Target — 5,408.50"

Ideal gap size: 5–27 ES points (0.1–0.5% of price)

✗ Skip / Avoid

Gaps smaller than 5 ES points — not worth the spread cost

Gaps caused by major news (FOMC, NFP) — too unpredictable

Chart Examples — The Overnight Gap Fill

📊 Gap Fill: Price opened above prior 4PM close → VWAP below price → Short on pullback → Gap fills back to prior close. 76–80% fill rate.

Gap-UP: Opened at 102.5, prior close was 100.1. Short fills the gap.

Green = Buyers

Red = Sellers

Real Trade Example — The Overnight Gap Fill

// ES Gap Fill Short — Tuesday Morning
Monday 4PM close: 5,408.50
Tuesday 9:30 AM open: 5,421.00 (gap up +12.5 pts)
VWAP at open: 5,416 (below price) ✓ confirmed
Wait until 9:36 AM. Watch for pullback.
9:39 AM: Price bounced from 5,412 → 5,419 (pullback)
SHORT entry: 5,419 (limit order on pullback)
Stop: 5,427 (above overnight high) = 8 pts risk
Target: 5,408.50 (gap fill) = 10.5 pts
10:08 AM: Gap filled. +10.5 pts. $525/contract.

The Strategy Playbook11 Proven Systems. Plain English. Every Step.

The Overnight Gap Fill

The Strategy Playbook
11 Proven Systems. Plain English. Every Step.