Friday, October 16, 2009

Another Perspective on Tracking Large Traders in ES Futures

In the wake of my recent post, here's another quick look at tracking large traders. I took 2 adjacent low volume and higher volume periods in today's ES trade and looked at how much of that volume was in transactions of 20 lots and greater.

14:00 CT - Total volume 4968; Large volume 2065
14:05 CT - Total volume 9042; Large volume 3599
14:10 CT - Total volume 26,964; Large volume 13,232
14:15 CT - Total volume 23,810; Large volume 11,506

What we see is that about 40%-50% of volume is transacted in reasonably large sizes. In future posts, I'll be looking to see if the behavior of these larger transactions differ in meaningful ways from the smaller ones.