Narrated 'Abdullah bin Mughaffal:

The prophet said, "There is a prayer between the two Adhans (Adhan and Iqama), there is a prayer between the two Adhans." And then while saying it the third time he added, "For the one who wants to (pray)."

حَدَّثَنَا عَبْدُ اللَّهِ بْنُ يَزِيدَ، قَالَ حَدَّثَنَا كَهْمَسُ بْنُ الْحَسَنِ، عَنْ عَبْدِ اللَّهِ بْنِ بُرَيْدَةَ، عَنْ عَبْدِ اللَّهِ بْنِ مُغَفَّلٍ، قَالَ قَالَ النَّبِيُّ ﷺ
" بَيْنَ كُلِّ أَذَانَيْنِ صَلاَةٌ بَيْنَ كُلِّ أَذَانَيْنِ صَلاَةٌ ـ ثُمَّ قَالَ فِي الثَّالِثَةِ ـ لِمَنْ شَاءَ ".