Gap Fill Probability

Two market gaps that look identical on a chart can differ vastly in their probability of closing. The data the note orb trading stats tree63 publishes on this covers how a large premarket move affects the success rate of an opening range breakout. Calculating the likelihood of a gap fill requires looking at the relationship between the overnight session price action and the immediate volatility at the cash open.

Gap Magnitude and Mean Reversion

A gap that exceeds the average daily range increases the tension between price and the mean. When a stock gaps up beyond its recent resistance, the probability of a gap fill rises if the volume at the market open suggests exhaustion. Mechanical analysis focuses on whether the price holds the high of the first fifteen minutes or fails immediately. If the price fails to reclaim the premarket high, the move toward the previous day close becomes a mathematical expectation. Statistical edges diminish when the gap is too small to represent a genuine shift in sentiment.

The Role of the Opening Range

The first five minute range sets the initial boundaries for intraday volatility. If a gap occurs, the size of this initial range dictates the potential for a reversal. A tight five minute range following a large gap often precedes a fast move toward the gap fill level. Conversely, a wide range suggests that the gap is being defended by institutional orders. Tracking the session high during the first hour helps determine if the trend is expanding or contracting. A failure to break the session high after a gap up often leads to a trend reversal toward the gap area.

Timeframe Selection for Gap Analysis

Different timeframes yield different results for gap fill success. While a 5 minute chart shows the immediate reaction, the 15 minute range provides a more stable view of whether the gap is being respected. Using a 30 minute or 60 minute range filters out the noise of the opening bell. A gap fill that occurs within the first thirty minute range is a high velocity event. If the gap remains unfilled by the time the market enters the afternoon session, the probability of a fill during power hour increases due to late day rebalancing.

Volume and Momentum Correlation

Volume at the market open acts as the primary validator for gap direction. High volume on a gap up that fails to move higher suggests heavy selling pressure. This mechanical mismatch often leads to a rapid gap fill. Comparing the volume of the opening range to the average volume of the previous five days provides a quantitative basis for the trade. Low volume gaps are frequently filled quickly because they lack the conviction to sustain the deviation from the mean price.