As most professional traders know, the market likes to fill its gap each day (trade back to the previous close, during regular trading hours). Some days the market does not fill its gap. If the market comes back to one of these unfilled gap levels it often acts as strong support or resistance. Thus, keeping a record of all past unfilled gaps is extremely important.
Coming soon, we will provide a script to output these levels on your chart automatically. Below is an example of all the unfilled gaps in the past six months on the S&P emini (ES).
An interesting statistic over the past 6 months of this writing: If you exclude the gaps that take an excessively long time to fill (>2 weeks (10 sessions)), the S&P emini takes approximately 1.51 sessions to fill.
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As a side note, as you can see from the chart below, in order to fill today's gap (4/19), it needs to pass through the unfilled gap on 4/15. We will see what unfolds in the upcoming sessions.
Below are the unfilled gaps for the Nasdaq (QQQ) for the past 6 months:
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