Previously on the blog, I provided monthly statistics for gaps (fades and unfilled gaps) and I wanted to return to that quick research on monthly gap statistics.
Here are the Gap Numbers – filled and unfilled – for October 2012:
Using Excel from Yahoo Finance data for the SPY, we see that the month of October gave us 16 of 22 trading days with an overnight gap of at least $0.20 in the SPY (about 2 points in the @ES).
I use a 20 cent filter which accounts for small variations from one trading session to the next (that way all days do not show gaps of a few pennies).
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In fact, the average UP-side gap was 54 cents and the average DOWN-side gap was 40 cents.
With regard to the actual gaps and fills, October provided 11 upside gaps and 7 of those gaps (63.64%) were filled in the same trading session.
There were five downside gaps and only two (40%) of those gap-days filled.
Keep in mind October was a down-month that saw the indexes reverse into a short-term downtrend:
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The chart above shows the upside (green) and downside (red) gap sessions (greater than 20 cents) while the highlighted region emphasizes the larger gaps.
In general, large opening gaps that do NOT fade tend to be precursors for the remainder of the session developing into an intraday trend day.
However, there were two sessions that opened with a gap near $1.00 that filled the same day (October 5th and 25th), and both were large upside gaps.
No large downside gap was filled (October 8th, 19th, and 23rd).
Smaller gaps tend to fill the same day and may be precursors for intraday Range Days.
Continue checking back for similar monthly gap-data posts at the start of each new month.
Corey Rosenbloom, CMT
Afraid to Trade.com
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