Relative Volume Update: How Much Participation Can We Expect During the Day?

Relative volume is a concept that assesses current volume as a function of the normal, expectable volume for that particular time of day. This is important, because relative volume tells us something important about volatility and who is participating in market moves.

Here are the median volumes for January to the present for the ES contract on a half-hourly basis (Central time; the time given is the starting time for the half-hourly period). Standard deviations to help you gauge shifts in relative volume are in parentheses. I also mention relative volume in my intraday Twitter comments:

8:30 - 249,628 (60,916)
9:00 - 210,109 (49,641)
9:30 - 176,713 (47,441)
10:00 - 150,998 (58,135)
10:30 - 124,357 (52,555)
11:00 - 112,447 (38,514)
11:30 - 111,184 (32,758)
12:00 - 113,583 (34,148)
12:30 - 122,089 (43,015)
13:00 - 144,050 (64,873)
13:30 - 153,997 (62,491)
14:00 - 188,381 (55,594)
14:30 - 260,692 (84,687)
15:00 - 111,856 (30,520)

.