Gap risk
Gap risk is the possibility that price jumps past a stop without trading at the levels in between, typically across a trading halt, a session break, a weekend or a sudden news release. A stop order then fills at the first available price, so the realized loss can far exceed the planned one.
Senzoukria · Glossary · Updated September 2026
How a gap defeats a stop
A stop order becomes a market order when its price is touched. If the market reopens below a long position's stop, the stop is triggered at the open and fills near the opening price, not at the stop level. A long ES position with a stop at 4,990 that reopens at 4,970 loses 20 points instead of 10 below the stop, 1,000 dollars per contract instead of 500 from an entry at 5,000. A stop-limit order avoids the worse fill only by risking no fill at all, leaving the position open.
CME equity index futures trade nearly around the clock but have a daily maintenance break and close over the weekend, and scheduled releases can move prices by several ticks between two trades even during continuous trading.
Where gap risk concentrates
- Positions held through the weekend, when news accumulates while the market is closed.
- Positions held across the daily break.
- Positions open during scheduled economic releases, when the book thins before the number.
- Thin overnight sessions, where a market order can move through several levels.
Backtests understate it
A bar backtest that fills a triggered stop at the stop price assumes there was liquidity at that price. The automatic backtest in Senzoukria does exactly this: when a bar's low reaches a long stop, the trade is recorded at the stop price, even if the bar opened beyond it, so gaps through stops are not modeled. For strategies that hold across breaks or releases, the worst historical losses should be checked against the bars that opened beyond the stop, and the costs assumption raised accordingly.
Replay and the chart help see the risk in advance: the economic calendar lists scheduled releases with their impact and shows those due in the next twelve hours for the chosen instrument, and time-axis separators and event lines mark sessions and macro events on the chart.
Managing it
- Size positions held through breaks as if the stop could fill further away.
- Flatten before scheduled high-impact releases or the weekend when the strategy does not need to hold.
- Remember that account rules, such as daily loss limits, are measured on the realized fill, not on the planned stop.
Related
In the same section
- Overnight position rule
- GEX calculation
- Gamma wall
- Half-open connection
- Gamma squeeze
- Heartbeat
- Gamma scalping
- Heatmap footprint
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Frequently asked questions
- Does a stop-loss order guarantee my maximum loss?
- No. It guarantees an exit order once the stop price is reached, not the price of the fill. In a gap or a fast market the fill can be several ticks or points beyond the stop.
- Are futures more exposed to gaps than stocks?
- Equity index futures trade most of the day and night, so they gap less often than stocks between sessions. They still close over the weekend and pause daily, and they can jump between trades on major releases.