Opening Gap Trade


  • 0
  • pt_emini
  • 8-Feb-2008 at 9:13 AM
  • Rep: 5,707
  • Posts: 1,941
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.
  • 0
  • pt_emini
  • 15-Feb-2008 at 9:21 AM
  • Rep: 5,707
  • Posts: 1,941
Thursday's ES close was 1351.00

Globex range is 1337.00 - 1357.25

80% boundary ( 7 ES point gap down ) = 1344.00

Gap Mid-point (close - globex low) = 1344.00

...with 10 minutes until the official open, ES is currently trading 1343.00 = - 8 ES points
  • 0
  • pt_emini
  • 15-Feb-2008 at 9:37 AM
  • Rep: 5,707
  • Posts: 1,941
ES opened just inside the 80% boundary at 1344.75
  • 0
  • pt_emini
  • 15-Feb-2008 at 10:12 AM
  • Rep: 5,707
  • Posts: 1,941
established a long in the ER2 in the 697.50 zone for the gap fill trade .. initial target up at the 704-05 zone.
  • 0
  • pt_emini
  • 15-Feb-2008 at 10:16 AM
  • Rep: 5,707
  • Posts: 1,941
added long 700.2, stop raised to b/e
  • 0
  • pt_emini
  • 15-Feb-2008 at 10:21 AM
  • Rep: 5,707
  • Posts: 1,941
b/e stop hit...
  • 0
  • pt_emini
  • 15-Feb-2008 at 11:36 AM
  • Rep: 5,707
  • Posts: 1,941
...opened a new long in the ER2 at the 697.00 level

...same basic target / relatively tight stop

Also, will add higher given the opportunity
  • 0
  • pt_emini
  • 15-Feb-2008 at 11:41 AM
  • Rep: 5,707
  • Posts: 1,941
stopped out for a loss of - 1.0
  • 0
  • BruceM
  • 15-Feb-2008 at 12:12 PM
  • Rep: 216k
  • Posts: 19.9k
I'm went in long at 41.75.....need to have that key 1339 hold...otherwise 1334 coming.....
  • 0
  • BruceM
  • 15-Feb-2008 at 1:58 PM
  • Rep: 216k
  • Posts: 19.9k
covered some at 45 even when we broke that swing top with higher volume and over 950 on ticks....42.50 needs to hold up for me which doesn't seem likely.....confused market today....I'm looking for 15 points of real time range today so with current highs in the 1349 and the lows in the 1338 area we can project where it should go........now the trick is to take a trade to get there...

So far this week we have had 3 gap days in the ES that have went the distance of the gap after the real time session opened...that is a cool statistic....so far...lol...
  • 0
  • BruceM
  • 15-Feb-2008 at 2:38 PM
  • Rep: 216k
  • Posts: 19.9k
stopped at Break even on runners....nothing working
  • 0
  • drastic801
  • 10-Jun-2009 at 11:17 AM
  • Rep: 0
  • Posts: 20
great gap play in the ES today. Huge rally sold near the R2 pivot to watch it gap fill and then some.WOOT!
Emini Day Trading / Daily Notes / Forecast / Economic Events / Search / Terms and Conditions / Disclaimer / Books / Online Books / Site Map / Contact / Privacy Policy / Links / About / Day Trading Forum / Investment Calculators / Pivot Point Calculator / Market Profile Generator / Fibonacci Calculator / Mailing List / Advertise Here / Articles / Financial Terms / Brokers / Software / Holidays / Stock Split Calendar / Mortgage Calculator / Donate

Copyright © 2004-2023, MyPivots. All rights reserved.