A price jump between one candle's close and the next candle's open, leaving a range where no trading occurred.
A gap between two sessions. A gap is a price range where no trading took place: the market shut at 30.80 and reopened at 31.60, so the shaded band in between holds no candles at all. It stays an open gap until price trades back through it.
Gaps form overnight in stocks on news or earnings-reports, and on weekends in most markets. Gap up means the open is above the prior high; gap down means below the prior low.
A gap fill happens when price returns to the pre-gap level. Small gaps in liquid names fill frequently; large gaps on real news often do not. Gaps are also why a stop-loss cannot guarantee your risk.
Example: a stock closes Friday at $60 and opens Monday at $66 after an upgrade. The $60 to $66 range is the gap. If it trades back to $60 within days, the gap has filled.