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Do Stock Gaps Always Get Filled? The Data
Average one-minute range and volume by time of day, 2025series · 2026-08-06 · 26×3Preview: a 16-point series, ending lower. Same-session gap fill rate by gap size, eight large caps, 2021 to 2026ranking · 2026-08-06 · 5×3Preview: 5 ranked values, largest first. Gap fill rate by how heavy the gap day's volume wasranking · 2026-08-06 · 3×4Preview: 3 ranked values, largest first. Share of 1%+ gaps filled, by how long you waitranking · 2026-08-06 · 4×3Preview: 4 ranked values, largest first.
Average one-minute range and volume by time of day, 2025

Average one-minute range and volume by time of day, 2025

most recentas of series 26×3read in context →
Average one-minute range and volume by time of day, 2025 — 26 rows by 3 columns, computed from US exchange, SIP and OPRA data.
et_timeavg_range_bpsavg_volume_k
09:3024.4303.9
09:4515.4170.9
10:0014151.8
10:1511.8128.6
10:3010.8117.6
10:459.9107.4
11:009.5102.3
11:158.894.2
11:308.487.7
11:457.881.6
12:007.778.2
12:157.274.4
12:306.969.6
12:456.868
13:007.172.8
13:15768.1
13:30767.6
13:456.665.4
14:00771.6
14:156.568.8
14:306.468.4
14:456.468.7
15:006.676.6
15:156.682.2
15:307.198.6
15:4510.8246.7
the exact SQL behind every number 
SELECT
    formatDateTime(toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 15 MINUTE), '%H:%i') AS et_time,
    round(10000 * avg(toFloat64(high) / toFloat64(low) - 1), 1) AS avg_range_bps,
    round(avg(toFloat64(volume)) / 1000, 1)                     AS avg_volume_k
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'AMZN', 'JPM', 'KO', 'WMT', 'XOM')
  AND window_start >= '2025-01-01'
  AND window_start <  '2026-01-01'
  AND toFloat64(low) > 0
  AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
       + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
  AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
       + toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
GROUP BY et_time
ORDER BY et_time ASC
More from this analysisDo Stock Gaps Always Get Filled? The Data
Same-session gap fill rate by gap size, eight large caps, 2021 to 2026 ranking 5×3 → Share of 1%+ gaps filled, by how long you wait ranking 4×3 → Gap fill rate by how heavy the gap day's volume was ranking 3×4 → MSFT: how the January 29, 2026 gap formed, 30-minute premarket buckets series 11×8 → See all 2,173 queries →
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