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.
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3 comments:
Thnx for delta chart Doc. That was quite a reversal this AM...do you know if there was any sort of news/catalyst that hit the wire that would draw so many large traders in on long side?
thanks,
charles
Brett, in this post you looked at trades of a minimum of 100 contracts, but in your post on this topic from April the minimum was 50 contracts. Does it make much difference? And if so, how do you decide what threshold is appropriate?
My thought would be this is Options Expiry week "antics". M,Tu,We are the big days, big price moves. They undoubtedly were able to sweep many short stops and scare a number of recent put buyers (CNBC hyping the head and shoulders) out of their positions. They also wanted to reclaim the 900 level on $SPX which they did with a frantic last 2 minutes of futures buying--over 130,000 futures in 2 minutes. Someone had ulterior motives since there is no need to purchase so quickly at a premium--futures keeps trading all night.
http://screencast.com/t/pk9zGhJMXh
Overall daily volume was twice normal of the last month
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