* Assessing Institutional Participation - Most analyses of NYSE TICK focus on direction, as a way of gauging buying vs. selling pressure. Because it takes institutional/large trader activity to move the TICK significantly (i.e., to trigger the simultaneous upticking vs. downticking of NYSE issues), the volatility of TICK itself is a nice way to assess institutional participation during the day. Above we see a moving one-day average of one-minute ranges in NYSE TICK (pink) plotted against the ES futures (blue). In general, we tend to see more TICK volatility near intermediate-term market bottoms and less volatility near price peaks. Note the huge tailoff in TICK volatility in the last session, as institutional activity was quite sparse during the holiday session.
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