Friday, September 18, 2009

Morning Briefing for September 18th: Accepting Value Lower

Here is a chart of the ES futures, now with each bar representing 60,000 contracts to give a wider-angle view of the morning trade. Notice how we are building volume lower and beneath VWAP, as the market is having trouble sustaining prices above VWAP. Those failed bounces above VWAP where buying has shut off have made nice short-term fade trades.

If the data inside the bar and at the histograms look odd, it's because only trades of 250 contracts and larger are recorded. That way, I see where large transactions are occurring within the bar and over time. While not all large trades and traders are moving blocks of 250 contracts at a time, we can see that a reasonable percentage of the 60,000 contracts per bar consist of the volume from those large trades.