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How Large Overnight Moves in SPY and QQQ Play Out During the Trading Day

Big overnight gaps in indices often set up compelling trading opportunities. This in-depth analysis examines how frequently these gaps are “faded” intraday, with special focus on Monday vs. other weekday differences along with the actionable trading insights I was able to find.

Large overnight gaps (≥1% moves from the prior close to the next open) are significant events for traders. They often reflect major news or shifts in sentiment, especially for Monday opens after the Sunday night futures session. This analysis examines how frequently these big gaps occur in S&P 500 (SPY) and Nasdaq 100 (QQQ), and whether they tend to fade during the regular session (i.e., move back toward the prior close) or continue in the gap’s direction.

We’ll focus on data from the last five years with context from longer-term history and highlight any Monday effects. The key questions include: How often are 1%+ gaps “filled” or reversed intraday and do Monday morning gaps behave differently than gaps on other days? What are the average intraday returns and volatility after a big gap?

Frequency of 1%+ Overnight Gaps

Large gaps are not everyday events, but they’re not extremely rare either. Roughly 15–20% of trading sessions in recent history open with a gap of at least 1% in SPY or QQQ. For example, Nasdaq’s QQQ saw 1%+ gaps on ~17% of all trading days since 1999. These tend to cluster in high-volatility periods (e.g., the 2020 crash or 2022 bear market), but on average you might expect a few such gaps per month in recent years.

Day-of-Week Distribution

Intuitively, one might expect Mondays to have the most big gaps due to weekend news. In practice, Tuesday has seen the most 1%+ gap-ups for SPY historically (80 occurrences), slightly more than Friday (71). Mondays are not far behind, but they aren’t the sole driver of large gaps. In other words, major overnight moves can happen any day of the week, though weekend developments (policy announcements, geopolitical events) often manifest as Monday gaps, mid-week economic reports (like CPI & PPI releases) can cause big Tuesday–Thursday gaps as well.

Recent 5-Year Context

From 2018–2023, there were dozens of 1%+ gaps in both SPY and QQQ. Notably, 2020 (COVID crash) and 2022 (rate-hike driven bear market) had a high concentration. Many Mondays in March 2020 opened down well over 1% (some over 5%), and 2022 saw a mix of gap-downs during selloffs and occasional gap-ups on rebound rallies. By contrast, 2019 and 2021 were calmer with fewer large gaps.

This variability means traders should always be aware of the current market volatility profile and how the likelihood of a 1% gap is much higher in a volatile bear market than in a steady bull market.

Monday Gaps vs. Other Weekdays: A Critical Difference

Day-of-week has a notable effect on gap behavior. Monday morning gaps (driven by Sunday night futures action) often show different intraday patterns compared to mid-week gaps:

Monday Gap-Ups Tend to Fade More

Historical data indicates that SPY’s big Monday gap-ups are more prone to intraday reversal than gap-ups on other days. In fact, Monday has been the worst day for holding onto large opening gains – about 14% of 1%+ Monday gap-ups in SPY have completely erased the gap by that day’s close (i.e., closed at or below the prior close). This “full fade” rate is higher than the ~10% incidence for all 1%+ gap-ups (all days).

In other words, a strong jump on Monday morning is relatively more likely to be sold into at some point during the session. By contrast, other weekdays see fewer full reversals of big gap-ups (e.g., Wednesdays have been more reliable for gap holds). In fact, on Wednesdays, SPY not only held gap-up gains but often added to them – in 67% of 1%+ Wednesday gap-ups, the market continued rising from open to close, with an average additional gain of +0.5% intraday.

Monday’s open-to-close performance after a gap-up is typically weaker (often flat or slightly negative on average), underscoring a tendency to “sell the rip” on Mondays.

Monday Gap-Downs See Weaker Bounces

On the flip side, a large Monday gap-down has been less likely to fade upward (i.e., less likely to be bought/filled intraday) compared to other days. Data shows Monday is the worst day for bounce-backs after a big overnight drop – SPY’s 1%+ gap-down opens on Monday actually averaged an additional decline of ~0.20% from open to close, whereas gap-downs on other days usually saw the market rally after the open.

In fact, historically SPY tends to bounce on 1%+ gap-downs (overall average +0.21% open-to-close on such days) as dip-buyers step in, but Monday’s negative intraday average indicates that those initial Monday drops often kept falling or at least struggled to recover. Traders trying to “buy the dip” on a scary Monday open should thus be cautious – the odds of an immediate rebound are lower on Monday than on a Tuesday–Friday gap-down.

This could be due to weekend news often being decisively bad with no immediate remedy (e.g., pandemic developments or financial crises over a weekend), leading to continued fear on Monday.

Mid-Week Stability

Tuesday, Wednesday, and Thursday gaps show comparatively higher mean reversion (for gap-downs) and better continuation (for gap-ups). For example, past studies found Thursday to have a very high gap-fill probability – one analysis over ~2 years found 82% of Thursday gaps (of all sizes) filled intraday, versus only 65% on Mondays.

While the exact percentages will vary by timeframe, the pattern is that mid-week gaps are somewhat more predictable in fading toward the prior close. Fridays can be quirky; there have been plenty of big Friday gap-ups (second only to Tuesday in frequency) and those can either hold into the weekend the gains they opened the day with, or fade as traders reduce risk before the weekend. The behavior seems to be case-dependent on news and sentiment on Friday, when a lot of your major economic reports come out, like employment or GDP.

Takeaway: Monday gaps are uniquely fickle – a big up gap on Monday often invites selling (profit-taking or “fading the exuberance”), whereas a big down gap on Monday often lacks the usual bounce (perhaps as traders hesitate to step in front of weekend-driven selloffs). Mid-week gaps, especially on Wednesday/Thursday, have shown more consistent mean-reversion patterns (gap fills or partial fades).

Retail traders can use this insight to adjust strategies: for instance, be more cautious chasing a Monday morning rally (historically prone to fading) and don’t assume every large Monday drop will immediately rebound that day. Conversely, a Wednesday gap-up on bullish news has a better chance of holding or extending its gains than a Monday gap-up does.

Intraday Fade Rates for 1%+ Gaps

A “fade” can be quantified by whether the opening gap gets filled, meaning, the price moves back to the previous session’s closing level at some point during the day. Here are some statistics on gap fills and intraday reversals for SPY and QQQ when the gap is ≥1%.

General Gap Fill Likelihood

Roughly half of all 1%+ gaps get filled intraday. Precise odds vary with gap size: Smaller large-gaps are more likely to fill than huge gaps. For the Nasdaq 100 (QQQ), about 45% of 1%–1.99% overnight gaps were fully filled on the same day. For gaps of 2% or more, the intraday fill rate drops to roughly 30%–33%.
This confirms the general rule that “the bigger the gap, the less likely it is to get filled” immediately. Big news-driven gaps often create momentum that day (at least initially), whereas more modest gaps are easier for the market to mean-revert.

Gap-Up vs. Gap-Down Differences

Downward (bearish) gaps historically fill slightly more often than upward gaps. For example, in the QQQ data, ~47% of 1–2% down gaps filled intraday vs. ~45% of up gaps in that range. This aligns with the market’s long-term upward bias – dip-buyers often step in on large declines, making gap-downs somewhat more likely to retrace. Meanwhile, big up gaps (bullish gaps) can fade if traders take profits.

However, the difference isn’t huge for moderate gaps. Interestingly, for very large gaps (>2%), one study found up gaps were actually slightly more likely to fill within a day or two than massive down gaps. This may be because extremely large up gaps (≥2% on indexes) often occur in bear-market rally contexts where the overall trend is still down, or they could be exhaustion gaps.

In any case, whether an overnight gap is up or down, there is a significant chance (often near 50%) that the market will retrace to the prior close at some point during that session.

Two-Day Fills

If a 1%+ gap doesn’t fill on day one, there’s still a chance on day two. By extending the window to the next trading day, the fill probabilities jump higher. Using QQQ as an example: about 53% of 1%+ up gaps were filled within two days (vs. ~45% same-day). For 1%+ down gaps, around 57% filled within two days (vs. ~47% same-day).

This suggests that many gaps which don’t fill in the immediate session might get filled by a counter-move the following day. Traders might consider this when a large gap remains unfilled – the target (prior close) could be reached the next day even if day one trended with the gap. However, beyond two days the probability of fill continues to increase only slowly; some gaps never fill at all, especially in trending markets.

Monday Focus

On Mondays, gap-fill dynamics can be a bit different (as discussed earlier). A 1%+ Monday gap-up has a decent chance of filling intraday – one analysis noted ~61% of Monday up gaps eventually traded down to the Friday close level during the day (even if they didn’t close red). This was somewhat higher than the fill rates mid-week, implying Monday rallies invite fade attempts.

For Monday gap-downs, the intraday fill (rally back to Friday’s close) was comparatively rare; many Monday drops never fully recovered that day. (In March 2020’s extreme case, some Monday gap-downs of 5–7% never filled for months!)

Thus, the “fade the gap” strategy historically had a better edge fading Monday gap-ups or buying Monday gap-downs only with caution (waiting for confirming strength), whereas mid-week gaps offered more balanced fade opportunities in both directions.

Average Intraday Returns After Large Gaps

Another way to judge gap fades is to look at open-to-close returns on days with big gaps. Do these days tend to continue the overnight move or pivot the other way? Here’s what the data shows:

Gap-Ups

When SPY opens up ≥1%, it usually ends the day higher than the previous close – in fact about 90% of such days still close “green” relative to the prior close. However, that doesn’t mean the intraday action added to the gains; often the bulk of the gain was overnight.

Looking at intraday performance only (open to close): historically SPY tends to be flat to slightly down after a large gap-up, on average. For instance, using a sample of 12 of the biggest gap-up days in recent years, SPY had an average open-to-close “drift” of –0.2% (despite the overnight gap being +2% or more). QQQ showed a –0.5% average drift on its large gap-ups.

In those samples, the indices still closed above the prior day in most cases (since the gap itself was large), but they gave up some ground intraday. This indicates a mild tendency for gap-up days to be faded intraday in aggregate.

It’s also consistent with the idea that big gap-ups can lead to profit-taking; traders who held long positions overnight may sell into the strength at the open, putting downward pressure after the initial pop. That said, it’s not universal, some gap-up days do keep running (about ~40% of the time in the study, SPY continued rising from the open to close).

A notable example was Nov 10, 2022, when SPY gapped up +3.7% on a favorable CPI report and kept rallying to close +5.5% on the day (adding to the gap). But the typical outcome leans toward a small intraday fade or sideways move after a gap-up.

Gap-Downs

When SPY opens down ≥1%, more often than not it will close the day higher than the open (a partial recovery). The bullish bias and dip-buying support this: across all 1%+ gap-downs since SPY’s inception, the average open-to-close change is +0.21%.

In simple terms, big gap-down mornings have often been followed by intraday gains (though not necessarily full recovery to breakeven). For recent extreme cases, data shows SPY’s largest gap-down days had an average intraday drift of –0.2% (a slight further loss), but that sample included some exceptional cases in 2024–2025.

Generally, in the past 5 years, many big gap-downs (especially outside of Monday) saw the index rally after the opening drop. QQQ in its 12 worst gap-down instances actually managed an average +0.1% open-to-close gain, implying some bottom-fishing intraday.

For example, on Oct 13, 2022, QQQ opened –2.8% but then surged over +5% from the open to close (a huge bullish reversal day). These dramatic turnarounds skew the average upward.

It’s important to note the win rate: in that sample, QQQ still fell from open-to-close 58% of the time on big gap-down days – meaning a majority of big gap-downs continued falling or at least didn’t fully rebound by the close. But the ones that did rebound sometimes did so in a big way, which lifted the average slightly positive.

Bottom line: big gap-down mornings often see some buying interest intraday, but it’s a coin flip whether the bounce closes the gap or just lessens the loss. Caution is warranted shorting into a large gap-down open, as there’s a known upward bias/intraday reflex – yet if negative news is persistent (as often on Mondays), further intraday declines can occur.

Volatility After Gaps

One consistent finding is that intraday volatility is much higher on large-gap days. The range (high-low) of the day tends to be wide as the market swings after a shock open. For SPY, on days with a 1%+ gap up, the price still averaged an additional +0.7% move above the open at some point (intraday high) and a –1.6% move below the open at the intraday low.

Similarly, after big gap-downs, SPY’s rebound off the lows averaged +1.6% and its further drop from open averaged –1.6%. QQQ saw about a +0.9%/-1.8% intraday high/low move after big gap-ups, and an even larger +2.3% average bounce off the open on big gap-down days.

These numbers mean that if you open 1% higher or lower, you could still see another 1–2% swing in either direction during the trading session. For example, even on a seemingly bullish gap-up day, QQQ might fall nearly 2% from the open to midday lows (giving back the entire gap, and then some, before possibly recovering). Or on a nasty gap-down, it might rally 2%+ off the opening price intraday (even if that only recovers a portion of the gap).

Intraday traders should expect wider ranges and whipsaws on big gap days and position sizing and stop distances should account for this elevated volatility.

(Click on image to enlarge)

Correlation of Gap Size vs. Intraday Move

There is some relationship between the gap magnitude and the intraday behavior:

Larger gaps generally increase the day’s volatility (a 2% gap is likely to have a bigger intraday range than a 1% gap). For instance, one of the largest recent gap-ups (+3.5% on April 8, 2025) saw SPY drop 4.9% from the open to close – an enormous swing. Likewise, a huge gap-down can trigger a fierce rally: on April 7, 2025, QQQ opened down –3.2% and then rebounded 8.7% off the lows intraday.

These are extreme cases, but they illustrate that when the gap is very large, the market often has an extreme reaction (either a runaway selloff after a blow-off gap up, or a violent relief rally after a panic gap down).

However, the correlation between gap size and fade magnitude (how much of the gap is retraced by the close) is not strictly linear. Moderate gaps (around 1–2%) show a higher propensity to fade partially, whereas very large gaps can go either way; they might continue in the direction of the gap due to strong momentum, or reverse sharply if the move was overdone.

For example, a 1.2% gap-up might routinely drift a bit lower as traders lock profits, but a 3% gap-up could either explode into a trend day (if new information strongly shifts fundamentals) or implode into a big reversal (if it was a short-covering frenzy that exhausts).

The data suggests no guaranteed outcome: some of the biggest gap-ups had slight additional gains by close, others had huge fades. Similarly, some huge gap-downs kept falling (capitulation days), while others reversed massively (flush-out then rally). The only clear correlation is that small gaps are more likely to get filled quickly than large gaps – once gaps reach the 2%+ range, intraday direction becomes case-specific (often news-driven).

Actionable Insights for Traders

For retail traders and market enthusiasts, understanding these patterns can inform trading strategies around the open:

Fading Strategy Considerations

The historical stats support a strategy of fading large gap-ups (especially on Mondays or in bear markets) and buying large gap-downs (especially mid-week or in bull markets) – but with nuance.

For example, a Monday +1% gap up has a good chance of being sold into (gap fill ~60% of the time, and even if not fully filled, often some intraday pullback occurs). A trader might look for a short entry after the initial morning strength shows signs of stalling.

In contrast, a Wednesday +1% gap up on strong news might be more prone to continuation, so one might be more cautious fading that without confirmation. Similarly, a Friday 1% gap down in a generally bullish environment might invite dip buyers into the afternoon, whereas a Monday 1% gap down in a rough market could slide further.

The key is not blindly fade every gap, but use these tendencies as a Bayesian prior – e.g., Monday-morning optimism often fades, and panicky opens often rebound, unless new information suggests a trend day.

Intraday Risk Management

Because volatility is high on gap days, using wider stops or scaling into positions can be prudent. If you plan to fade a gap, note that the market may overshoot (e.g., rally further past the open before reversing, or drop further before bottoming).
The average additional intraday swing of ~1.5% beyond the open price means even a correct fade trade can go against you significantly before working. Charts of intraday drawdown vs. gap size would show that larger gaps have larger potential adverse moves for fade traders (and momentum traders alike).

Monday Caution

Given the outsize role of Mondays, traders might treat Sunday night futures moves with skepticism. A useful visualization would be a bar chart of gap fill rates by weekday for 1%+ gaps – this would likely show Monday with the highest full-gap-reversal rate and Thursday with the lowest, as discussed.

Such a chart reinforces that one’s confidence in a gap filling should be higher on Monday/Tuesday than later in the week. Actionable tip: If you see a big gap early in the week, be mentally prepared for a fade; if you see one later in the week, consider the prevailing trend/news before fading, as the market may be trending into the weekend.

SPY vs. QQQ Comparison

Generally, QQQ’s higher beta means its fades or continuations can be more dramatic. My analysis showed QQQ had a slightly larger tendency to fade gap-ups (–0.5% avg intraday) than SPY (–0.2%), and conversely QQQ bounced a bit more on gap-downs on average.

Tying it all together…

Large overnight gaps in SPY and QQQ often set up mean-reversion trades, but the odds of a fade depend on the gap’s context (direction, size, weekday, news catalyst). Over the past 5 years, about half of >1% gaps have been faded intraday to some degree, with Monday gaps showing especially strong fade or continuation tendencies (depending on gap direction).
The average intraday return following a large gap tends to oppose the gap’s direction (gap-ups see mild losses intraday, gap-downs see gains), yet individual cases vary widely. As a trader, you should use these historical tendencies as a guide, but remain adaptive to the specific scenario each gap presents.

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