Are gap fills in CL (specifically) anywhere near as probable as they are in stock indices?
You can test it but the reasoning is not the same. On Stock Indices the stocks are not trading but the indice is moving. This leaves many unfilled limit orders that are there to be filled from the gap between 4:15 PM ET and 9:30 AM ET. Therefore if the indice opens at a different price then it often moves back to fill the gap as the stocks themselves move to fill the limit orders. Oil is open all night so it does not have the market dynamic happening.
