Tuesday, March 31, 2009 4:59 PM GMT +1
SPY and Gap Fills
SPY and Sessions until Gap Fill
After the SPY left open an unfilled downside gap on Monday’s session (see my posting Trading the Odds on Tuesday – March 31, 2009), a reader raised the question how long it regularly takes to get a downside gap in the SPY filled (as well as in other indexes).
The following table shows those 57 sessions (see also Trading the Odds on Tuesday – March 31, 2009) since 01/03/2000 after the SPY left an unfilled downside gap and the respective number of sessions it took to get the gap closed (those session with a ‘?‘ instead of any number of days mark those sessions where the gap is still unfilled).
| No. | Date | Gap fill x days later |
| 1 | 03/02/2009 | 8 |
| 2 | 02/17/2009 | 27 |
| 3 | 01/14/2009 | 9 |
| 4 | 01/07/2009 | ? |
| 5 | 12/01/2008 | 5 |
| 6 | 10/22/2008 | 5 |
| 7 | 10/06/2008 | ? |
| 8 | 06/26/2008 | 31 |
| 9 | 06/20/2008 | ? |
| 10 | 06/02/2008 | 3 |
| 11 | 02/29/2008 | 21 |
| 12 | 02/05/2008 | 13 |
| 13 | 01/04/2008 | 93 |
| 14 | 12/17/2007 | 4 |
| 15 | 09/07/2007 | 2 |
| 16 | 08/28/2007 | 1 |
| 17 | 07/10/2007 | 2 |
| 18 | 02/27/2007 | 28 |
| 19 | 09/06/2006 | 3 |
| 20 | 08/01/2006 | 1 |
| 21 | 07/13/2006 | 4 |
| 22 | 08/05/2005 | 2 |
| 23 | 01/20/2005 | 7 |
| 24 | 12/17/2004 | 1 |
| 25 | 09/22/2004 | 7 |
| 26 | 08/06/2004 | 2 |
| 27 | 07/06/2004 | 42 |
| 28 | 06/14/2004 | 1 |
| 29 | 05/10/2004 | 1 |
| 30 | 03/22/2004 | 3 |
| 31 | 11/17/2003 | 1 |
| 32 | 10/22/2003 | 4 |
| 33 | 09/22/2003 | 9 |
| 34 | 06/09/2003 | 1 |
| 35 | 02/04/2003 | 1 |
| 36 | 12/18/2002 | 9 |
| 37 | 09/12/2002 | 3 |
| 38 | 09/03/2002 | 5 |
| 39 | 08/28/2002 | 60 |
| 40 | 07/19/2002 | 6 |
| 41 | 06/21/2002 | 241 |
| 42 | 04/22/2002 | 431 |
| 43 | 03/20/2002 | 494 |
| 44 | 02/19/2002 | 4 |
| 45 | 09/17/2001 | 12 |
| 46 | 07/06/2001 | 5 |
| 47 | 06/14/2001 | 1.038 |
| 48 | 05/23/2001 | 1.207 |
| 49 | 03/12/2001 | 26 |
| 50 | 03/09/2001 | 35 |
| 51 | 02/16/2001 | 65 |
| 52 | 12/20/2000 | 2 |
| 53 | 12/15/2000 | 2 |
| 54 | 07/18/2000 | 24 |
| 55 | 05/19/2000 | 7 |
| 56 | 05/03/2000 | 8 |
| 57 | 04/14/2000 | 2 |
(‘date’: session where the gap was left open)
Successful trading,
Frank
Thanks for sharing!
Pretty sure this can be deduced:
From 2000 to now, downside gaps in the spy have historically taken less than 10 days to fill 75% percent of the time….
Interestingly, after the 10 days range is surpassed, the other 25% of gaps average 100 days to fill.
Thanks Frank! The original post I read and mistook for your site is at http://tradingsigns.blogspot.com/2009/03/spartans-prepare-for-glory.html in the first video (its another blog that I recently started following). I’ll keep these statistics in mind for future trading.
Jeremy
Thanks a lot for the info. I really like your blog. Please keep on going. Of course, I am quite curious about the statistics of today: S&P with a large sell-out but still in the greens. How would that impact tomorrow’s opening?
Best,
Albert
Frank great site, keep up the awesome work!