According to the data, which I downloaded by SPX from the FINAM website, it turns out interesting statistics on gaps.
With 2001 years to the present day 2620 days . Number of gaps up and down MORE 1% about the same 52-53. The size distribution is also almost the same.
From 53 order gaps 72-76 % accounted for by GEP from 1% to 2%, Order 15-18% from 2% to 3% And 5-6% on the GEP above 3%.
coming out, that GEP B is more 1% largest in 53/2620 = approximately 2%. You can say, that in the quarter at least twice, but the GEP was definitely and in most cases from 1 to 2%. ES futures fully loaded account can generate as profit ,and to the loss before 40-45%.
UPDATE
Turns out, that the data that I downloaded from Finam is data either by SPY or SPX, but taking into account the opening prices of all shares. So the numbers remain the same
Can someone and the frequency be able to calculate :))
Latest dates of minus GEPs are more than 1%
20081112
20081114
20081117
20081126
20081201
20081204
20081217
20090114
20090122
20090123
20090202
20090217
20090227
20090302
20090305
20090327
20090330
20090407
20090521
20090615
20090817
20100212
20100225
