Tuesday, April 21, 2009

Relative Volume for ES Futures

Recent posts have emphasized the relationship between volume and volatility (and between VIX and volatility) as key to anticipating trading movement and opportunity. The specific tool that I've found most helpful in anticipating intraday movement is what I call relative volume: the comparison of volume at a certain time of day with the median volume for that time of day. When relative volume is above average, we can expect good movement in the ES futures; when we have below average volume, trade is often narrow and range bound.

Below are the half-hour periods of the regular trading day, the median volumes in ES for 2009, and the standard deviations for each of those. I've found these norms to be quite helpful in identifying when volume is picking up and slowing down, which alerts me to whether markets are facilitating trade at particular key price levels. All times are Central Time US:

8:30 AM - 242,978 (55,247)
9:00 AM - 208,202 (50,743)
9:30 AM - 173,246 (43,980)
10:00 AM - 142, 250 (53,507)
10:30 AM - 117,904 (46,620)
11:00 AM - 104,093 (36,316)
11:30 AM - 97,808 (32,632)
12 Noon - 108,429 (36,057)
12:30 PM - 113,074 (41,832)
13:00 PM - 133,750 (60,438)
13:30 PM - 147,448 (60,432)
14:00 PM - 180,139 (53,454)
14:30 PM - 264,140 (84,050)
15:00 PM (15 minute period) - 112,686 (31,815)

Please note that I will continue to use Twitter to update how we're trading relative to these norms (free subscription here). The last five tweets always appear on the blog page.


Gold said...


It is easy for you to compute relative volume for DAX Futures ?

I promise you to learn using Excel with esignal feed ;)

VJ said...

Thanks for sharing the data. It was very valuable to anticipate the bigger move coming.
when we anticiapte a bigger move coming and personality is more like a scalper, we tend to take profits early. How to improve?

victor said...

I find the relative volume for ES futures very useful. How often do you update them and where do I find them? Thx much