CME Gap Fill Probability

Overview

This pillar analyzes price gaps on the CME Bitcoin futures chart that form over weekends. It calculates the historical probability of these gaps 'filling', providing a powerful, short-term price target for traders.

What It Does

The pillar identifies the price difference between the CME Bitcoin futures close on Friday and the open on Sunday. This 'gap' often acts as a price magnet. The analysis then assesses the gap's size, current market volatility, and historical data to generate a probability score that the price will return to fill this void.

Why It Matters

The tendency for CME gaps to fill is a well-documented market anomaly, offering a statistical edge. This pillar quantifies that edge, turning a popular trading theory into an actionable signal for predicting weekly price movements.

How It Works

First, the system records the CME BTC futures closing price every Friday at 4 PM CST. It then compares this to the opening price on Sunday at 5 PM CST. If a significant price difference exists, a gap is logged. The pillar then references its database of past gaps to calculate a fill probability based on historical fill rates and current market conditions.

Methodology

Gap is calculated as |CME_Open_Sun - CME_Close_Fri|. The fill probability is derived from a 3-year rolling window of historical data, defined as (Total Gaps Filled / Total Gaps Formed). This base probability is then adjusted using a multiplier based on the gap's size relative to the 20-day Average True Range (ATR); larger, more volatile gaps receive a slightly lower probability score.

Edge & Advantage

This provides a specific, data-driven price target that institutional traders watch, giving an edge over spot market traders who may not see this pricing data.

Key Indicators

• Gap Size (%)

  high

  The size of the price gap as a percentage of the closing price. Larger gaps can indicate stronger moves.

• Distance to Gap

  high

  The current market price's distance from the unfilled gap level.

• Historical Fill Rate

  medium

  The percentage of past gaps that have been successfully filled within 14 days.

Data Sources

• CME Group

  Official source for Bitcoin futures (BTC) contract data.

• TradingView

  Provides charting for CME Bitcoin futures, often used for visual analysis of gaps.

Example Questions This Pillar Answers

• → Will the CME Bitcoin futures gap from last weekend be filled by Friday?
• → Will Bitcoin (BTC) trade at $68,200 before the end of the week?
• → Will BTC price be higher or lower by Wednesday's close?

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