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Mark Minnis posted an update 5 years ago
Mind the gap! How long do you have to wait for an SPX gap to fill? The average is 33 bus days, but the distribution is very skewed. 50% of gaps filled in 7 bus days. 75% of gaps filled in 35 days. 9% of gaps currently unfilled. Data from March 29, beginning of official bull market.Historically gaps filled been to be a tailwind for SPX. 7 business day future return after the gap has been filled is c0.8% compared to c0.35% all 7 business days returns in SPX.
Suggests statistical significance at >99%
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