Why Futures Gaps Form: The Order Flow Behind Every Jump
Futures gaps aren’t magic and they aren’t “overnight manipulation.” They happen because order flow dries up, liquidity shifts, and price jumps to the next available level. If you don’t understand how gaps actually form, you’ll misread volatility and get caught on the wrong side of a runaway move.
The Real Cause: Lack of Liquidity Between Two Price Levels
A gap is nothing more than a jump between two prices where no trades occurred. That only happens when the book is empty between those levels. No liquidity = no trades = instant jump.
To understand that context better, study Market Depth and DOM Structure—gaps are literally what happens when market depth collapses.
Why Gaps Happen Even Though Futures Hardly “Close”
Futures trade almost 24 hours, but liquidity is heavily concentrated during:
- US session
- European session
- Major news releases
Between these periods, books thin out. When price reopens after maintenance or enters a new liquidity cycle, it jumps to the nearest level with size.
Order Flow Window That Creates Most Gaps
The worst liquidity exists during:
- 5pm ET maintenance
- Sunday opens
- Low-volume Asia sessions
- Minutes after high-impact news
When a strong imbalance hits an empty book, the market has to “teleport” to the next available bid or ask.
Example: Why Sunday Night Gaps Are Common
Here’s the typical flow:
- Friday closes strong
- International news drops over the weekend
- Big players reposition
- Sunday open has almost no resting liquidity
The result? A clean jump to the next level that actually has orders.
News Gaps: Forced Repricing
When economic data blindsides the market, algorithms dump or lift orders instantly. If liquidity can’t absorb that pressure, the market skips prices entirely.
| Event | Why Gaps Occur |
|---|---|
| NFP | Huge order bursts overpower thin liquidity |
| CPI | Instant repricing based on inflation expectations |
| Fed statements | Algos yank resting orders |
Why Some Gaps Fill and Others Don’t
Gaps fill only when:
- they were caused by temporary thin liquidity
- the underlying order flow wasn’t directional
Gaps do not fill when:
- news creates real repricing
- the gap aligns with strong momentum
- the book stays thin in the opposite direction
If you want to understand price jumps more deeply, check your article on What Makes Futures Move.
Final Takeaway: Gaps Are Just Liquidity Vacuums
Futures gaps form when the order book goes hollow and price has to jump to the next area with buyers or sellers. They aren’t mysterious—they’re pure order flow. Treat them like the liquidity events they are, not chart “signals.”