Ask a room of swing traders which overnight is the riskiest and most will say the weekend. Three calendar days of news, no regular session to react in, and a Monday open that has to price all of it at once. It sounds obvious. So we checked it against a decade of SPY gap statistics, split by day of the week, to see how much bigger the Monday gap actually is.
The short answer: Monday gaps are bigger, but by far less than the calendar suggests. Where Monday really differs is in the tail and in how often the gap gets taken back.
How the Numbers Were Built
- Data: SPY daily open, high, low and close from Yahoo Finance’s SPY price history, January 5, 2016 through September 30, 2026: 2,700 sessions.
- Gap: today’s open versus the prior session’s close, dividend-adjusted so ex-dividend days don’t show up as fake down-gaps.
- Fill: the regular session traded back to the prior close at some point the same day.
- Weekday: the day the gap opens on. “Monday” means the gap that built over the weekend.
These SPY gap statistics are a simple descriptive study, not a backtest of a strategy. Nothing here was optimized or curve-fit. You can reproduce every figure from any free daily price history.
SPY Gap Statistics by Weekday, 2016–2026
| Gap opens on | Sessions | Avg gap size | Median gap | Gaps over 1% | Gapped up | Filled same day |
|---|---|---|---|---|---|---|
| Monday | 503 | 0.50% | 0.30% | 11.3% | 56.1% | 57.1% |
| Tuesday | 557 | 0.43% | 0.26% | 9.5% | 54.8% | 61.8% |
| Wednesday | 554 | 0.40% | 0.25% | 8.5% | 59.9% | 66.8% |
| Thursday | 544 | 0.44% | 0.30% | 8.6% | 55.9% | 61.2% |
| Friday | 542 | 0.44% | 0.32% | 7.8% | 58.1% | 59.4% |
| All days | 2,700 | 0.44% | 0.29% | 9.1% | 57.0% | 61.3% |
Three Days of News, About 17% More Gap
The average Monday gap was 0.50%. The Tuesday-through-Friday average was about 0.43%. That’s roughly 17% larger, for an overnight that spans three calendar days instead of one.
The median tells an even quieter story. The typical Monday gap (0.30%) was basically the same as a typical Thursday (0.30%) or Friday (0.32%). On an ordinary weekend, not much happens that markets need to reprice.
That fits a long line of academic work going back to Kenneth French’s 1980 study of the weekend effect: price movement tracks the flow of information and trading, not the clock. Companies, the Fed, and most data releases go quiet on Saturday and Sunday. The weekend is long, but most of it is empty.
Where Monday Really Is Different
If the typical Monday looks normal, why is the average higher? Because of the tail. Three numbers stand out.
1. Big gaps cluster on Mondays
11.3% of Monday opens gapped more than 1%, versus 7.8% on Fridays. Look at the 135 largest gaps in the sample (the top 5%, all 1.30% or bigger) and Monday holds 34 of them. Friday holds 22. The two largest gaps in the whole decade, 10.5% and 7.5%, both opened on Mondays in March 2020.
2. Monday gaps fill less often
Only 57.1% of Monday gaps traded back to Friday’s close the same day. That was the lowest of any weekday. Wednesday gaps filled 66.8% of the time. A weekend gap is more likely to be a real repricing that sticks, not overnight noise that drifts back.
3. Holiday weekends are the outlier
Cutting the data by calendar days closed, rather than by weekday, sharpens the picture:
| Market closed for | Sessions | Avg gap size | Gaps over 1% | Gapped up | Filled same day |
|---|---|---|---|---|---|
| One night (normal) | 2,113 | 0.42% | 8.3% | — | 62.9% |
| Regular weekend (3 days) | 485 | 0.51% | 11.6% | 55.9% | 57.5% |
| Holiday weekend (4+ days) | 75 | 0.51% | 16.0% | 48.0% | 45.3% |
After a four-day-plus closure, one open in six gapped more than 1%, and fewer than half of those gaps filled the same day. The sample is small (75 sessions), so treat it as a warning light rather than a precise rate. Still, it points the same way as everything else: the longer the market is shut, the less likely the open is to snap back.
Does It Survive Removing 2020?
March 2020 produced several historic Monday gaps, so it’s fair to ask whether one crisis drives the whole result. Two robustness checks:
- Excluding all of 2020: Monday’s average gap drops to 0.42%, against 0.35%–0.41% for other days. Monday is still the most likely day for a 1%-plus gap (9.0% vs. 5.9%–7.9%), and still near the bottom on same-day fills (58.0% vs. Wednesday’s 68.7%).
- Last three years only (Oct 2023–Sep 2026): Monday’s average gap is 0.49% and 11.2% of Mondays gapped over 1%, versus just 4.7% of Fridays. The pattern held even without a pandemic in the window.
One thing that did not hold up: direction. The share of up-gaps bounces between 52% and 67% depending on weekday and period, with no stable weekday edge. If anyone tells you Mondays “usually gap down,” this data doesn’t back them up.
Turning These SPY Gap Statistics Into a Plan
None of this predicts which way Monday opens. What it can do is change how you size and plan around the weekend:
- Size for the tail, not the median. The typical weekend is calm. The risk is the roughly one-in-nine weekend that gaps over 1%. If your Friday position can’t survive that, it’s too big. Our walk-through of why a stop loss doesn’t protect you through a gap shows how quickly that math gets ugly.
- Don’t assume a Monday gap will fill. A plan that relies on “it’ll come back to Friday’s close” is betting against the weakest fill rate of the week. Pair this with our earlier look at gap-fill rates by gap size: a large Monday gap stacks both odds against a fill.
- Treat holiday weekends as their own category. Fewer than half filled, and big gaps came more often. Consider holding smaller, or flat, into three-day holidays.
- Count correlated positions as one bet. A weekend gap hits everything at once, which is why overnight gap risk is a portfolio number, not a per-trade one.
This is also where a written Friday pre-commitment helps. Before the close, decide your weekend size and your Monday plan for both an up-gap and a down-gap. SpyTomorrow’s daily pressure reading can be one input into that checklist, as structured context rather than a call to follow. The SPY gap statistics tell you how wide the range of outcomes is. Your plan decides how much of that range you’re willing to sit through.
The weekend isn’t three times riskier than a Tuesday night. It’s about as calm most of the time, and noticeably worse on the rare weekends when something actually happens.
This article is for educational and informational purposes only. It does not constitute financial advice, investment recommendations, or a solicitation to buy or sell any securities. Past performance and historical data do not guarantee future results. All trading involves risk, including the potential loss of principal. Always do your own research and consult with a qualified financial advisor before making trading decisions.
