Most of the day, the S&P 500 e-mini Index (ES; blue line above) stayed below its opening price and its volume-weighted average price (VWAP; pink line). The market broke below its opening price range, but then rallied steadily back to VWAP as selling pressure dried up. An attempt to break out to new lows around 13:50 CT was quickly rejected and we rallied in a choppy way back to VWAP and eventually through it. From 11 AM CT on, relative volume dropped significantly, and with it volatility. In all, we operated within a roughly 10 point range from open to close.
I thought the best trade of the day was playing off the double bottom for a move above VWAP, but notice how choppy that trade was and how difficult it was to hold into the target. With VIX falling to the 33 area, it will be important to track relative volume through the day, as these slowdowns produce very challenging trading conditions.
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2 comments:
Hey - Love yr stuff and generally a lurker BUT thought you might try looking at the chart VWAP against running average price - it gives a slightly cleaner perspective of the moves and when Volume is really at play or not.
exactly, nice intraday play was only double bottom. indeed, low at 1st bottom was 894p - second - 893.5p, so there appeared bullish divergence at least with rsi 14, stochactic lines and 3/10 oscillator on 15, 30 minute cart.
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