Since you said you checked your filter, I assume you checked other places such as your skimmer and pump basket. You might also check under any removable ladders and perhaps behind light niches. Something is seriously consuming chlorine in your pool, and losing it overnight means it's not the UV in sunlight.

I also assume you test your chlorine level within an hour after you've added it just to make sure your chlorine isn't weaker than you think. So I too am at a loss. This is very unusual. Even if it were some conversion of CYA to ammonia and/or partially oxidized CYA, you should see your chlorine demand dropping and you would see at least some CC.