Overnight inventory and gaps: 21 S&P opens, what filledE-mini S&P 500 FuturesCME_MINI_DL:ES1!AKORDERFLOW2What happens to the overnight gap on S&P futures? I measured it on the last 21 cash sessions instead of using the usual "gaps always fill" line. DEFINITIONS - Gap = cash open (13:30 UTC, 9:30 New York) minus the previous cash close (20:00 UTC). Futures trade all night, so the gap is really overnight inventory: positions built while the cash market was shut. - Two questions decide most of what follows: (1) where the open sits against yesterday's cash range and value area, (2) where it sits inside the overnight range. An open at the overnight high or low means the inventory is stretched one way. DATA ES (December) 5-minute bars with real CME volume (Yahoo), 21 cash sessions from 25 Sep to 23 Oct 2026 (today up to 16:45 UTC). Value area = 70% of cash-session volume, 1-point bins. "Filled" = price trades back to the previous cash close. RESULTS - Open inside yesterday's value area: 8 sessions. Gap filled in the first hour in 6, by the close in 6. - Open inside yesterday's range but outside value: 4 sessions. 1 filled in the first hour, 2 by the close. - Open outside yesterday's range: 9 sessions (today included). 2 filled in the first hour, 3 by the close. - Size: 5 gaps of 12 points or less, all 5 filled in the first hour. 16 bigger gaps, 4 filled in the first hour. - Open in the top or bottom 20% of the overnight range: 9 sessions, 2 filled in the first hour. Open in the middle 60%: 12 sessions, 7 filled. WHAT IT SUGGESTS (small sample, not a system) 1. Small gap, open inside yesterday's value: yesterday's close acted like a magnet early (6 of 8). 2. Open outside yesterday's range: treat the gap as information. Fading it worked only 2 of 9 times in the first hour. 3. Open at an overnight extreme: the inventory is one-sided, and in this sample the gap rarely closed quickly (2 of 9). LIVE EXAMPLE: FRIDAY 23 OCTOBER - Thursday cash close 7,706.50. Thursday cash range 7,676.75 to 7,742.50, value 7,686 to 7,715. - Overnight range 7,660 to 7,716.25. The cash open came at 7,661: below Thursday's low and in the bottom 2% of the overnight range. Gap -45.5 points, the "outside range + stretched inventory" case. - First hour: no fill. Low 7,648.50 at 14:25 UTC. First 5-minute close back above Thursday's low (7,676.75) at 14:40, high 7,697.25 at 15:30, about 7,687 at 16:45. Thursday's close 7,706.50 has not traded yet: gap still open. - Lesson in one line: the outside-range open did not fill early, but the reclaim of Thursday's low turned it back into a range day inside Thursday's value. - Note on our S&P SHORT idea from earlier today: its first target zone 7,650 to 7,643 traded (7,648.50), then price reclaimed Thursday's low. The full result comes after the close. CHECKLIST BEFORE THE OPEN 1. Mark yesterday's cash close, range and value area. 2. Mark the overnight high and low and see where the open lands between them. 3. Inside value + small gap: expect a test of yesterday's close. Outside the range: give the first 30 to 60 minutes to show acceptance or rejection before assuming a fill. 4. A reclaim of yesterday's range edge (7,676.75 today) turns an outside-range open into a range day. Value areas and VWAP on the chart come from the free indicator VWAP & Volume Profile Order Flow Map . Next tutorial: rotation factor and one-time framing. Education only, not financial advice.