Relative Volume Update: How Much Volume and Movement Can We Expect During the Day?

How much volume--and how much movement--can we expect in the S&P 500 Index during each segment of the market day? Relative volume tells us how the current volume compares with recent norms. Below we see each half hour in the ES futures, the median number of contracts transacted during that half-hour period over the prior 30 trading sessions, and the median high/low price range for that period.

Note how volume and volatility correlate highly. Over the last 30 sessions, the correlation between half hour volume and half hour high/low ranges has been a significant .81.

Seeing whether we are doing more or less business compared with normal can tell us how much movement to expect: very helpful in gauging price targets and stop loss levels. See the links below for more detail.

Time (CT)	Volume	Range (%)
8:30	244,194	0.64
9:00	200,849	0.48
9:30	148,298	0.45
10:00	125,114	0.34
10:30	88,967	0.27
11:00	71,072	0.29
11:30	69,160	0.29
12:00	63,483	0.24
12:30	63,198	0.28
13:00	73,900	0.28
13:30	83,595	0.3
14:00	91,348	0.29
14:30	203,454	0.37
15:00	90,451	0.17

More:

Who Is In The Market? Understanding Volume and Volatility

Important Post on Tracking the Market's Largest Traders

Relative Volume and Price Movement

.