Wednesday, August 19, 2009

Updated Relative Volume Norms for the ES Market

As promised, I'm updating readers on the relative volume norms for the S&P 500 e-mini (ES) market. Remember, these represent the median volumes for each half hour period during the market day. I will be posting more on the topic of relative volume in coming days. For more information about relative volume, check out the recent post on the topic as well as this explanation.

The numbers in parentheses are the standard deviations around those median volume values. That gives you an idea of what a very high or low volume figure would look like: I generally consider values above or below one standard deviation to be meaningful.

Note that all times are Central Time, U.S.; the final period is the 15 minute "after hours" period in Globex futures. The values go back to mid-June (45 trading days), which is when the current contract became the front month.

8:30 AM - 232,738 (45,819)
9:00 AM - 206,277 (48,136)
9:30 AM - 133,732 (37,981)
10:00 AM - 105,369 (36,975)
10:30 AM - 95,450 (40,804)
11:00 AM - 61,769 (25,008)
11:30 AM - 56,682 (21,972)
12:00 N - 67,068 (30,186)
12:30 PM - 61,687 (23,390)
13:00 PM - 82,336 (32,547)
13:30 PM - 76,717 (44,062)
14:00 PM - 99,610 (35,349)
14:30 PM - 194,488 (56,432)
15:00 PM - 95,539 (25,427)

The numbers dramatically highlight when institutions tend to be most active in the stock index futures market. Knowing when large participants are active is important in handicapping the odds of markets moving significantly, as volume correlates with volatility by about .65. More on this topic to come shortly.


eric said...

Can we, and if yes, how do we find this information for the SPYS if we trade US equities.

again, loved the seminar!

JimMM said...

Does anyone have a Link to a TradeStation indicator that tracks the half hour volume numbers. I'm looking for the EasyLanguage Code or ELD file.
I'm new so sorry if this has been posted in a previous blog.

Noam said...

Dear Dr.

Will you post a new relative volume norms for the ES market after the summer period (after August)?

I guess that these numbers are smaller than the numbers during the regular periods...