Major Index Gaps and Fills

May 2, 2008: 11:07 AM CST

With my new Excel function, I’m able to go back and scan any type of gap and examine whether or not it filled or not. Let’s look quickly at large index gaps and see the odds of those filling.

I tested the DIA (Dow Jones ETF) and looked at a variety of gap sizes from 2000 to present.

First, I looked at gap sizes greater than $1.00 (100 Dow Jones Points).

Since 2000 (1,944 days), there have been 121 gaps greater than 100 points, and 42 of these have filled.

That’s 34.7% of these gaps greater than 100 points filled (17 up-gaps filled while 25 down-gaps filled).

If we look at gaps greater than $2.00 (200 Dow Points) we find the following:

There have been 16 gaps greater than 200 points, and 7 of these have filled, meaning 43.75% of these gaps filled.

How about gaps greater than $3.00 (300 Dow points)?

3 such gaps occurred, with 2 gaps filling (67% filled).

What about $4.00 gaps (400 Dow points)?

2 gaps occurred, while 1 of them filled (50%).

As a fact of trivia…

January 22, 2008 opened with a $4.26 down gap which did fill.

September 27, 2001 opened after the September 11th attacks with a $5.95 gap which did not fill.

Stay tuned! More gap opening and price filling statistics to come!

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