REPORT / GAP FILL

Does the open close back to yesterday?

YM / New York / 5 yr

63%filled the cash session gap, over 1,107 sessions

gap up

62%n 592

gap down

63%n 515

gap fill report / YM regular hours / 1,107 sessions

Built on a continuous index proxy, validated against CME data.

Weekday

all mon tue wed thu fri

Size

all 2 to 52 pts 52 to 120 pts 120 to 241 pts 242 to 1879 pts

Session

New YorkGlobex

Lookback

1 yr3 yr5 yr

By weekday

share of sessions

monn 204

tuen 234

wedn 231

thun 221

frin 217

By size

share of sessions

2 to 52 ptsn 277

52 to 120 ptsn 277

120 to 241 ptsn 277

242 to 1879 ptsn 276

By move against

how much heat it took first

0 to 23 ptsn 277

23 to 89 ptsn 277

89 to 226 ptsn 276

226 to 1522 ptsn 277

The latest 60 sessions on file, not the full sample the headline counts
Session	Outcome	Direction	Size, pts	Against, pts	Extension, pts	Minutes
2026-09-04	unfilled	down	186.24	220.31	-	-
2026-09-03	unfilled	up	333.9	357.72	-	-
2026-09-02	unfilled	up	179.32	268.24	-	-
2026-09-01	unfilled	down	324.91	193.75	-	-
2026-08-31	unfilled	down	148.2	279.72	-	-
2026-08-28	filled	up	136.72	44.72	90.07	43
2026-08-27	filled	down	72.68	64.86	239.52	6
2026-08-26	filled	up	18.31	24.16	193.99	0
2026-08-25	filled	up	266.01	17.68	14.59	22
2026-08-24	filled	down	39.05	0	228.66	0
2026-08-21	unfilled	up	276.22	282.27	-	-
2026-08-20	unfilled	down	409.73	307.36	-	-
2026-08-19	unfilled	up	229.5	139	-	-
2026-08-18	filled	down	85.69	141.34	4.95	81
2026-08-17	unfilled	down	241.21	99.37	-	-
2026-08-14	filled	down	62.32	103.81	36.6	7
2026-08-13	filled	up	155.06	127.49	150.95	101
2026-08-12	filled	up	165.35	23.65	46.23	29
2026-08-11	filled	up	93.88	177.2	204.96	73
2026-08-10	filled	down	117.86	65.06	19.34	77

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. The YM history starts 2021-09-01, eight months later than NQ and ES, and carries 124 unexplained weekday gaps in the underlying feed concentrated in 2021 to 2023 and tapering after 2024. Sample sizes on this page are smaller than NQ and ES for the same lookback because of this, not because of a filtering difference in the report.

Sample runs 2021-09-02 to 2026-09-04, 1,107 sessions. Skipped: 47 half days, 142 data holes, 11 sessions the report did not apply to.