REPORT / GAP FILL
Does the open close back to yesterday?
58%filled the cash session gap, over 1,320 sessions
gap up57%n 736
gap down59%n 584
Built on a continuous index proxy, validated against CME data.
Session
New YorkGlobex
Lookback
By weekday
share of sessions55
monn 24858
tuen 27864
wedn 27255
thun 26658
frin 256By size
share of sessions87
1 to 8 ptsn 33068
8 to 17 ptsn 33048
17 to 30 ptsn 33029
31 to 488 ptsn 330By move against
how much heat it took first94
0 to 3 ptsn 33086
3 to 12 ptsn 33042
12 to 32 ptsn 33010
32 to 224 ptsn 330| Session | Outcome | Direction | Size, pts | Against, pts | Extension, pts | Minutes |
|---|---|---|---|---|---|---|
| 2026-07-09 | unfilled | up | 18.64 | 48.85 | - | - |
| 2026-07-08 | unfilled | down | 46.87 | 36.05 | - | - |
| 2026-07-07 | unfilled | down | 9.38 | 51.37 | - | - |
| 2026-07-06 | unfilled | up | 40.9 | 35.44 | - | - |
| 2026-07-02 | filled | up | 13.21 | 41.55 | 58 | 95 |
| 2026-07-01 | filled | down | 12.59 | 24.4 | 36.72 | 35 |
| 2026-06-30 | filled | up | 2.28 | 6.87 | 0.85 | 2 |
| 2026-06-29 | unfilled | up | 67.45 | 50.92 | - | - |
| 2026-06-26 | filled | down | 46.81 | 17.68 | 32.3 | 43 |
| 2026-06-25 | filled | up | 55.59 | 6.01 | 39.55 | 15 |
| 2026-06-24 | filled | up | 12.4 | 49.2 | 29.15 | 227 |
| 2026-06-23 | unfilled | down | 113.45 | 12.62 | - | - |
| 2026-06-22 | unfilled | up | 83.41 | 24.9 | - | - |
| 2026-06-17 | filled | up | 5.8 | 0.06 | 113.86 | 0 |
| 2026-06-15 | unfilled | up | 99.75 | 49.82 | - | - |
| 2026-06-12 | filled | up | 34.82 | 0.5 | 21.6 | 10 |
| 2026-06-09 | filled | up | 58.69 | 33.11 | 151.59 | 76 |
| 2026-06-05 | unfilled | down | 50.95 | 167.11 | - | - |
| 2026-06-04 | filled | down | 25.35 | 6.5 | 36.46 | 96 |
| 2026-06-03 | unfilled | down | 13.99 | 45.21 | - | - |
Built from a Nasdaq 100 / S&P 500 / Dow 30 index tape, not from exchange futures ticks. Bar to bar return correlation against real MNQ is 0.988 over a 5,238 bar overlap, and 93 to 94 percent of swing pivots land on the same bar. The one minute pull is cross checked against a lossless local tick set over 2026-06-10 to 2026-08-25 and must correlate above 0.98 to ship. Levels are relative, so the rates hold; absolute prices carry a basis of roughly 160 points that drifts.
Sample runs 2021-01-05 to 2026-09-04, 1,320 sessions. Skipped: 47 half days, 58 data holes, 54 sessions the report did not apply to.