Wednesday, October 14, 2009

Watching Large Traders on a Breakout Move


Here is a Market Delta footprint chart filtering out trades of 50 contracts or more in the ES futures (click for detail). As you can see from the blue arrows, large trades executed at the offer price were a nice indication of an upside breakout move in the making. Unable for selling to take us below the day's VWAP, we made a run for the overnight highs and took them out.
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