IG Markets have a nice little cash cow called a GSLO (Guarantee Stop Loss order) which will force an order to go through at a the specified price even if prices gap past it. (And you pay handsomely for the privilege)
Similar to a barrier oppie/warrant where YOU choose the barrier level...
Problem is that you will pay around 1~2% of order value for this stop with stocks, and its set a min 5% away from current price levels.
Indices its slightly different. For the SPI its 5pts paid as prem (+2 spread) and min stop is 15pts. Although the index rarely gaps 22 pts, there is a way to make the most of it.
Playing morning gaps is farily hard, as a 'straddle' will cost you 14 points outright, and you need a gap of 29pts to break even.. not to mention the horrible spread when night SPI closes in the early morning.
I've been 'straddling' instead public hols and days where the SPI closes early. Eg Aus Day, Christmas etc so there is no night SPI, and you straddle can enjoy the full move of overnight markets. Backtesting is incredibly limited but %success and expectancy is quite high.
Just a strategy to think about at the next public holiday