The S&P is gapping lower by more than 2% this morning. I’ve studied this in the past. Click here to read that blog entry.
Blog readers should also be aware that the blog is searchable. If you see the market is gapping down a lot then you could just type “2% gaps” into the search bar at the top and several studies related to large gaps would apppear.
Edit: Today’s gap while over 2% in the futures was “only” 1.8% in the SPY. Therefore is would have missed qualification for the particular study that was referenced.