Do opening gaps in SPY fill?
"Gaps get filled" is one of the oldest sayings in trading. This is a count of how often it was true for SPY, the S&P 500 fund, on the 369 days it opened away from the previous close between 9 Apr 2025 and 9 Nov 2026.
The short version: small gaps filled 77% of the time, large ones 27%. And the rates were lower in the most recent months than in the year the study was first run on.
What's being counted
A gap is the difference between today's opening price and yesterday's closing price. A gap fills if, at any point in the same regular session, price trades back to yesterday's close. Opens within 0.05% of the previous close are ignored as flat.
By size of gap
| Gap size | Days | Filled | Fill rate | Typical time to fill |
|---|---|---|---|---|
| small (under 0.25%) | 145 | 112 | 77% | 15 min |
| medium (0.25% to 0.50%) | 112 | 49 | 44% | 55 min |
| large (over 0.50%) | 112 | 30 | 27% | 140 min |
| All gaps | 369 | 191 | 52% | 30 min |
Typical time is the median, in minutes after the open, among the gaps that filled.
Did it hold up?
The study was first run on the year to 15 Apr 2026. The same code was then run on the months that followed, which it had never seen. Fill rates were lower in every size band.
| Gap size | 9 Apr 2025 to 15 Apr 2026 | 16 Apr 2026 to 9 Nov 2026 |
|---|---|---|
| small | 83% of 95 | 66% of 50 |
| medium | 51% of 65 | 34% of 47 |
| large | 30% of 73 | 21% of 39 |
That is the useful part. A number measured on one year is a description of that year. With 136 days in the later period the difference could be chance, a change in the market, or both; this study can't tell which.
Up gaps and down gaps
| Gap size | Opened higher | Opened lower |
|---|---|---|
| small | 80% of 89 | 73% of 56 |
| medium | 40% of 65 | 49% of 47 |
| large | 26% of 65 | 28% of 47 |
By day of the week
| Day | Days | Fill rate |
|---|---|---|
| Mon | 72 | 46% |
| Tue | 71 | 55% |
| Wed | 79 | 58% |
| Thu | 73 | 52% |
| Fri | 74 | 47% |
With about seventy days in each row, differences of this size between weekdays are within what chance alone produces.
How often the gap kept going first
On most days price moved further in the direction of the gap after the open, by more than 0.10%, whether or not it later came back:
| Gap size | Days | Ran on past the open |
|---|---|---|
| small | 145 | 81% |
| medium | 112 | 88% |
| large | 112 | 86% |
Method and limits
- Five-minute bars for the regular session, 9:30am to 4pm New York time. A fill is any bar that touches the previous close.
- Prices are from the IEX exchange feed, which carries one exchange's trades and not the whole market. The opening price it gives can differ slightly from the official open, which moves a few days between size bands. An earlier run of the first year agreed with this one on whether the gap filled on 96% of the days they share.
- One instrument, 369 days, one stretch of market history. Size bands were fixed before the later period was run.
- No costs, no trades and no strategy are modelled. This counts what happened; it does not test whether anything could have been done with it.
The study came out of building GammaDeck. Figures as of 10 Nov 2026.
This page reports how often something happened in the past. It is information, not investment advice, and past frequencies do not predict what any market will do.