Wednesday, December 09, 2009

Tracking Cumulative Delta

If you click on the Market Delta chart of ES futures above, you can see at the bottom (red arrow at right) four columns of helpful data. The top number in each 5-minute column is the "buying volume" for that period (volume of contracts transacted at the market offer); the second number from the top is the "selling volume" (volume transacted at the market bid); the second number from the bottom is the "total volume" for that period; and the bottom number is the Cumulative Delta for the day's trading session. That last number is a useful trend measure, as I indicated in my prior post. Tracking total volume is a good way of gauging how the day's volume is shaping up relative to recent volume norms.