Stats › Intraday and market microstructure › Midday lull
The midday lull
Every trader knows the market goes quiet around lunchtime. Fewer trades, tighter ranges, the feeling that nothing is happening. It's the single most repeated piece of intraday folklore there is.
It's also true, and somebody has actually measured it. A study of nearly seven hundred thousand SPY trading minutes puts the low point at 12:48 New York time. Not lunchtime vaguely. 12:48.
What surprised me putting this together is how thin the published data is on the rest of the curve. Plenty of papers say "U shaped", almost nobody publishes the actual percentage of daily volume in each half hour. So this page gives you the numbers that do exist, from exchanges and peer reviewed work, and is honest about where the gaps are.
Trading volume in SPY bottoms out on average at 12:48 New York time, measured across 686,480 trading minutes from 2008 to 2014. Volatility troughs in the same window. The lull has got relatively deeper, not shallower: the US closing auction went from 3.11% of aggregate daily dollar volume in 2010 to 7.48% in 2018, and US closing auctions matched 9.44% of total notional traded in Q2 2024. Turnover in the first fifteen minutes fell about 22% for S&P 500 stocks over the same period. In Europe the concentration is far more extreme: closing auctions were 24.5% of on-exchange activity in Feb 2026, and they all fire at 17:30 CET, which is 11:30 in New York.
Members only
The rest of this page is for members
Below this point there are 9 sections, 1 chart, 1 table and 6 named sources, roughly 2100 words of it. Every figure carries the source it came from and the date the data is from.
You can keep browsing every statistic in the library for free. The intro and the summary are always open.