Gapwatch

Pekelo

Pekelo

"Nature abhors a vacuum" --- Aristotle

I am going to use this journal to track the gaps left behind by ES futures. The recent volatility keep leaving gaps behind left and right and it is getting more difficult to remember where they are. Since Aristotle we know that the market likes to fill these gaps, thus these acts as probable targets for swing positions. Also now we are getting 2nd gaps (consecutive next day gap in the same direction) quite often, with a very high probability of same day fill (Pekelo's 2nd gap rule), so it is prudent to track them and play accordingly.

I use the 4 pm market close to determine the gap, because the above rule is based on the cash close, not the future's close.

Current gaps:

2103 Brexit downgap (still 40+ points of it unfilled)

1990 upgap 6/28 (14 points unfilled)

2027 upgap (most current, right now 13 points)

Yesterday by the close we filled the downgap of last weekend from 2027. Now I am expecting today's upgap to be filled in the next 8-9 hours. In the chart below I show the NDX because it shows the gaps of the last 5 days more clearly...

A few more notes: Because of the high volatility 2-3 points gaps won't be tracked. A gap filled 85-90% will be counted as fully filled.
 

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We are looking at the 3rd consecutive upgap (from 2062), right now about 10 points. So 3 upgaps pulling down the market and 1 huge downgap pulling it up. This is the direct result of the Brexit selloff and subsequent V recovery...

The battle of the gaps!!!
 
Pekelo said:
We are looking at the 3rd consecutive upgap (from 2062), right now about 10 points.
More...

That was closed both before the open and during RTH. The Brexit downgap from correctly 2104 has just been closed, so we only have 2 upgaps open from way below....
 
Not really. The battle of the gaps a few days ago was between 2 small and 1 big gap and the 1 big won eventually. It is more of a trend thing then some kind of rule thingy. Generally 2nd gaps fill on the same day by 90% probability. Also I think the Brexit selloff was an over reaction, so it made sense to close the huge downgap at the top.

Now a complete gapfill isn't always necessary. Right now only 4 points left unfilled from 2094, and 2-3 pts I won't even call a gap with this huge volatility. So we could leave this 4 pts behind for months unfilled. My guess is that we are putting in the 2nd top and with gapfill or without it we are heading lower to fill at least the 2027 gap in the next few weeks.
 
All downgaps are closed now, including the 2094 4th of July one, and we have 2 upgaps unfilled down below...
 
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