Reading the open
Learning objectives
- Size the overnight gap before the bell in points, percent and ATR, and look up its base rate for reaching the prior close.
- Explain why the prior close is mostly a distance, not a special price, and say where our lab saw a possible exception.
- Apply the five-minute house rule and write a 10:00 ET line: gap bucket, 30-minute range, volume read and two if-then branches.
- Grade the popular gap and open-type claims (gaps want to fill, unfilled gaps make trend days, the open type picks direction) as measured, plausible or lore.
Monday 2 November 2026, 09:25 ET (21:25 ICT, winter). NQ last printed 28,527.25 at 16:00 ET on Friday. It now trades 28,758.75, about 231 points higher. The old reflex says “gaps fill, fade it”. Another says “gap and go, buy it”. Neither is a plan. This lesson replaces both with three numbers you can write before the bell, a rule for the first five minutes, and one line at 10:00 ET that tells you what to do in either direction.
Key terms
Gap (khoảng trống giá): the RTH open (09:30 ET) minus the prior session’s close Definition. We use the 16:00 ET print as the prior close so our numbers match the index tables below; NQ itself trades on after 16:00.
Gap size (độ lớn gap): the gap in points, as a percent of the prior close, and as a multiple of ATR, the average daily range of the last 14 sessions Definition. Percent compares across years; ATR compares against how far the market is moving now.
Gap fill (lấp gap): RTH trades back to the prior close at any time that session Definition. It says nothing about when, or what happens next.
Mirror distance (khoảng cách đối xứng): the same number of points from the open, but in the gap’s direction Definition. If the prior close is reached no more often than the mirror, the “fill” is just distance.
Opening range (biên độ mở cửa): the high and low of the first 30 minutes, 09:30 to 10:00 ET Definition. It is your first structure of the day, not a signal.
Chart first: four real gaps
Four NQ gaps, one per size bucket
DefinitionHow it works
Size the gap before the bell
At 09:25 ET write three numbers: the gap in points, in percent and in ATR. Then look up the base rate for that size. Our lab measured how often the prior close traded during RTH, by gap size, on QQQ MeasuredNasdaq index:
| Gap (percent of prior close) | Reached the prior close, 2013 to Feb 2025 (n = 3,033) | Same, Mar 2025 to Oct 2026 (n = 419) |
|---|---|---|
| 0 to 0.25% | 85.0% | 82.4% |
| 0.25 to 0.5% | 61.8% | 63.3% |
| 0.5 to 0.75% | 47.4% | 34.5% |
| 0.75 to 1% | 41.1% | 37.5% |
| 1 to 1.5% | 28.6% | 26.4% |
| 1.5 to 2% | 26.7% | 13.6% |
| 2% or more | 19.0% | 26.7% (n = 15) |
| All gaps | 62.4% | 54.2% |
Two things to take from it. First, size matters far more than anything else: a gap under a quarter of a percent comes back most days, a gap over 2% rarely does. Second, the overall rate moved from about 62% to about 54% in the most recent period, so a single “gaps fill 63% of the time” number is out of date. Use the bucket, and remember these are QQQ daily bars: NQ futures are extrapolated, not measured.
The prior close is mostly a distance
A small gap fills often partly because it is small: the prior close is near. Our lab checked this by asking how often price reached the prior close versus the same distance in the gap’s direction (the mirror), with gap size in ATR, on QQQ and SPY from late 2021 to November 2026 Measured: no edgeNasdaq index:
- Under 0.5 ATR, the prior close was reached about as often as the mirror. For 0.1 to 0.25 ATR on QQQ: 71% vs 70 to 74%. The “fill” is the ordinary reach of a session, not a pull toward that price.
- From 0.5 to 1.0 ATR, the prior close beat the mirror by about 10 points in all four symbol and period cells (pooled +10.6 points) PlausibleNasdaq index. It did not survive the correction for running many tests at once, so it stays a candidate to log forward, not a rule.
- At 1 ATR or more, the prior close was reached on only 17 to 18% of QQQ sessions (about 25 gaps per period).
So the useful question is not “will the gap fill?” but “how far is the prior close in today’s units, and what is the base rate for that distance?”
The first five minutes: read, do not trade
House rule: no new positions from 09:30 to 09:35 ET House rule. Two reasons. Volume and volatility are highest in the first minutes of the cash session and fall toward midday, a U-shape documented in index futures and stocks MeasuredOther market; your stop is easiest to hit when the market moves most per minute. And five minutes is too little to label the open: M1.05 labels it at 10:30 ET with a written first-hour rule, because the first candle often looks like the opposite of what the hour becomes. The rule costs you some good early entries. We accept that trade-off; it is a policy, not a measured edge.
The open type: a label, not a forecast
The four opening types (open drive, open test drive, open rejection reverse, open auction) are taught in M1.05. In session prep they do one job: they say who took the initiative in the first hour. They do not tell you where the day closes.
Myth / hypothesis: “Gaps want to be filled; a gap outside yesterday’s range fills less often; a gap still open after the first hour makes a trend day; the open type tells you the day’s direction” Lore. One practitioner’s public NQ study tested each of these and found them inconclusive or not supported (box below). The size gradient above is the only gap claim we can measure.
Volume in the first 30 minutes
Compare the first 15 minutes’ volume with the same window over the last ten sessions Context. Heavy volume says many participants care about this open; light volume says the real business may come later. Volume does not say which side wins. Heavy volume with little price progress is what M3 calls absorption, and absorption did not predict reversals in the practitioner study (M3.02): write it down as a description, not a trigger.
What the data says
Worked example: 2 November 2026, the gap that went both ways
Real NQ prints, December contract, for illustration only.
09:25 ET (21:25 ICT). Prior close 28,527.25; NQ trades 28,758.75. Prior RTH range 28,232.75 to 28,860.50; prior value area 28,446.25 to 28,858.25. ATR over the last 14 sessions: 597 points.
The open prints 28,721.25: a gap of +194.00 points, +0.68%, 0.32 ATR, inside the prior range and inside prior value. Base rates: 47.4% in the percent table (34.5% in the recent period); in ATR terms the prior close is no more likely than the mirror, 28,915.25. Pre-open line: “Gap +0.68% / 0.32 ATR, inside prior range. No fill bias: base rate is distance.”
09:30 to 09:35 ET. No trade (house rule). NQ swings from 28,673.50 to 28,738.75.
10:00 ET. The 30-minute range is 28,639.00 to 28,749.50. First-15-minute volume is 0.89 times the ten-session average: light. The 10:00 line:
Gap +0.68% (0.32 ATR) inside prior range, no fill bias. Range 28,639.00 to 28,749.50, light volume. If acceptance above 28,749.50 (M4.01), next reference is the prior high 28,860.50; invalid back inside the range. If acceptance below 28,639.00, next reference is the prior close 28,527.25; invalid back inside the range. Until then, nothing.
What happened. NQ traded through 28,749.50 at 10:12 ET, closed two 5-minute bars above it by 10:20, reached the prior high at 10:24 and topped at 28,891.25 at 10:29. Then it rotated back into the range. By 12:30 ET two 5-minute bars had closed below 28,639.00, and NQ reached the prior close at 12:44 ET. It closed at 28,137.75, near the session low. Both branches played out, about 111 points each from the trigger to the next reference.
A trader who sold the open “for the fill” at 28,721.25 sat through 170 points against them before the fill came three hours later. The base rate was close to a coin flip, and it said nothing about the order of events.
The mirror and the failure
The mirror: a large gap down. Friday 30 October 2026: NQ opened at 28,798.50, 767.75 points (2.60%, 1.47 ATR) below the prior close of 29,566.25. The bucket says the prior close comes back on fewer than one session in five, so a fill plan here is a long shot by the base rate. The session’s highest print was 28,860.50, still 705.75 points short of the prior close, and NQ closed at 28,527.25.
The failure: a small gap that did not fill. Wednesday 4 November 2026: a gap of +128.75 (+0.45%, 0.21 ATR), a bucket where the prior close traded on 62% (percent table) to 71% (ATR table) of QQQ sessions. NQ never traded 28,301.00; it drove 539.25 points higher by 10:15 ET. A high base rate is still not a trade: roughly three sessions in ten look like this one, and on QQQ the same distance in the other direction was reached just as often.
Common mistake: treating a base rate as an edge. “Small gaps fill 85% of the time” sounds like a trade, but for gaps under 0.5 ATR the same distance the other way is reached about as often. The table tells you how far a session usually travels, not which way to bet.
Common mistake: using one overall fill rate. The all-gap rate moved from 62% to 54% in the recent period, and the bucket rates differ by a factor of four. Look up the bucket every morning.
Common mistake: trading the first impulse. The first minutes have the most movement per minute and the least information. Write your pre-open line, wait out the five minutes, and let the 30-minute range give you the levels to plan against.
Drill: log ten gaps
For the next ten sessions, before 09:30 ET write down:
- The prior 16:00 ET close, the open, and the gap in points, percent and ATR (14-session average range).
- The base rate from the percent table and whether the gap is under 0.5 ATR (distance only) or between 0.5 and 1.0 ATR (the candidate bucket).
- At 10:00 ET, the 30-minute range and the two if-then branches.
- After the close: did the prior close trade, and at what time? Did the mirror distance trade? Which branch triggered first?
Solution
There is no single right answer: the point is to calibrate. Expect your fill count to sit near the bucket rates, but ten sessions give an interval of roughly ±30 points around any rate, so your log cannot confirm or refute the table. What it will show you is the order of events: how often the prior close came only after a move the other way, as on 2 November. Keep the log going; with your mirror column it is the start of your own test of the 0.5 to 1.0 ATR candidate.
What we don’t know yet
- NQ futures with this exact design: not yet measured. All gap numbers here come from QQQ and SPY daily bars.
- How long fills take, and whether price keeps going after a fill: not yet measured (needs intraday data over years).
- Whether the 0.5 to 1.0 ATR excess survives a forward test: logged as a candidate, not yet confirmed.
Recap
- Before the bell, size the gap in points, percent and ATR, and read the bucket’s base rate: small gaps reach the prior close far more often than large ones (measured on QQQ, NQ extrapolated).
- Under 0.5 ATR the prior close is reached about as often as the same distance the other way: plan both directions, not a fill.
- No new positions in the first five minutes (house rule); label the open at 10:30 ET with M1.05’s rule.
- At 10:00 ET write one line: gap bucket, 30-minute range, volume read, and two if-then branches with invalidation.
Further reading
- Volatility Days and Liquidity Behavior: how opens behave when liquidity thins; execution adjustments.
- Auction Market Theory: Understanding of market and orderflow dynamics: initiative vs responsive activity at the open.
- Andersen, T. G. and Bollerslev, T. (1997), “Intraday periodicity and volatility persistence in financial markets”, Journal of Empirical Finance 4: the U-shape of intraday volatility in S&P 500 futures.
- Our lab: gap size sets the base rate for reaching the prior close (QQQ, 2013 to 2026), and below 0.5 ATR that rate is no better than the same distance the other way.
- Order Flow, Measured: one practitioner’s public NQ study of gap and opening-type claims.
This lesson connects to: M1.05 (opening types and open location) · M4.01 (acceptance, the trigger language) · M4.03 (day types) · M4.06 (overnight inventory) · M5.06 (opening reversal) · REG4.01 (gap and open-location base rates in full).
Educational content only — not financial advice. Futures trading involves substantial risk of loss.
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