Key takeaways
- The overnight gap is small — 7.4% to 8.0% of the index's own daily range. In points that is 3.1 on US500, 11.11 on US100 and 23.08 on US30, and no more than 0.11% of price in every case.
- 89.2%-90.7% of overnight gaps are filled within 24 hours, and close to half fill inside the first hour of the reopen. The median time to fill is one hour.
- The weekend break is a different animal. Its median gap is 16.2%-17.6% of the daily range — roughly twice the overnight gap — and only 22.0%-35.8% fill in the first hour against about 46.9% overnight.
- The reopen print lies, and we can measure by how much. Measured at the first print the US500 median gap is 2.1 points; measured at the close of that same hour it is 3.1. The reopen quote sits at the bottom of a wide spread and understates every gap by roughly 32%.
- The tail is what hurts. About 5.5% of US500 overnight gaps exceed half a daily range and 1.3% exceed a full one — which is the case a stop sitting overnight actually has to survive.
measured
gap, points
24 hours
a daily range
Index CFDs do not trade around the clock. They run a long session, stop for roughly 2 hours in the late US afternoon, and start again. Every one of those stops leaves a gap between the last price before the break and the first price after it — and unlike a forex pair, an index trader meets one of these every single night, not once a week.
This study measures 9,722 overnight breaks and 2,761 weekend breaks across four index CFDs — US500 (S&P 500), US100 (Nasdaq 100), US30 (Dow 30) and GER40 (DAX) — using the same bid-side archive the FxBacktest simulator replays, covering 2013-05-23 to 2026-09-11. If you want to see these breaks on a chart rather than in a table, you can replay the Nasdaq bar by bar for free.
How big is an overnight index gap?
Points are meaningless across instruments — 23.08 points on the Dow and 3.1 points on the S&P are the same event in different units. The column that travels is the gap as a share of the instrument's own average daily range.
| Index | Breaks | Median points | Mean | 90th pct | Median as % of daily range | Median as % of price |
|---|---|---|---|---|---|---|
| US500 (S&P 500) | 2,448 | 3.1 | 5.38 | 11.7 | 8.0% | 0.086% |
| US100 (Nasdaq 100) | 2,437 | 11.11 | 21.67 | 49.65 | 7.4% | 0.107% |
| US30 (Dow 30) | 2,434 | 23.08 | 39.56 | 82.27 | 8.0% | 0.077% |
| GER40 (DAX) | 2,403 | 14.0 | 24.03 | 53.0 | 7.7% | 0.094% |
The answer is strikingly consistent: on all four indices the median overnight gap sits between 7.4% and 8.0% of a normal day's range. That is small — smaller than most traders assume from the ones they remember. But it is the median, and the median is not what takes a stop out.
How often does the gap fill?
| Index | Within 1 hour | Within 6 hours | Within 24 hours | Median hours to fill |
|---|---|---|---|---|
| US500 (S&P 500) | 46.9% | 71.2% | 89.3% | 1 |
| US100 (Nasdaq 100) | 44.7% | 68.4% | 89.3% | 1.0 |
| US30 (Dow 30) | 47.0% | 71.1% | 89.2% | 1.0 |
| GER40 (DAX) | 48.7% | 79.5% | 90.7% | 1.0 |
Overnight gaps fill fast. Close to half are already closed within an hour of the reopen and roughly nine in ten within 24 hours. This is the single most-quoted statistic about gaps and it is broadly true — but it is also the one most often misread. A 89.3% fill rate is not a trading edge: it says nothing about whether price reached your stop first, and it is measured on gaps that are mostly tiny to begin with.
Overnight versus weekend
Traders coming from forex know the weekend gap. The nightly one is a different, smaller, faster-healing event.
| Index | Overnight median % of daily range | Weekend median | Weekend / overnight | Overnight filled in 1h | Weekend filled in 1h |
|---|---|---|---|---|---|
| US500 (S&P 500) | 8.0% | 17.6% | 2.2x | 46.9% | 22.0% |
| US100 (Nasdaq 100) | 7.4% | 16.2% | 2.2x | 44.7% | 22.9% |
| US30 (Dow 30) | 8.0% | 16.3% | 2.0x | 47.0% | 35.8% |
| GER40 (DAX) | 7.7% | 16.3% | 2.1x | 48.7% | 31.0% |
The weekend break produces gaps about twice as large and far more stubborn — barely a third close in the first hour, against roughly half of the overnight ones. Two days of news with no way to trade it is simply a bigger risk than one evening, and it shows up cleanly in both columns.
The tail that actually matters
A median gap of 7.4%-8.0% of the daily range is not what threatens a position held overnight. The tail is.
| Index | < 10% | 10-25% | 25-50% | 50-100% | > 100% |
|---|---|---|---|---|---|
| US500 (S&P 500) | 57.4% | 26.9% | 10.2% | 4.2% | 1.3% |
| US100 (Nasdaq 100) | 59.8% | 24.7% | 10.0% | 4.4% | 1.1% |
| US30 (Dow 30) | 58.1% | 26.3% | 10.2% | 4.1% | 1.4% |
| GER40 (DAX) | 58.3% | 27.9% | 9.7% | 3.5% | 0.7% |
Roughly one overnight gap in twenty opens more than half a daily range away from the previous close, and about one in a hundred opens a full day's range away. If you hold index positions overnight, that is the event your stop placement and position size have to survive — a stop does not protect you across a gap, it simply becomes a market order at whatever price returns.
Gap size by day of the week
| Index | Tue % of daily range | Wed % of daily range | Thu % of daily range | Fri % of daily range |
|---|---|---|---|---|
| US500 (S&P 500) | 7.7% | 7.5% | 8.6% | 8.3% |
| US100 (Nasdaq 100) | 7.1% | 7.1% | 7.8% | 7.9% |
| US30 (Dow 30) | 7.4% | 7.0% | 8.7% | 8.6% |
| GER40 (DAX) | 7.7% | 7.2% | 8.2% | 7.8% |
Gaps drift wider as the week goes on — the session opening on Friday carries a noticeably bigger break than the one opening on Tuesday on every index tested. Monday is missing from the table on purpose: Monday's session opens on the weekend break, so its "overnight" gap is the weekend gap in the row above.
Why the reopen price understates every gap
This archive, like every retail feed, is bid-side. At the reopen the spread is at its widest of the day, so the first bid print sits well below where the market actually is. Measure the gap at that print and you systematically measure it too small.
| Index | Median gap at the reopen print | Median gap one hour later | Understated by |
|---|---|---|---|
| US500 (S&P 500) | 2.1 | 3.1 | 32% |
| US100 (Nasdaq 100) | 8.16 | 11.11 | 27% |
| US30 (Dow 30) | 17.0 | 23.08 | 26% |
| GER40 (DAX) | 9.92 | 14.0 | 29% |
The effect is large — around a quarter to a third of the gap disappears — and it is the same artefact that makes published Sunday-open gap-direction statistics unreliable. Every figure elsewhere on this page is therefore measured at the close of the first reopen hour, once the spread has normalised, rather than at the reopen print itself.
It also means we deliberately do not publish a "gaps tend to fill upward/downward" figure. On a bid feed the direction of the first print is contaminated by the spread, so any such number would be measuring the broker, not the market.
Gaps are not a constant
| Year | Breaks | Median gap points | Daily range that year | Gap as % of daily range |
|---|---|---|---|---|
| 2015 | 152 | 8.63 | 57.0 | 15.2% |
| 2016 | 207 | 7.99 | 50.8 | 15.7% |
| 2017 | 205 | 7.1 | 40.7 | 17.4% |
| 2018 | 205 | 9.1 | 109.5 | 8.3% |
| 2019 | 207 | 6.01 | 94.7 | 6.3% |
| 2020 | 213 | 17.25 | 226.7 | 7.6% |
| 2021 | 207 | 10.08 | 210.2 | 4.8% |
| 2022 | 206 | 14.65 | 338.0 | 4.3% |
| 2023 | 206 | 9.43 | 228.0 | 4.1% |
| 2024 | 207 | 15.37 | 263.7 | 5.8% |
| 2025 | 208 | 25.73 | 344.1 | 7.5% |
| 2026 | 142 | 37.17 | 438.4 | 8.5% |
In raw points the US100 overnight gap grew from 8.63 in 2015 to 37.17 in 2026 — but that is mostly the index itself getting larger, since the daily range grew alongside it. In context the gap actually shrank through 2021-2023 to around 4.1% of the daily range before widening again. A gap rule fitted to one of those regimes will not describe the other, which is the practical argument for testing across several years rather than the most recent one.
What this means for backtesting an index
- Size for the tail, not the median. 5.5% of nights gap more than half a daily range on the Nasdaq. Let the ATR and your stop distance drive position size, and treat the overnight hold as a separate risk decision.
- Do not build a strategy on the fill rate. Nine in ten gaps filling within a day sounds like an edge and is not one, because the losers are the large gaps that do not.
- Test the instrument you will trade. A cash-index chart has one gap per night with no overnight session at all; a CFD has a continuous overnight session and a short break. They are different instruments with different gaps — see how to backtest the Nasdaq for the practical differences.
Methodology
- Source: Dukascopy bid OHLC hourly and daily bars as held in the FxBacktest archive and replayed by the simulator.
- Sample: 9,722 overnight breaks and 2,761 weekend breaks across US500 (S&P 500), US100 (Nasdaq 100), US30 (Dow 30) and GER40 (DAX), 2013-05-23 to 2026-09-11.
- Break definition: any pause of more than one hour between consecutive hourly bars. A break that crosses a Saturday, or that lasts more than 40 hours, is classed as a weekend break; everything else is an overnight break. Holiday closures therefore fall into the overnight group and are not separated out.
- Gap: the last close before the break compared with the close of the first full hour after it. The gap at the reopen print is reported separately, and only to show how much it understates.
- Normalisation: each gap is divided by the median daily high-low of that instrument in that calendar year, so a 2015 gap is judged against 2015 volatility rather than today's.
- Fill: price trading back through the pre-break close on any of the following 24 hourly bars.
- Session day: the daily break ends at 18:00 US Eastern, which is still the same UTC calendar day, so each reopen is rolled forward to the trading day it belongs to before the weekday breakdown is taken.
- What this is not: these are broker-session gaps on an index CFD, not cash-index close-to-open gaps. They will not match the gap on a cash S&P or Nasdaq chart, which has no overnight session at all.
Download this dataset
Every figure on this page as raw CSV and JSON, regenerated whenever the archive updates. Free for any use, including commercial, with attribution to FxBacktest.
- overnight-gap-size-across-the-daily.csvOvernight gap size across the daily session break
- how-often-an-overnight-gap-is.csvHow often an overnight gap is filled
- overnight-break-versus-weekend-break.csvOvernight break versus weekend break
- distribution-of-overnight-gap-size-as.csvDistribution of overnight gap size, as a share of the daily range
- overnight-gap-by-the-session-it.csvOvernight gap by the session it opens (Monday opens on the weekend break)
- the-reopen-print-understates-the-gap.csvThe reopen print understates the gap
- us100-overnight-gaps-have-not-been.csvUS100 overnight gaps have not been a constant, in points or in context
- index-overnight-gaps.jsonAll tables plus metadata, one file
Cite or republish this data
This research is free to quote, screenshot, or republish — in an article, a video, a newsletter, or a course — as long as you credit FxBacktest with a link back to this page. Copy the attribution below.
Frequently asked
How big is a typical overnight gap on the S&P 500 or Nasdaq?
The median overnight gap is 3.1 points on US500 and 11.11 points on US100, which is 7.4%-8.0% of each instrument's own average daily range and no more than 0.11% of price. The tail matters more than the median: about 5.5% of nights gap more than half a daily range.
Do index gaps always get filled?
No. Between 89.2% and 90.7% of overnight gaps fill within 24 hours and roughly half fill within the first hour, but the ones that do not fill are the large ones. A high fill rate is not a trading edge, because it says nothing about whether price reached your stop first.
Are weekend gaps bigger than overnight gaps on indices?
Yes, about twice as big. The median weekend gap is 16.2%-17.6% of the daily range against 7.4%-8.0% overnight, and weekend gaps also fill far more slowly — around a third close in the first hour compared with roughly half of overnight gaps.
Why do these gaps differ from the ones on a cash index chart?
Because an index CFD trades a long overnight session and pauses only briefly, while a cash index has no overnight session at all. The CFD gap spans a short broker break; the cash gap spans the entire night. They are different instruments and the gap statistics do not transfer between them.
Why is gap direction not reported here?
Because the archive is bid-side. At the reopen the spread is at its widest, so the first bid print sits below where the market actually is and understates the gap by roughly a quarter to a third. That artefact contaminates direction, so only absolute size and fill rates are published.