SPY fills its gaps less often than most traders expect. About one gap in four came back the same day.
SPY filled the fewest of the seven symbols.
Very few SPY gaps fill early. Only 6.1% of them had filled by the end of the first hour.
Bigger SPY gaps filled less often. Gaps of 1% to 2% filled 19.6% of the time.
Share of gaps of 0.5% or more back at the prior close, by time of day, March 2023 to October 2026
| Time | Share of gaps of 0.5% or more back at the prior close, by time of day |
|---|---|
| 9:30 AM | 0.0% |
| 10:00 AM | 1.3% |
| 10:30 AM | 6.1% |
| 11:00 AM | 10.0% |
| 11:30 AM | 12.1% |
| 12:00 PM | 15.2% |
| 12:30 PM | 15.6% |
| 1:00 PM | 16.9% |
| 1:30 PM | 20.3% |
| 2:00 PM | 20.8% |
| 2:30 PM | 22.1% |
| 3:00 PM | 23.4% |
| 3:30 PM | 25.1% |
| 4:00 PM | 26.4% |
What to do with it
If you fade a SPY gap, plan for it not to fill. Take profit before the prior close, or size the trade so a day that never gets there is an ordinary loss.
A SPY gap still open at noon is very likely to stay open. Only 13.3% of them filled in the afternoon.
An example day
SPY on April 9, 2025 was one of the gaps that did fill. It opened 0.6% below the prior close and was back there in the first candle.
Play it from the open in Market Replay and see where you'd have taken profit.
| SPY gap size | Gaps | Filled by 10:30 AM | Filled by noon | Filled by the close |
|---|---|---|---|---|
| 0.5% to 1% | 169 | 7.7% | 17.2% | 29.0% |
| 1% to 2% | 51 | 0.0% | 9.8% | 19.6% |
| 2% or more | 11 | 9.1% | 9.1% | 18.2% |
| 0.5% or more | 231 | 6.1% | 15.2% | 26.4% |
How we counted
Regular-hours 5-minute bars for SPY, QQQ, IWM, Apple, Microsoft, Meta and Nvidia from March 2023 to October 2026, half days left out. The gap is the first trade of the session against the prior session's last trade, and it counts as filled when price traded back to that prior close in the same session. A gap that filled on a later day counts as not filled here. Prices are TraderPier's own trade data, as traded and not adjusted, and Nvidia's June 2024 split day is left out. These are seven large names that mostly rose over this stretch, so smaller stocks may behave differently.
Questions
Does SPY always fill its gap?
No. Of SPY gaps of 0.5% or more, 73.6% never got back to the prior close the same day.
How often does SPY fill its gap in the first hour?
SPY gaps of 0.5% or more filled in the first hour 6.1% of the time.
Does this count gaps that fill days later?
No. Only the same session counts, so a gap that filled the next week shows up here as not filled.