Added comment 12:38 PM CT - We sold off below the pre-opening lows; note how volume expanded on the selling:
11:00 AM CT - 48,311 (61,769)
11:30 AM CT - 37,512 (56,682)
12:00 N CT - 196,526 (67,068)
Here's a clear indication of buying drying up at the highs and now institutional sellers participating to the downside. Catching this transition is very helpful even to longer timeframe participants, as it illustrates an important shift in sentiment among the large traders that move markets.
After moving above the overnight highs on solid buying interest, note how volume tailed off during the morning. Instead of attracting participation, higher prices facilitated less trade. That brought profit taking and a return to the overnight trading range.
Let's go back to relative volume and see how today has stacked up thus far. The first number is today's ES volume; the second (in parentheses) is the average trading volume for the corresponding half hour period. (Note: go here to see all of the average trading volume norms).
8:30 AM CT - 256,400 (232,738)
9:00 AM CT - 163,091 (206,277)
9:30 AM CT - 77,110 (133,732)
10:00 AM CT - 75,681 (105,369)
10:30 AM CT - 62,252 (95,450)
9:00 AM CT - 163,091 (206,277)
9:30 AM CT - 77,110 (133,732)
10:00 AM CT - 75,681 (105,369)
10:30 AM CT - 62,252 (95,450)
Note how we shut off trade during the morning hours, turning what looked like could be a trending day into a range one. If higher prices aren't attracting the participation of large market participants, there's a good likelihood that we won't sustain that strength.
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9 comments:
Are these hourly volume numbers publicly available and is so where?
Hi Ken,
To my knowledge, I'm the only one who publishes them. The link in the post will take you to the most recent data. Thanks--
Brett
Are you using the mean or median values for the 45 day avg? In a previous post you mentioned using the median. I am asking because I have a way to automatically calculate the mean value but not the median. Which would you recommend and is there much of a difference?
Hi Turner,
Per the linked post, I only look at medians, as extreme values skew the means.
Brett
What formula and values do you use to calculate your pivot points?
Just wanted to point out another important "tell" that the markets are topping from Zero Hedge -- last week bond spreads widened despite the big run-up. That is an indication that the bond market is not buying the economic story told by the stock market. . .
Dr. Brett,
After the 1:00 to 1:30 bracket (which contained much higher than the median volume), were you automatically willing to sell the next rally, given that larger players were likely sellers during the way down?
Ken
Hopefully your broker or trading platform offers Bar Tables. Just pull up a bar table using SPY and select 30 min or hourly interval. Check extended session if you want that volume included.
Granted its not ES, but similar to show what you're looking for.
according to my numbers (still cant get why they so differ from yours)
11:00 AM CT - 8406 (9439)
11:30 AM CT - 7652 (9328)
12:00 N CT - 20167 (9671)
here how it looks like.
the plot is the same.
so with vol confirmation of dnside breakout to past session range & with >-1,2k nyse tick in the final hour (1st since at least tuesday) it can look like bulls can have a trouble in moving higher.
on the other side, too many indicators tells its not a good to short, yet.
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