Gap Fade Stats for April

May 1, 2008: 5:07 PM CST

With May 1st upon us, it’s time to look at the number of overnight gaps and gap fills in the DIA (Dow Jones ETF) for the month of April.

I am testing for overnight price changes greater than $0.20 (20 Dow points) in the ETF.

Of the 22 trading days in April, 14 resulted in an overnight gap greater than $0.20, and of these, 9 gaps ‘filled.’

Thus, 67% of the trading days experienced an overnight gap, and of these, 64% of the gaps filled at some point intraday.

Here’s a quick summary:

14 trading days gapped (up or down)

9 of these gaps filled

6 “up gaps” filled

3 “down gaps” filled

5 gaps were not filled at all.

So far for 2008 (to keep a running total):

64 days have resulted in an overnight gap of at least $0.20

41 of these gaps have filled intraday

23 ‘up gaps’ have filled

18 ‘down gaps’ have filled

23 gaps have not filled

77% of days had a gap of $0.20

64% of these gaps have filled.

See previous month totals below:

January Gap Fade Statistics
February Gap Fade Statistics
March Gap Fade Statistics

(Note: I am now using a spreadsheet I created in Excel which makes calculation easier, more accurate, and faster than doing it by hand)

1 Comment

One Response to “Gap Fade Stats for April”

  1. vinay Says:

    sir
    It will be an interesting study to see how many of the gaps got retraced, means after filling up the index again moved in the direction of the gap. It is also interesting to see how many gaps remain unfilled in the direction of the trend and what is their relation to no of days from the change of direction of index movement. yours truly