Wednesday, February 03, 2010

Relative Volume Update: Tracking Market Activity

As readers know, I use relative volume to estimate likely movement during the market day. Identifying shifts in relative volume can also be useful in gauging breakout moves in stocks.

Here are median values of ES volume for each 15-minute period during the trading day (last 12 full trading days). The fifteen minute periods begin with the times noted below, Central Time:

8:30 - 129,016
8:45 - 105,750
9:00 - 128,045
9:15 - 106,730
9:30 - 85,685
9:45 - 79,409
10:00 - 78,328
10:15 - 69,616
10:30 - 53,424
10:45 - 51,084
11:00 - 42,182
11:15 - 55,059
11:30 - 37,002
11:45 - 45,867
12:00 - 35,095
12:15 - 44,212
12:30 - 38,450
12:45 - 35,848
13:00 - 39,102
13:15 - 45,173
13:30 - 49,051
13:45 - 53,474
14:00 - 67,905
14:15 - 74,898
14:30 - 82,093
14:45 - 125,550
15:00 - 122,409

I notice Market Tells is tracking relative volume across multiple instruments; that's a great resource.

More:
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