Edgeful Gap Fill Report: How Accurate Is It?

The gap fill report is one of Edgeful’s flagship features and often the first report new users explore. It answers a simple question: how often does the overnight gap get filled during the regular session? But the simplicity of the question hides real complexity in the methodology and application.

How the Gap Fill Report Works

Edgeful’s gap fill report calculates the difference between the previous session’s regular-hours close and the current session’s open. This gap is then tracked to see if price returns to the closing level during the regular session (typically by 4:00 PM ET for equity index futures).

The report aggregates this data across multiple dimensions:

• By instrument — ES, NQ, CL, GC, and others each have distinct fill characteristics
• By gap size — Small gaps fill more often than large gaps, and the report quantifies the thresholds
• By day of week — Monday gaps behave differently from Friday gaps due to weekend positioning
• By direction — Gap ups and gap downs may fill at different rates depending on market regime

The output is a percentage: “ES gaps under 10 points fill 74% of the time on Wednesdays.” Clear, actionable, and statistically grounded.

Historical Accuracy Claims

Edgeful’s gap fill statistics are drawn from several years of historical data. The numbers themselves are likely accurate — calculating whether a gap filled is straightforward and hard to get wrong. The methodology is sound.

Where accuracy gets murkier is in forward application. A 74% fill rate from the past five years includes periods of low volatility, high volatility, rate hike cycles, pandemic markets, and everything in between. The aggregate number is real, but whether it applies to today’s specific market conditions is a different question entirely.

Limitations You Should Know

Market Regime Changes

A gap fill rate calculated during a low-volatility, mean-reverting market (like much of 2017) looks very different from one calculated during a trending, high-volatility market (like 2022). Edgeful’s aggregate statistics smooth these differences out, which can be misleading.

If the market is in a strong trend, gaps in the trend direction may never fill. If volatility is elevated, gaps may overshoot before filling. The static percentage doesn’t capture this nuance.

Timing Matters

“The gap fills” doesn’t tell you when it fills. A gap that fills in the first 30 minutes is a very different trade from one that fills at 3:45 PM. The entry, stop placement, and opportunity cost are completely different.

Some of Edgeful’s reports include average time-to-fill data, which helps. But the distribution of fill times can be wide, and averages can be misleading when the data is bimodal.

Partial Fills

What counts as a “fill”? Edgeful typically counts a fill when price touches or crosses the previous close. But many gap traders define fills more conservatively — requiring price to close beyond the gap level, or requiring the fill to happen within a specific time window.

Your definition of a successful gap fill may differ from Edgeful’s definition, which changes the effective win rate.

Entry Price Is Everything

Knowing that gaps fill 74% of the time says nothing about where to enter. Fading the gap at the open is the obvious play, but it’s also the most dangerous — you’re fighting the initial momentum. Waiting for a pullback or confirmation reduces the effective gap fill trade to a much smaller win rate for the specific entry strategy.

Using Gap Analysis with Live Orderflow

The gap fill report gives you the “what” — gaps tend to fill. Live orderflow gives you the “how” and “when.”

Here’s what actually matters when trading a gap fill:

Volume at the Edges

When price opens with a gap, watch the volume at the gap’s edges. If aggressive selling is hitting bids at the gap high (for a gap up), that’s real-time confirmation that the gap fill is in progress. If passive buyers are absorbing the selling without price declining, the gap may not fill — regardless of what the historical stats say.

Delta Divergence

If price is moving toward the gap fill level but buying delta is declining, the move is losing steam. Conversely, if price stalls but selling delta increases, the fill is likely coming. This kind of real-time analysis requires an orderflow chart — something Edgeful doesn’t provide.

Options Dealer Positioning

GEX (Gamma Exposure) levels can significantly impact whether a gap fills. If there’s a major positive gamma level at the previous close, dealers will hedge in a way that pulls price toward that level — effectively supporting the gap fill. Negative gamma levels create the opposite effect.

Profitabul’s GEX heatmaps show these levels in real time, giving you a structural reason to expect (or doubt) a gap fill beyond just historical percentages.

A Better Gap Fill Workflow

Here’s how to combine statistical reports with real-time data:

1. Pre-market: Check Edgeful’s gap fill report for today’s instrument, gap size, and day of week. Note the historical fill rate.
2. At the open: Watch orderflow for confirmation. Is aggressive volume supporting the fill direction?
3. Key levels: Check GEX levels near the gap fill target. Positive gamma at the target increases fill probability.
4. Entry: Don’t fade blindly at the open. Wait for a pullback or volume confirmation before entering.
5. Management: Use real-time volume profile and delta to manage the trade. If the fill stalls at a high-volume node, take profits or tighten stops.

This workflow uses the gap fill report as step one of five. The other four steps require live data that goes beyond historical statistics.

Bottom Line

Edgeful’s gap fill report is a solid piece of the trading puzzle. The data is accurate, the presentation is clean, and the statistical edge is real. But treating a 74% fill rate as a standalone trading signal is a mistake.

The most successful gap traders combine statistical analysis with real-time confirmation. They know the probabilities, but they also watch the tape. If you’re currently using the gap fill report without real-time orderflow, you’re working with incomplete information — and in futures trading, incomplete information is expensive.