Gap fill on Dow Jones futures: how many gaps really get filled
Data: March 16, 2026 – October 26, 2026. Last updated: October 27, 2026.
“The gap always fills” is one of the most repeated sayings in trading. I tested it on Dow Jones futures (MYM), trade by trade. A gap is the difference between the session open at 9:30 AM New York (3:30 PM Warsaw) and the previous session's close at 4:00 PM (10:00 PM Warsaw). A gap is filled when price returns to the previous close during the session.
The key number
Of 153 opening gaps (March 16, 2026 – October 26, 2026), 87 were filled, or 56.9%. Gaps up were filled 54.0% of the time, gaps down 60.6%. The typical (median) gap was 194 points.
Gap size changes everything
Small gaps (up to 0.25%) were filled in 92.5% of cases. Large gaps (over 0.5%) only in 29.4%. So “the gap always fills” is true for small gaps and a myth for large ones, which are exactly the most tempting ones.
When the gap fills
When a gap was filled, it was usually filled quickly: 58.6% of fills happened before 10:00 AM New York (4:00 PM Warsaw), and 74.7% by 10:30 AM. In the afternoon (from 12:00 PM New York, 6:00 PM Warsaw) only 8.0% of them were filled.
How I calculate
Data: Dow Jones futures (MYM) on CME in Chicago, every trade from paid exchange data (Sierra Chart), converted into one-minute candles. Period: 156 sessions (March 16, 2026 – October 26, 2026). Regular trading hours (RTH) session = 9:30 AM–4:00 PM New York time (3:30–10:00 PM Warsaw). Each day I use the contract with the highest volume. I skip shortened sessions (US holidays). I skip gaps on contract roll days, because the price difference between two contracts is not a gap.
That is 156 sessions, or about seven months. Enough to debunk myths, but too few to treat any single number as an edge. The sample grows every month, and the page is updated along with it.
See also: Initial Balance – what the market does after the first hour and what time the high and low of the day form.
Frequently asked questions
Does a Dow Jones gap always fill?
No. Of 153 gaps since March 16, 2026, 56.9% were filled. Small gaps (up to 0.25%) were filled on more than 90% of days, large ones (over 0.5%) only 29.4% of the time.
What is a gap fill?
A situation where, after an opening gap, price returns to the previous session's close during the session. On Dow Jones futures I measure the gap between 4:00 PM and 9:30 AM New York time.
What time does a gap usually fill?
If it fills, it is most often quick: 58.6% of fills happened before 10:00 AM New York (4:00 PM Warsaw).
Historical statistics, not investment advice. Past results do not guarantee similar results in the future. Trading futures involves a high risk of losing capital.