Total # of Gap Days Tracked: 61
# of Times Gap Filled Same Day: 43 (70.50%)
# of Times Gap Unfilled Same Day: 18 (29.50%)
# of Times Gap Filled Same Day: 43 (70.50%)
# of Times Gap Unfilled Same Day: 18 (29.50%)
Check out Gap Guy Blog for helpful tips on trading gaps.
Tuesday 01/27/2009 - ES gapped up 5.5 points opening at 837. It then shot up another 7.5 points and hit 844.50, and then dropped down to 831.25 filling the gap. Price then shot back up right through 844.50 hitting 847.50, tested that area a couple of times, and then went back to test the open (837 area) and then shot back up past 844.50.
Wednesday 01/28/2009 - This was an FOMC day. The market gapped up 20.75 points opening at 860. It then chopped up to 863 and down 856.50, which turned out to be the Low of Day. From there, it went up to 865.75, crept down to test the open, and then continued moving up to the High of Day at 876, and closed at 871.50.
Thursday 01/29/2009 - No shortage of bad news today (new home sales lower than expected, jobless claims higher than expected, durable goods fell more than expected). The market gapped down 14.50 points opening at 857.00. It then edged up to 859.50, which was the high of day. The market then made a move lower, and back up to retest the 1st hour high, and it was all down-hill after that to 840.25 with a close at 843.00
Monday 02/02/2009 - ES gapped down 14.50 points opening at 811.25, and immediately tried to make a run up to fill the gap, but encountered resistance in the 819-821 area. From there price moved down to 814, and then made another thrust upward to fill the gap and put in a high of 827.25. From there, price moved down to the 812 area and bounced off that to move back up to 827.50 with a close at 821.75
Tuesday 02/03/2009 - ES gapped up 4.75 points, and went straight for the gap fill right off then open. Price then swung back up, and met resistance at 829.75 and headed back down to re-test the previous day's close. It remained range bound between the opening price and previous day's close, and then broke out of the range to the up-side later in the afternoon and hit resistance at 839.75. ES closed at 831.75. Lets see whether this 828-830 area now acts as support.
Wednesday 02/04/2009 - ES gapped up 7 points, and attemped to fill the gap at the open but buyers came in and pushed price up to 849.50, which acted as strong resistance (Tim Knight called it). From there, price took a dive lower and filled the gap at 12:55 PM central and continued down to the 826 area, where it again found support and moved back up through the previous day's close, and finally closed at 829.50. The 828-830 area did act as support, as I thought it may.
Thursday 02/05/2009 - ES gapped down 6.75 points and attempted to fill the gap right off the open but met heavy selling in the 825 area, and dived to a low of 816.75. Price bounced from 816.75 around 9 AM central, and went straight up for gap fill and beyond all the way up to 847.75 (31 point up move!). The 847-849 area proved to be strong resistance (it has been for days now) and ES finally closed at 840.25.
Friday 02/06/2009 - ES gapped up 4 points, immediately took off and never looked back to fill the gap. As I mentioned in the post for Friday, a runaway gap was expected since gaps were filled every day of the week. Reference the post for Friday to learn how to identify gap fill days and gap and go days early in the morning using the TICK. Price moved up strong off the open and continued moving higher with shallow pullbacks all the way up to the high of day at 869.25, and closed strong at 868. I would expect some continuation of the up trend next week fueled by the Fed's Stimulus plan, and the market could very well tank once the Fed actually announces the plan (buy the rumor, sell the news?). We shall see. Doesn't matter either way as long as you keep your losses small and let profits run.
Monday 02/09/2009 - ES gapped down 2.75 points (tiny gap). Price moved up in an attempt to fill the gap, but couldn't do so on the first attempt, and reversed to downside to put in the low of day at 859. It rallied strong from there, and not only filled the gap, but continued moving up to put in the high of day at 873. From there, price re-tested the open a couple of times and tried rallying back up to high of day, but was unable to do so, and closed on weakness at 865, printing a doji candle on the Daily chart.
Tuesday 02/10/2009 - ES gapped down 6.75 points and filled the gap within the first 30 minutes of market open. From there, the ES began selling off on news of the Treasury's bank rescue plan, and the ES went from a high of 866 at 8:55 AM down to a low of 819.50 by 2:45 PM (central); a 46.50 point down move! At 10:10, the ES fell 12.25 points in 5 minutes. At 10:35, the 5-minute candle printed another 12-point down move. The price action was violent, to say the least. I'm anticipating some consolidation and range-bound price action in the next day or two.
Wednesday 02/11/2009 - ES gapped up 3 points, and filled the gap within the first hour of market open. From there, it rallied back up to 836.25 which was the high of day. That area proved to be strong resistance, and ES fell back down to yesterday's low and held it to the tick at 819.50. From there, it again made a push back up but couldn't get to the high of day and ended up closing at 831. Given the market conditions, that's a fairly strong close, and even though everything's pointing towards more selling, I have a feeling we migh test the mid 840s tomorrow (50% retrace from 873 to 819.50). If we break 819.50, I'd be looking for price to move down to the 806-807 area.
Thursday 02/12/2009 - ES gapped down 13.75 points, and attempted to fill the gap earlier in the day, but was unable to do so and fell to 805.50 (low of day). Buyers came in at that price level on government mortgage subsidies news, and the market filled the large morning gap, and rallied from 805.50 straight up to 836.75, and ended up closing at 835. That is a very strong recovery, and I'm glad the 805 area held. This move definitely strengthens the support at 797.50 - 806.
Friday 02/13/2009 - ES gapped down 4 points, and initially the momentum pushed price lower to 826, at which point price reversed and filled the gap before 10 AM. Price then hit its high of day at 837.75, and began a down move which took it down to 822.75. Price then moved back up and re-tested the open, and then down again. The ES closed on weakness at 820. On the bright side, at least it closed over the 818 area which was significant support for a while. Democrats pushed the $787 billion stimulus bill late Friday night, so I'm expecting some up-side on Tuesday. Just because I'm expecting up-side doesn't mean I'll be trading with a bullish bias; it just means I'm aware of the news and up-side will not surprise me. Even though I'm strictly a technical trader, being aware of the fundamentals doesn't hurt. As long as I trade the charts and keep my risk in check, I should do fine. Just one more thing to note here: gaps have filled on every day this week. We could get a run-away gap and go day soon.
Tuesday 02/17/2009 - ES gapped down 23 points to open at 797, and was unable to fill the gap. The high of day was set at 801.50 within the first 10 minutes of market open. Price moved lower from there and traded in a tight 8-10 point range for most of the day. Moves happened quickly with little or no follow through. Definitely one of the toughest trading days. After looking at the 15 min chart of the VIX, I'm expecting further down-side action tomorrow. Lets keep this open gap at 820 in mind though.
Wednesday 02/18/2009 - ES gapped up 7.25 points, but quickly filled the gap within the first 30 minutes. Weakness continued and price went down to 778. From there, it made a V-turn, and re-tested the previous close, and then went on to test today's open and put the high of day in at 794.75. From there it sold off again, and headed south. The low of the day (776.50) was printed during the last 5 minutes near the close of day (779.25), so we closed on major weakness. Looking at the 15-min VIX and ES chart, I have a slightly bullish bias for tomorrow, but I expect us to be range-bound for a little while. Also lets not forget that open gap up above at 820. In closing, trade what you see as information becomes available throughout the day. Every moment in the market is unique!
Thursday 02/19/2009 - ES gapped up 14.25 points, and put in the high of day at 796.75 within the first 15 minutes. It was all down-hill after that and the gap was filled late in the afternoon by 2:15 PM central. ES put in a low of day 775 and closed at 779, just a tick below yesterday's close! Looking at the 15-min ES/VIX chart, I'm still slightly bullish but will trade what I see, as I did today. We still have an open gap above.
Friday 02/20/2009 - ES gapped down 16.50 points and immediately attempted to fill the gap. If you draw some Fib retracement levels from the previous close (779) to today's open (762.50), you'll notice that price hit resistance around the 61.8% retracement level. From there price, headed lower and tested the mid-point and then headed back up to the 61.8% retracement but was met with resistance once again. From there, price broke down below the open, re-tested the mid-point, and then headed lower to the low of day 752.50. Price made a V reversal and headed back up for the gap fill. It hit a high of 778.75, missing the gap by just a tick! That's so close that I'm gonna go ahead and count it as a gap-fill. We saw heavy selling near the gap-fill, and price tested the mid-point once again and closed at 770 (770.75 is 50% retracement to gap fill). Overall, I think we still closed on a strong note (above mid-point), and I'm still slightly bullish. Lets see what next week brings.
Monday 02/23/2009 - ES gapped up 7.75 points, opening at 777.75, and immediately put in the high of day at 778.00. From there, it began trending lower and filled the gap by 9:00 AM, and continued drifting lower all day. Price remained below mid-point all day, and couldn't even retract to the first hour low. Price broke the Nov. 08' lows, touching 839.75, and closed at 745. With the November lows now broken, we could see continued selling pressure.
Tuesday 02/24/2009 - ES gapped up 3.25 points, and filled the gap within the first 35 minutes of market open. From there it rallied to 757.75, at which point it hit resistance (yesterday afternoon's swing high was 757.25), and retraced lower to re-test the open. From there, it made another up-swing but this time only made a high of 756 which signaled weakness. Price retraced down to test the mid-point, but strong buying came in at that point and the ES rallied from 750.75 all the way up to the high of day at 774.75. ES closed strong at 769.
Wednesday 02/25/2009 - ES gapped down 2.50 points, and came within 1 tick of gap fill. Prices dropped on a larger than expected decline in home sales, and put in a low of day at 751.25. Then news came that the govt will be providing bad banks with additional capital, and the financial sector rallied, taking the futures along for the ride. ES made an up swing to 765.25, and then back down to 752.50, and then rallied back up to test the open, and then back down again past the mid-point. ES climbed yet again from there, and hit a high of 779.50, but was unable to hold on the those gains, and sold off into the close; closing at 762. A lot of zig zag price action.
Thursday 02/26/2009 - ES gapped up 11.50 points, and tried filling the gap immediately but was unable to do so. Prices headed higher and put in the high of day at 779 by 10 Am (central). From there, the sell off began and prices began to head lower and the gap was filled by 12:15 PM. Once the gap at 762 was filled, price bounced back up to the 766 area, and then sold off again putting in the low of day at 750.25. ES closed on weakness at 752. At this point, we've had 7 straight days of gap-fills so a run-away gap day is probably right around the corner.
Friday 02/27/2009 - ES gapped down 16.50 points and made a few attempts for the gap fill but was unable to fill the gap. The high of day was set at 750.75, right around yesterday's low of day. ES sold off from there and put in fresh lows at 732.50, and closed on weakness at 733.00
Monday 03/02/2009 - ES gapped down 12.75 points and immediately made an attempt for gap-fill but was unable to do so, and instead the high of day was put in at 724.25 in the first 30 minutes of trading. ES sold off from there, and broke the important 700-level, putting in a low of day at 698.75. ES closed at 705.50. We've now had two straight run-away gap days, so I am expecting the next few gaps to be filled on the same day.
Tuesday 03/03/2009 - ES gapped up 5.50 points, and immediately put in the high of day at 712 and went for gap fill; as expected. ES continued the sell-off but found support in the 690 area, and re-tested the mid-point and the previous close. It sold off again from there, and closed on weakness at 689.50. I haven't studied the larger time-frame charts yet, but I feel a short squeeze is right around the corner.
Wednesday 03/04/2009 - ES gapped up a massive 17.50 points, and attempted to fill the gap earlier in the morning but was unable to do so. The 699 low of day was set within the first hour. From there, the ES began trending up. I was aware of the open gap above at 733. ES could not fill that gap either, and the high of day was set at 723.75 by 2:35 PM (central). From there, ES sold off and broke down to a low of 707.75, and closed on weakness at 708.25. At this point, we need to be mindful of the open gap above at 733, and below at 789.50. My guess would be that the 789.50 gap gets filled first.
Thursday 03/05/2009 - ES gapped down 12.50 points and immediately attempted to fill the gap but was unable to do so, and put in a high of day at 703.50 within the first 45 minutes. ES sold off from there and headed down to 682.75, filling the open gap at 789.50 in the process. From there, it re-tested the market mid-point, and sold off again. ES made fresh new lows at 676.25, and closed on weakness at 686.50, below the 1st hr low and market mid-point. We now have open gaps above at 708.25 and 733.
Monday 03/09/2009 - ES gapped down 14.25 points and immediately went for the gap-fill, and filled it within the first half hour. At that point, it put in the high of day at 694.75 and sold off from there. It tested the previous close and the mid-point, and closed on weakness at 675.50, just a tick higher than the day's open.
Tuesday 03/10/2009 - ES gapped up 14.50 points this morning, and ran up from there with shallow pullbacks. The prior open gap at 708.25 was filled in the first couple of hours of trading, and price ran up to 715.50. As expected after a big move, there was some chop/consolidation during the lunch hour and price pulled back to 707 and picked up steam after lunch and hit an intraday high of 721.75, with a close in the upper value area at 715.75. At this point, we have open gaps above at 733 and below at 675.50, and we're closer to filling the 733 at this point in time.
Wednesday 03/11/2009 - ES gapped up 9 points this morning, and attempted to fill the gap right away but buyers came in and pushed price up to 732.50 (high of day) which almost filled the open gap at 733. It's close enough in my book that I'll consider the 733 gap filled at this point. From there, ES sold off, tested the mid-point, and then filled the gap at 715.75, while putting in the low of day at 713.25. From there, it ran back up to the Upper Value Area (727) but closed at 720.75, below the mid-point which I view as a sign of weakness. If it was truly a strong move, we should have seen a close above the mid-point, closer to the high of day. At this point, we still have an open gap below at 675.50.
Thursday 03/12/2009 - No gap today
Friday 03/13/2009 - ES gapped up 3.50 points and filled the gap within the first 15 minutes of market open.
Monday 03/16/2009 - ES gapped up 6.25 points and attempted to fill the gap in the first hour but was unable to do so. Price set a strong up-trend from there and set a high of day at 771.50. Price formed a double-top at 771.50 in the afternoon and sold off from there, filling the gap by 2:30 PM (central). ES closed on weakness at 753.75.
Tuesday 03/17/2009 - ES gapped down 1 point, and immediately filled the gap right at the open. From there, it tested and broke yesterday's low, setting the low of day at 746. It slowly trended up from there, and broke yesterday's high of day (771.50) in the last few minutes of the day, setting today's high at 777, and closing strong at 775.75.
Wednesday 03/18/2009 - ES gapped down 6.50 points. Price drifted lower in the early morning setting the low of day at 761.75 (760.50 - 761.50 was Volume Trend History 1 and 2). An up-trend developed from there, and the gap was filled by 12:45 PM. Price resumed the up-trend and rallied on the FOMC announcement (no rate change) and price set a new high at 800.50 where it met resistance (profit-taking) and swung down to test the mid-point at 780.25, where it found support and headed back up to close at 791.25 (upper value area).
Thursday 03/19/2009 - ES gapped up 9 points to open at 800.25, set the high of day 3 ticks higher, and immediately sold off from there. Price set the first swing low at 784.25, then retraced slightly more than 50%, and sold off again setting the next swing low at 778 (138.2 % extension). From there price re-bounded to test mid-point and sold off again, setting the low of day at 777.25, and closing at 780.50. So we now have a low of day that's above 777, and a close above 780. All in all, not a very bearish sign. But as always, trades should be taken based on price action and trend in the now moment; and that's the plan.
Friday 03/20/2009 - ES gapped up 3.5 points, but quickly set the high of day at 785.25, and filled the gap within the first 15 minutes of the open. It tested the mid-point a couple of times, and then continued trending down from there to the low of day at 761.50. It double-bottomed at 761.50, and attempted to re-test the mid-point, but was only able to set a swing high at 772, at which point it sold off again and closed on weakness at 763.75.
Monday 03/23/2009 - ES gapped up a monster 19.75 points, and only went down 3 points at the open to set the low of day at 780.50. Price rallied from there on the rise in existing home sales (+5%), and the Fed's bank plan. Price remained above the mid-point all day, and set a high of day at 821, closing on strength at 818; up 54.25 pts from Friday's close. We now have an open gap at 763.75.
Tuesday 03/24/2009 - ES gapped down 9 points, it took price 3 attempts/pushes but it finally filled the gap at 12:25 PM (central), but price could not reach yesterday's high, and sold off from 820. It tested the previous close, and then sold off into the close setting the low of day at 801.25, with a closing price of 803.25. The 800 area held as support today, which is a positive. Price couldn't break yesterday's high, which is technically a negative, but given the fact that ES closed with a 54 point gain yesterday, a consolidation day was expected.
Wednesday 03/25/2009 - ES gapped up 5 points, and shot up straight from the open putting in a new intraday high at 823, which proved to be an area of resistance. ES started retracing back from there, and broke below the mid-point by 11:30 AM, at which point, the selling accelerated. ES filled the gap by 1:00 PM, and continued to head lower to the low of day at 787, at which point, the market found support and reversed all the way back up to 812, closing on strength at 808.25. Quite a recovery!
Thursday 03/26/2009 - ES gapped up 10.50 points and attempted to fill the gap but was unable to do so, and set the low of day at 811. Price found support at 811, and began surging up towards the 828 area, where it met some resistance and sold off to re-test the open. Price rallied again in late afternoon setting a new intraday high at 830.50, and closing at 827.25
Friday 03/27/2009 - ES gapped down 10.50 points and attempted to fill the gap but could only reach 821.50, which turned out to be the high of day. ES sold off from there and headed lower to fill the open gap below at 808.25, and put in the low of day at 809.50. That's close enough for me to consider that gap filled. Price bounced 10.50 points from 809.50, but the market couldn't find any strength and sold off again down to the 810 area. Price bounced back up to the mid-point and closed at 815.50, right around the mid-point and volume trend. Two run-away gaps in a row are pretty rare, so we should see a high probability gap-fill play Monday morning.
*** Went on vacation for 2 weeks ***
Tuesday 04/14/2009 - ES gapped down 8 points, but was able to fill the gap by 9:45 AM (technically it came within 3 ticks), and set the high of day at 853.25. ES sold off from there, and put in a new low of day at 836.25, where price found support and rallied back to test the mid-point (844.75 area). Price could not sustain above the mid-point, and sold off again, but this time found support at 837, and closed on weakness at 840.50.
Wednesday 04/15/2009 - ES gapped down 6.75 points, and went for the gap fill pretty much straight off the open filling the gap by 9:15 AM. The previous close acted as resistance, and price retraced down to test the open, bouncing back up to the 843 area, and then retracing down again. Except this time, it did not make it all the way down to the open, which should have been a sign that this market isn't going any lower. Fueled by strength in the financial sector, ES rallied in the afternoon from 834.25 all the way up to 850.50.
Thursday 04/16/2009 - ES gapped up 5.50 points, and immediately went for gap fill straight from the open, filling the gap by 9:00 AM (central). After testing the mid-point a couple of times, price went lower and set the low of day at 843.25. Price found support there, and rallied back up to the mid-point, tested it and proceeded to the opening price, which initially acted as resistance. After testing the mid-point one more time, price broke higher through the opening price setting the high of day at 867, and closing at 861.25, near the upper value area.
Friday 04/17/2009 - ES gapped up a tiny 2.50 points, and filled it within the first 10 minutes of market open. From there, price tested the open, and then broke down through the mid-point, finding support at 856.75 (low of day). Price rallied from there, breaking up through the mid-point. After testing the previous close, price broke out higher setting a new swing high at 872, and closing at 867 (yesterday's high of day).
Monday 04/20/2009 - ES gapped down 16 points, and it turned out to be a gap and go day. ES opened at 851, set the high of day at 852, and broke down never looking back. Price broke through several key areas of support, settting the low of day at 828.75, 43.25 points below the previous swing high at 872. So now we have an open gap at 867 above.
Tuesday 04/21/2009 - ES gapped down 10 pts, and attempted to fill the gap right from the open, but was unable to do so. Price pulled back, but never got to the opening price, and re-bounded setting the trend for the day. The gap was filled at 10:15 AM (central), after which price continued to move higher right into the close. The high of day was set at 848.75, with a strong close at 847.50 (847 is a 50% retrace from Friday's high to this morning's low). Expecting further up-side.
Wednesday 04/22/2009 - ES gapped down 9.25 points but was able to fill the gap by 9:15 AM.
Thursday 04/23/2009 - ES gapped up 6 points but was able to fill the gap by 9:03 AM.
Friday 04/24/2009 - ES gapped up 6.75 points, and set the low at 852.25, leaving an open gap at 848.75. Price closed strong at 866.50, above the first hour high.
Monday 04/27/2009 - ES gapped down 14.25, and came within 3 ticks of gap-fill. That's close enough for me to consider it filled. Price closed on weakness at 856.75, below the mid-point.
Tuesday 04/28/2009 - ES gapped down 11.75 points and went for gap fill right off the open, and had filled the gap by 9:45 AM (central). Price closed at 851.25, right around the mid-point.
Wednesday 04/29/2009 - ES gapped up 9.25 points and it turned out to be a gap-and-go session, with price above the mid-point at 1st hour high for majority of the session. ES rallied to a new swing high of 879.25 after the FOMC announcement, but met heavy selling at that level and retraced lower with a close at 868.75, right around the mid-point.
Thursday 04/30/2009 - ES gapped 12 points, and set the high of day at 885.75 at 10:18 AM (central), where it met resistance and retraced down to the gap fill by 12:24 PM. After bouncing a couple of times, ES closed at 865, near the low of day (864.50).
Friday 05/01/2009 - ES gapped up 4.75 points and went for gap fill right from the open, with the gap filled by 8:48 AM (central). ES bounced at gap fill and re-tested the open, where it sold off again putting in the low of day at 862.50. Price re-bounded from there and rallied above the first hour high. Price pulled back to mid-point, and then rallied to a new high of day (877.50) where price met resistance again. After pulling back to the lower value area, price rallied into the close setting a new high of day at 878.25, with a strong close at 876.50.
Monday 05/04/2009 - ES gapped up 4.25 points, opening at 880.75. Price retraced lower to 879, and that turned out to be the low of day, leaving an open gap below at 876.50. Price rallied on housing data, and then continued drifting up all day, breaking through 900 in the last few minutes, with a strong close at 903.25.
Tuesday 05/05/2009 - ES gapped down 2.25 pts and immediately filled the gap at the open.
Wednesday 05/06/2009 - ES gapped up 8.50 pts and immediately went for gap fill. Price stalled a bit until 9:00 AM, and then continued down to fill the gap by 9:30 AM. Price re-bounded from there and closed near its highs at 917.50.
Thursday 05/07/2009 - ES gapped up 8.00 pts, and went straight for gap fill, and then continued moving lower. Price closed at 907.75, a little below the first hour low. Price moved to 914+ in the after-hours session.
Friday 05/08/2009 - ES gapped up 8.00 pts, and price came within 2 points of gap-fill but then took off again closing at 924.25. So now we have an open gap at 907.75
Monday 05/11/2009 - ES gapped down 12 pts, and set the low of day at 905.75, thus filling the gap from Friday. Price hit a high of 916.50, and then drifted to the low of day, with a close at 909.50. We now have an open gap at 924.25 above.
Tuesday 05/11/2009 - ES gapped up 2 pts and filled the gap within the first 10 minutes of market open.
I tracked gap fills on the ES from July to December ; it was mostly 50/50 but the interesting thing is that when the pre-market trend was going in the direction of the gap fill, then the success rate was quite good. Example : ES gaps up 5 points and the 20 EMA on the 15-min chart is going down : chances are the gap will be filled quickly.
This was just an observation I made, maybe there's more to it than that.
Thanks for the info Gro!ReplyDelete