Opening Gap Trade


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  • pt_emini
  • 8-Feb-2008 at 9:13 AM
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The Regular Trading Hours (RTH) opening gap trade is a well known trading setup. This trading setup is certainly something I always consider at the opening of the new RTH trading session.

Guy did an analysis of this setup in his article titled "Fading the Gap"

From his article we learn the following historical statistics from the sample period he used...
  • "On average 76% or three quarters of all gaps close at some point during RTH."

  • Gaps on Monday were the least likely to fill and Thursday gap openings the most likely.

  • Opening gaps up to 7 ES points in size were filled during the session at least 70% of the time. This probability drops off surprisingly quickly above the 7 ES point range.

Given these basic concepts as a foundation, I thought it might be helpful to use this topic for further discussion, analysis and trading ideas.
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  • pt_emini
  • 12-Feb-2008 at 9:53 AM
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Nice opening gaps in all the indices, so far buyers are holding control up here, may need to test globex highs... time will tell...

have opened shorts in the NQ 1808.50 and ER2 706.2
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  • pt_emini
  • 12-Feb-2008 at 9:56 AM
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covered ER2 short at 704.2 for a profit of +2.0

stop to b/e on the NQ short... which needs to break 1804 support to make a run for a gap fill.
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  • pt_emini
  • 12-Feb-2008 at 10:09 AM
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NQ stopped at b/e

market feels like it wants to get this IB complete, then make a run
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  • pt_emini
  • 12-Feb-2008 at 10:12 AM
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now short ER2 708.9
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  • pt_emini
  • 12-Feb-2008 at 10:28 AM
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covered ER2 short 706.8 for +2.0
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  • pt_emini
  • 12-Feb-2008 at 10:31 AM
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IB is now complete and the opening gap is not filled... perhaps we have a gap and run scenario developing ?
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  • BruceM
  • 12-Feb-2008 at 10:50 AM
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getting volume and Tick divergence so 61.25 is my last try..lost 3.25 points per on last trade
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  • pt_emini
  • 12-Feb-2008 at 10:52 AM
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yeah a break below 1360 in the ES should cap the upside momentum
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  • BruceM
  • 12-Feb-2008 at 12:05 PM
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I trying to get to that first magnet price at 1355.50..then next magnet at 1349...will be a tough hold..
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  • pt_emini
  • 12-Feb-2008 at 12:09 PM
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good luck on the 1355.50 target... agree on the tough hold , given this painfully slow drift down so far
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  • drastic801
  • 10-Jun-2009 at 11:17 AM
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great gap play in the ES today. Huge rally sold near the R2 pivot to watch it gap fill and then some.WOOT!
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