Monday, July 13, 2009

Tracking Shifts in Large Trader Sentiment

Not all large trades are executed as such, but when you see trades of > 100 contracts in ES, you know that a large trader is at work. The Market Delta chart shows the shift from red to green this morning with the bars showing only those trades greater than 100 contracts in size. After a high volume selloff at the 9:00 AM CT bar, we can see volume and selling pressure dry up in the subsequent two bars. This leads to aggressive buying (lifting of offers) among the large traders.

It's also instructive to see if volume specific to large traders expands or contracts over time. One tell for the follow-through to the rally was the increasing participation of large traders.