When SPY gaps away from yesterday's close, that close becomes a magnet: the unfilled gap is a visible target, and on a calm day price often drifts back to fill it. Fading the gap toward the prior-day close is one of the cleaner reversion scalps — when the regime cooperates.

The setup

You want a calm, positive-gamma regime (gaps fill when hedging dampens moves) and a gap that shows early signs of failing to extend — a rejection at the prior-day high/low or a stall right after the open. The prior-day close is your target; the gap is the distance price is likely to retrace.

Entry, target, stop

Entry: the rejection that signals the gap won't run — price fading back from the open extreme (buy puts on a gap up that rejects, calls on a gap down that holds). Target: the prior-day close (the fill), with VWAP a common waypoint. Stop: a new extreme in the gap's direction / acceptance beyond the prior-day level — that's a failed gap-fill turning into a runaway.

The prior-day close is the gap's magnet on a calm day. Fade the open that can't extend, target the fill, and bail if the gap decides to run.

When to skip

Skip it in negative gamma or on a trend-day gap-and-go — those gaps run rather than fill, and fading them is stepping in front of momentum. The gap-fill is a positive-gamma, reversion trade; the regime decides whether the gap is a target to fade toward or a trend to respect. NoVo's regime read tells you which kind of gap you're looking at before you fade it.