{
  "study": "index-overnight-gaps",
  "title": "Index Overnight Gaps: 9,722 Session Breaks Measured",
  "description": "The median overnight gap on US500, US100, US30 and GER40 is 7.4-8.0% of a normal day's range and 89.2-90.7% fill within 24 hours — but 5.5% of nights gap more than half a daily range. Measured across 9,722 session breaks.",
  "source": "https://fxbacktest.app/research/index-overnight-gaps/",
  "publisher": "FxBacktest",
  "license": "https://creativecommons.org/licenses/by/4.0/",
  "attribution": "FxBacktest, https://fxbacktest.app/research/index-overnight-gaps/",
  "datePublished": "2026-09-16",
  "dateModified": "2026-09-16",
  "generated": "2026-09-18",
  "tables": [
    {
      "id": "overnight-gap-size-across-the-daily",
      "caption": "Overnight gap size across the daily session break",
      "captionSource": "caption",
      "columns": [
        "Index",
        "Breaks",
        "Median (points)",
        "Mean",
        "90th pct",
        "Median as % of daily range",
        "Median as % of price"
      ],
      "rowCount": 4,
      "rows": [
        {
          "Index": "US500 (S&P 500)",
          "Breaks": 2448,
          "Median (points)": 3.1,
          "Mean": 5.38,
          "90th pct": 11.7,
          "Median as % of daily range": 8,
          "Median as % of price": 0.086
        },
        {
          "Index": "US100 (Nasdaq 100)",
          "Breaks": 2437,
          "Median (points)": 11.11,
          "Mean": 21.67,
          "90th pct": 49.65,
          "Median as % of daily range": 7.4,
          "Median as % of price": 0.107
        },
        {
          "Index": "US30 (Dow 30)",
          "Breaks": 2434,
          "Median (points)": 23.08,
          "Mean": 39.56,
          "90th pct": 82.27,
          "Median as % of daily range": 8,
          "Median as % of price": 0.077
        },
        {
          "Index": "GER40 (DAX)",
          "Breaks": 2403,
          "Median (points)": 14,
          "Mean": 24.03,
          "90th pct": 53,
          "Median as % of daily range": 7.7,
          "Median as % of price": 0.094
        }
      ]
    },
    {
      "id": "how-often-an-overnight-gap-is",
      "caption": "How often an overnight gap is filled",
      "captionSource": "caption",
      "columns": [
        "Index",
        "Within 1 hour",
        "Within 6 hours",
        "Within 24 hours",
        "Median hours to fill"
      ],
      "rowCount": 4,
      "rows": [
        {
          "Index": "US500 (S&P 500)",
          "Within 1 hour": 46.9,
          "Within 6 hours": 71.2,
          "Within 24 hours": 89.3,
          "Median hours to fill": 1
        },
        {
          "Index": "US100 (Nasdaq 100)",
          "Within 1 hour": 44.7,
          "Within 6 hours": 68.4,
          "Within 24 hours": 89.3,
          "Median hours to fill": 1
        },
        {
          "Index": "US30 (Dow 30)",
          "Within 1 hour": 47,
          "Within 6 hours": 71.1,
          "Within 24 hours": 89.2,
          "Median hours to fill": 1
        },
        {
          "Index": "GER40 (DAX)",
          "Within 1 hour": 48.7,
          "Within 6 hours": 79.5,
          "Within 24 hours": 90.7,
          "Median hours to fill": 1
        }
      ]
    },
    {
      "id": "overnight-break-versus-weekend-break",
      "caption": "Overnight break versus weekend break",
      "captionSource": "caption",
      "columns": [
        "Index",
        "Overnight median (% of daily range)",
        "Weekend median",
        "Weekend / overnight",
        "Overnight filled in 1h",
        "Weekend filled in 1h"
      ],
      "rowCount": 4,
      "rows": [
        {
          "Index": "US500 (S&P 500)",
          "Overnight median (% of daily range)": 8,
          "Weekend median": 17.6,
          "Weekend / overnight": "2.2x",
          "Overnight filled in 1h": 46.9,
          "Weekend filled in 1h": 22
        },
        {
          "Index": "US100 (Nasdaq 100)",
          "Overnight median (% of daily range)": 7.4,
          "Weekend median": 16.2,
          "Weekend / overnight": "2.2x",
          "Overnight filled in 1h": 44.7,
          "Weekend filled in 1h": 22.9
        },
        {
          "Index": "US30 (Dow 30)",
          "Overnight median (% of daily range)": 8,
          "Weekend median": 16.3,
          "Weekend / overnight": "2.0x",
          "Overnight filled in 1h": 47,
          "Weekend filled in 1h": 35.8
        },
        {
          "Index": "GER40 (DAX)",
          "Overnight median (% of daily range)": 7.7,
          "Weekend median": 16.3,
          "Weekend / overnight": "2.1x",
          "Overnight filled in 1h": 48.7,
          "Weekend filled in 1h": 31
        }
      ]
    },
    {
      "id": "distribution-of-overnight-gap-size-as",
      "caption": "Distribution of overnight gap size, as a share of the daily range",
      "captionSource": "caption",
      "columns": [
        "Index",
        "< 10%",
        "10-25%",
        "25-50%",
        "50-100%",
        "> 100%"
      ],
      "rowCount": 4,
      "rows": [
        {
          "Index": "US500 (S&P 500)",
          "< 10%": 57.4,
          "10-25%": 26.9,
          "25-50%": 10.2,
          "50-100%": 4.2,
          "> 100%": 1.3
        },
        {
          "Index": "US100 (Nasdaq 100)",
          "< 10%": 59.8,
          "10-25%": 24.7,
          "25-50%": 10,
          "50-100%": 4.4,
          "> 100%": 1.1
        },
        {
          "Index": "US30 (Dow 30)",
          "< 10%": 58.1,
          "10-25%": 26.3,
          "25-50%": 10.2,
          "50-100%": 4.1,
          "> 100%": 1.4
        },
        {
          "Index": "GER40 (DAX)",
          "< 10%": 58.3,
          "10-25%": 27.9,
          "25-50%": 9.7,
          "50-100%": 3.5,
          "> 100%": 0.7
        }
      ]
    },
    {
      "id": "overnight-gap-by-the-session-it",
      "caption": "Overnight gap by the session it opens (Monday opens on the weekend break)",
      "captionSource": "caption",
      "columns": [
        "Index",
        "Tue (% of daily range)",
        "Wed (% of daily range)",
        "Thu (% of daily range)",
        "Fri (% of daily range)"
      ],
      "rowCount": 4,
      "rows": [
        {
          "Index": "US500 (S&P 500)",
          "Tue (% of daily range)": 7.7,
          "Wed (% of daily range)": 7.5,
          "Thu (% of daily range)": 8.6,
          "Fri (% of daily range)": 8.3
        },
        {
          "Index": "US100 (Nasdaq 100)",
          "Tue (% of daily range)": 7.1,
          "Wed (% of daily range)": 7.1,
          "Thu (% of daily range)": 7.8,
          "Fri (% of daily range)": 7.9
        },
        {
          "Index": "US30 (Dow 30)",
          "Tue (% of daily range)": 7.4,
          "Wed (% of daily range)": 7,
          "Thu (% of daily range)": 8.7,
          "Fri (% of daily range)": 8.6
        },
        {
          "Index": "GER40 (DAX)",
          "Tue (% of daily range)": 7.7,
          "Wed (% of daily range)": 7.2,
          "Thu (% of daily range)": 8.2,
          "Fri (% of daily range)": 7.8
        }
      ]
    },
    {
      "id": "the-reopen-print-understates-the-gap",
      "caption": "The reopen print understates the gap",
      "captionSource": "caption",
      "columns": [
        "Index",
        "Median gap at the reopen print",
        "Median gap one hour later",
        "Understated by"
      ],
      "rowCount": 4,
      "rows": [
        {
          "Index": "US500 (S&P 500)",
          "Median gap at the reopen print": 2.1,
          "Median gap one hour later": 3.1,
          "Understated by": 32
        },
        {
          "Index": "US100 (Nasdaq 100)",
          "Median gap at the reopen print": 8.16,
          "Median gap one hour later": 11.11,
          "Understated by": 27
        },
        {
          "Index": "US30 (Dow 30)",
          "Median gap at the reopen print": 17,
          "Median gap one hour later": 23.08,
          "Understated by": 26
        },
        {
          "Index": "GER40 (DAX)",
          "Median gap at the reopen print": 9.92,
          "Median gap one hour later": 14,
          "Understated by": 29
        }
      ]
    },
    {
      "id": "us100-overnight-gaps-have-not-been",
      "caption": "US100 overnight gaps have not been a constant, in points or in context",
      "captionSource": "caption",
      "columns": [
        "Year",
        "Breaks",
        "Median gap (points)",
        "Daily range that year",
        "Gap as % of daily range"
      ],
      "rowCount": 12,
      "rows": [
        {
          "Year": 2015,
          "Breaks": 152,
          "Median gap (points)": 8.63,
          "Daily range that year": 57,
          "Gap as % of daily range": 15.2
        },
        {
          "Year": 2016,
          "Breaks": 207,
          "Median gap (points)": 7.99,
          "Daily range that year": 50.8,
          "Gap as % of daily range": 15.7
        },
        {
          "Year": 2017,
          "Breaks": 205,
          "Median gap (points)": 7.1,
          "Daily range that year": 40.7,
          "Gap as % of daily range": 17.4
        },
        {
          "Year": 2018,
          "Breaks": 205,
          "Median gap (points)": 9.1,
          "Daily range that year": 109.5,
          "Gap as % of daily range": 8.3
        },
        {
          "Year": 2019,
          "Breaks": 207,
          "Median gap (points)": 6.01,
          "Daily range that year": 94.7,
          "Gap as % of daily range": 6.3
        },
        {
          "Year": 2020,
          "Breaks": 213,
          "Median gap (points)": 17.25,
          "Daily range that year": 226.7,
          "Gap as % of daily range": 7.6
        },
        {
          "Year": 2021,
          "Breaks": 207,
          "Median gap (points)": 10.08,
          "Daily range that year": 210.2,
          "Gap as % of daily range": 4.8
        },
        {
          "Year": 2022,
          "Breaks": 206,
          "Median gap (points)": 14.65,
          "Daily range that year": 338,
          "Gap as % of daily range": 4.3
        },
        {
          "Year": 2023,
          "Breaks": 206,
          "Median gap (points)": 9.43,
          "Daily range that year": 228,
          "Gap as % of daily range": 4.1
        },
        {
          "Year": 2024,
          "Breaks": 207,
          "Median gap (points)": 15.37,
          "Daily range that year": 263.7,
          "Gap as % of daily range": 5.8
        },
        {
          "Year": 2025,
          "Breaks": 208,
          "Median gap (points)": 25.73,
          "Daily range that year": 344.1,
          "Gap as % of daily range": 7.5
        },
        {
          "Year": 2026,
          "Breaks": 142,
          "Median gap (points)": 37.17,
          "Daily range that year": 438.4,
          "Gap as % of daily range": 8.5
        }
      ]
    }
  ]
}