Let's Talk About Overnight Sessions - All Time Highs and Gaps Up!

Drafted this a while ago, sorry that some of the dates are from (gasp) July!

On July 7th (a Monday), July 15th (a Tuesday), and July 18th (a Friday), we made ATHs in NQ in the overnight session, AND gapped up above the previous RTH session. In each case, a fade short targeting the previous RTH session VPOC payed in full. Sounds indeed like a holy grail trade, but 3 sessions alone is pretty anecdotal in the futures market, so let’s look a bit broader at what opportunities there are for the combined mixture of hitting an all-time high and gapping up in the overnight session.

Currently, September 18th, after FOMC, we are doing just the same - currently at ATHs in the overnight session, and a whopping 150+ point gap up from yesterday’s close. That’s why I’m publishing this right now :)

Will we fill the gap all the way down to 24550? And then even further to the FOMC VPOC at 24420 (MNQs PVPOC is at 24500)? Only the upcoming auction will tell!

In summary, for sessions since 2020, I find with AMT JOY, in NQ, that there are 86 sessions that:

1. make an all-time high in the overnight trading session, and

2. See RTH open with a true gap up above the previous day’s trading range.

Of these, 61, or ~70% close the gap to the previous day’s high.

57 sessions, or 66% continue on to reach the previous VAH,

and 43, or 50% continue on to reach the previous RTH VPOC.

If you don’t understand any of these alliterations, I invite you to read my Auction Market Theory post.

This is a significant statistical edge; combining these outcomes with real-time price action and delta divergence of a developing session, and I’ll take those trades any day of the week. Likewise is also true: I would need heavy heavy conviction to look at longs in RTH with such a large gap up on top of what is a relatively thin (overnight) inventory.

Good luck out there.

-Chris