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Julia Spina Tested Every S&P Gap Down Since 2012
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ticker lesson
Breakdown
0:00lesson
Gap down definition and frequency
- Gap down defined as open half a percent below prior close
- Gap downs occur in about 13.6% of sessions
- Deeper gaps become progressively rarer
- Last significant gap on September 1st
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Session recovery after gap down
- Most move happens overnight
- Session drift follows overnight move
- Odds of closing above stay near 50%
- Deeper gaps reduce closing above probability
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Intraday range expansion after gap
- Gap size extends intraday trading range
- Ranges expand from 1.4x to 2.4x normal
- Big gaps correlate with volatile periods
- Large gaps often follow news or narratives
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VIX behavior after gap down
- VIX rises with gap size
- Most VIX rise happens overnight
- VIX drifts down intraday normally
- Large VIX moves reflect prior levels
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Gap clustering and recovery
- Gaps cluster, direction does not
- Gap down raises odds of next gap
- Volatility predicts volatility, not direction
- Position sizing allows for layered entries
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Delayed gap recovery
- Gaps rarely fill same day
- Recovery occurs within a week
- Trends become prominent over longer horizons
- Balancing time horizon vs. downside risk
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Summary of gap statistics
- Overnight gaps drive most movement
- Intraday ranges expand significantly
- VIX is higher before open
- Gaps rarely fill same day
12:02lesson
Trading activity and positions
- Iron Condor in Meta 16-day cycle
- Super Bowl trade in January cycle
- Mickey Donald's short put spread
- S&P butterfly position moved up
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