Inside Gap Behaviour
This is the second instalment on emini S&P gap behaviour. The first one is Outside Gap Behaviour, Now and Then.
Inside gaps are gaps that do not have the open price printed outside of the previous trading day range.
Fashioned in the same style as the table presented in the outside gap article, here is the table for the statistics on inside gap since 2001.
Several things worth mentioning here.
First, the number of days that produces inside gap is in decline. That is relative to the increase of outside gap happening these 2 years.
Second, although the bias of gap fill for inside gaps is still good, it should be closely monitored as the half gap fill behaviour is weakened to the same level as the gap fill itself. Thus the ability to light up or scratching the gap fill trade at half gap is reduced significantly.