What follows a gap-down on heavy volume
Deep dive D1 (2026-09-16): 8,124 liquid stock-days from 2019 to 2026 where the stock opened at least 8% below the prior close on at least three times normal volume.
The median gap-down stock drifted 1 point below the market over five sessions and 2 points over twenty, and finished ahead of the market 44 to 45% of the time against 46 to 48% on an ordinary day. The centre barely moved.
The width is the story: the 5-session p10–p90 band was 26 points wide after a gap-down against 11.5 on an ordinary day, and 43 against 24 at twenty sessions.
The only pre-event variable that mattered was how far the stock had already fallen from its 52-week high. Closing strong or weak on the day, and how heavy the volume was, predicted nothing.
Try it: pick a name on the day of a gap-down and look at the wall before revealing. Then count how many right sides went each way.