More than half of the Nifty's gap fills in my minute data happened before 9:16 AM. Of 34 sessions where the index traded back to the previous day's close, 18 got there inside the first one-minute bar, and 24 inside the first 15 minutes.
After 9:45 AM only 7 more gaps filled for the rest of the day, and none after 1:37 PM.
This is the follow-up to how often the Nifty fills its opening gap, where I used daily highs and lows and wrote that I could not tell a fill at 9:16 from a fill at 3:29. With one-minute bars I can.
Eighteen fills in the first minute
A fill here means the first minute in which the index touched the previous close: a low at or below it after a gap up, a high at or above it after a gap down. The window is 3 July to 1 October 2026, 64 sessions, every one of which opened with a gap.
| First touch of the previous close | Days | Share of the 34 fills |
|---|---|---|
| 9:15 AM (the first minute) | 18 | 53% |
| 9:16 to 9:29 AM | 6 | 18% |
| 9:30 to 9:45 AM | 3 | 9% |
| 9:46 to 10:59 AM | 0 | none |
| 11:00 AM to 12:59 PM | 5 | 15% |
| 1:00 PM to the close | 2 | 6% |
| Never | 30 |
The median fill time is 9:15 AM. I did not expect that, and for a while I assumed the data was wrong: a 9:15 fill needs the index to cover the whole gap in sixty seconds.
It did that on 18 days because the first minute is wide. Across the 64 sessions the 9:15 bar averaged 50.41 points from high to low, and the widest was 106.60. The opening value comes out of the pre-open auction (how that price is set), and then the 50 stocks begin trading continuously. A gap of 10 or 20 points sits well inside that first swing.
So the 18 first-minute fills are mostly small gaps: 13 of them were under 25 points. The largest was 69.90 points, on 13 August, when the first bar spanned 80.25.
A gap still open at 9:45 mostly stayed open
The same counts, read off the clock: at a given time, how many gaps were still open, and how many of those went on to fill.
| Time | Gaps still open | Filled later that day | Share |
|---|---|---|---|
| 9:15 AM, at the open | 64 | 34 | 53% |
| 9:16 AM | 46 | 16 | 35% |
| 9:30 AM | 40 | 10 | 25% |
| 10:00 AM | 37 | 7 | 19% |
| 1:00 PM | 32 | 2 | 6% |
The rate falls by more than half in the first 15 minutes. And there is a hole in the middle of the morning: no gap filled for the first time between 9:46 and 11:02 AM. That blank fits the time-of-day counts for highs and lows, where the open and the last hours carried most of the extremes and mid-morning very few.
Size decided when, not only whether
The earlier post found that small gaps fill and large ones mostly do not. Minute bars add the timing.
| Gap size | Days | Filled by 9:30 AM | Filled later | Never filled |
|---|---|---|---|---|
| Under 25 points | 18 | 15 | 0 | 3 |
| 25 to 50 points | 14 | 5 | 4 | 5 |
| 50 to 100 points | 17 | 4 | 4 | 9 |
| 100 points or more | 15 | 0 | 2 | 13 |
Small gaps were all-or-nothing at the open. Fifteen of 18 filled before 9:30 AM, and the three that missed then never filled at all, including a gap of 2.65 points on 23 September that the index simply walked away from.
Gaps of 100 points or more never filled early. The two that filled did so at 9:45 AM and 12:39 PM. The middle two rows are the only ones with fills on both sides of 9:30 AM: 9 of their 17 fills came before it and 8 after.
Gap-downs filled at the open or almost not at all
| Direction | Days | Filled by 9:30 AM | Filled later | Never filled |
|---|---|---|---|---|
| Gap up | 34 | 14 | 9 | 11 |
| Gap down | 30 | 10 | 1 | 19 |
Ten gap-down fills came by 9:19 AM. After that, 20 gap-downs were still open and one of them filled, on 13 July at 12:39 PM. Gap-ups kept filling through the day: 9 of the 10 fills after 9:30 AM were gap-ups.
This is the table I trust least, because the window was a falling one. The Nifty closed at 24,167.20 on 2 July and 22,421.95 on 1 October. Over a stretch like that, a drift down to yesterday's close after a gap up went with the trend and a climb back to it after a gap down went against it. I have no rising quarter in minute bars to compare with.
Late fills were visits
Seven gaps filled after 11:00 AM. On two of those days the Nifty closed on the far side of the previous close. On the other five it touched the level and closed back on the side it had opened on.
Across all 34 fills, 15 ended with a close on the other side: 10 of the 23 gap-up fills and 5 of the 11 gap-down fills. The earlier post called a fill a visit rather than a turn, and the minute data agrees. It matches the opening range counts too, where the first direction of travel was a weak guide to the close.
Today's gap, minute by minute
Monday, 12 October, is outside the sample. It is a worked example of the rarer outcome in the 50-to-100-point row: a fill before 9:30 AM.
- Friday's close was 22,520.45. The Nifty opened at 22,593.20, a gap of 72.75 points.
- In the first five minutes it went up, to 22,651.10. The low of that candle was 22,581.90, still 61.45 points above Friday's close.
- In the 9:20 to 9:25 AM candle it dropped to 22,512.00, which is 8.45 points below Friday's close. The gap was filled inside ten minutes.
- It then closed the day at 22,363.35, well beyond the fill (today's post-market report).
In the study, 4 of 17 gaps of this size filled before 9:30 AM. Today would have been a fifth.
The counting rules and their blind spots
The bars are one-minute Nifty 50 spot values from my own market log, 9:15 AM to 3:29 PM, with the previous close taken from the same log. I checked that the minute-bar fills agree with the daily highs and lows: the same 34 days fill either way.
- One touch counts. A single minute with a low or high at the previous close is a fill. A stricter rule, such as a five-minute close beyond it, would move several 9:15 fills later or remove them.
- 64 sessions. The 97-session study started in May; minute bars only exist from 3 July. Some cells above hold two or three days.
- Spot index, not a price anyone traded. The index in the first minute is computed from 50 stocks that do not all trade at the same instant. Nifty futures and GIFT Nifty gap by different amounts and may not show a first-minute fill at all. I have not measured that.
"The gap filled" described two different events in this quarter: a first-minute swing that covered 13 of the 18 gaps under 25 points, and a slower move back after 9:30 AM that happened on 10 days out of 64. A single fill rate adds the two together.
Sources
- One-minute and daily Nifty 50 values, 3 July to 1 October 2026: my own market log (aggregate counts only)
- The 12 October example: Zerodha Kite market data (5-minute candles)
This post reports counts from my own market records, for information only. It is not investment advice or a recommendation to trade, and past patterns say nothing certain about the future. I am not registered with SEBI as an investment adviser or research analyst.