Gaps are nothing but lack of trading during the market open caused by either by a day traders or professional institutional traders/investors. There is a old saying that ‘all the Gaps will fill’. It is often observed that wider the gap introduces more volatility in the markets. And gaps are created because of extreme sentiments among traders/investors (Macro Events, Earning announcements, earnings expectations) which make them to bring flood of orders during the market open
Here is a simple Full Gap Open Range Strategy for intraday traders to trade the big gap ups and gap downs using open range breakout. And more important strategy is back-testable.