The Number Of Overnight Gaps Filled Intraday For The Dow Jones In August

Wow - August was another month with a high percentage of overnight gaps, but let’s see how many of these overnight gaps in the Dow Jones (^DJI) were filled intraday.

I define a gap as being an open that is at least $0.20 different than yesterday’s close and use Excel for the statistics.

There were 21 trading days in August, and 17 of these (81%) showed an overnight gap of at least $0.20 in the DIA.

Of these 17 gaps, 8 gaps filled, giving us the first under 50% month this year, with 47.06% of overnight gaps filling intraday.

There were 7 up-gaps, and 4 of these filled (57.14%).

There were 10 down-gaps, and only 4 of these filled (40.00%).

Despite the daily chop, there was not one gap greater than $1.00 (there was a gap of $0.98 on August 5th which did not fill).

The following print-out shows the DIA gap fill statistics for August:

I’m including the “year to date” numbers from January 1st until August 31st 2008 in the DIA (of gaps greater than $0.20):

As you see from the table below, 77% of days have opened with a gap at least $0.20, and 62.50% of these gaps have filled.  The table shows the whole picture so far:

Up gaps have been more likely to fill than down gaps this year, and almost 3 out of 4 up gaps have filled, while 1 out of 2 down gaps have filled.

2008 has been a generous year so far for the gap-fade strategy.  Will it continue?

Check out these prior gap fade statistics months:

January
February
March
April
May
June
July

Posted in Categories: Contributor, External Research, Stocks, USA.

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