2 pm to 3:30 pm: the 2:30 pm numbers, the gap and the pre-market

The hour and a half before the open makes three things you will use all session: the gap, the pre-market range and, on number days, the reaction to the number. It almost never makes a trade.

The gap is measured against settlement, not the close

The NQ gap is the distance between the 3:30 pm opening price and the previous day's settlement, set on the thirty seconds before 10 pm. Not the last price of 11 pm, not midnight's. Your platform often draws the "close" on the last trade of the Globex session; reset it to settlement, it is the price against which all accounts were marked and the one desks look at.

Three gap sizes, three behaviours:

• Under 0.3% (about 70 points): noise gap, often filled in the first hour, but with no predictive value.
• 0.3 to 1%: the gap that structures the morning. Filled or held, the answer usually comes before 4:30 pm, and it says whether the day is a rotation or a trend.