Daily Gap — Opens Outside Prior Day's Range

What you're looking at. Stock opened strictly outside yesterday's range AND has a same-day catalyst from our feed (earnings, SEC filing, insider activity, or press release). Gaps without a catalyst fade. Gaps with one tend to continue.

How it has behaved. Plastun et al. (2020) found gaps continue in their direction on the gap day itself — an intraday pattern rather than a multi-week one. A setup is priced at the open when its catalyst predates it, else at the scan-time price (about 9:45 ET). The Historical tab shows whether similar setups kept going past T+1.

What we already filter out. You won't see setups that fail any of these — the noise is pre-removed:

• Gaps under 3% (inside the day-to-day noise band).
• Filings with a catalyst impact score below 4.
• Biotech tickers (SIC 283x / 873x) — binary trial-result risk, untradeable on gap size alone.
• Half-sessions and the day before a holiday — thin volume breaks the usual pattern.
• Prices under $5, or names with prior-day dollar-volume below $1M.

Further reading.

• Plastun, Sibande, Gupta & Wohar (2020) — peer-reviewed. Gaps continue in their direction on the gap day across US, UK and German indices.
• Caporale & Plastun (2017) — gaps with volume continue; gaps without volume fade. Use the dollar-volume filter.
• Johnson & So (2018) — gaps around earnings correlate with drift the way SUE does. Overlap between PEAD and catalyst-driven gaps is not coincidence.
• Fung & Mok (2001) — intraday behavior of opening gaps. Most of the continuation move happens in the first 90 minutes.