Info!! Relative Book Update: How Much Book As Well As Drive Tin Nosotros Await During The Day?

How much volume--and how much movement--can nosotros hold off inwards the S&P 500 Index during each segment of the marketplace day? Relative volume tells us how the electrical current book compares alongside recent norms. Below nosotros meet each one-half hr inwards the ES futures, the median publish of contracts transacted during that half-hour catamenia over the prior xxx trading sessions, in addition to the median high/low cost arrive at for that period.

Note how book in addition to volatility correlate highly. Over the concluding xxx sessions, the correlation betwixt one-half hr book in addition to one-half hr high/low ranges has been a meaning .81.

Seeing whether nosotros are doing closed to concern compared alongside normal tin state us how much campaign to expect: really helpful inwards gauging cost targets in addition to destination loss levels. See the links below for to a greater extent than 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 in addition to Volatility

Important Post on Tracking the Market's Largest Traders

Relative Volume in addition to Price Movement

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Info!! Relative Book Update: How Much Participation Tin Nosotros Hold Off During The Day?

Relative volume is a concept that assesses electrical current book equally a component of the normal, expectable book for that item fourth dimension of day. This is important, because relative book tells us something of import virtually volatility too who is participating inwards marketplace moves.

Here are the median volumes for Jan to the acquaint for the ES contract on a half-hourly dry soil (Central time; the fourth dimension given is the starting fourth dimension for the half-hourly period). Standard deviations to assistance you lot estimate shifts inwards relative book are inwards parentheses. I likewise yell relative book inwards my intraday Twitter comments:

8:30 - 249,628 (60,916)
9:00 - 210,109 (49,641)
9:30 - 176,713 (47,441)
10:00 - 150,998 (58,135)
10:30 - 124,357 (52,555)
11:00 - 112,447 (38,514)
11:30 - 111,184 (32,758)
12:00 - 113,583 (34,148)
12:30 - 122,089 (43,015)
13:00 - 144,050 (64,873)
13:30 - 153,997 (62,491)
14:00 - 188,381 (55,594)
14:30 - 260,692 (84,687)
15:00 - 111,856 (30,520)

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Info!! Trading Notes For The Calendar Week Of March 21, 2016

Friday, March 25th

*  Perhaps the most mutual psychological challenge I listen from traders is how to maintain a positive mindset during periods of drawdown.  It's rattling hard to lose coin for a stretch of fourth dimension when you're pouring your pump together with best efforts into markets.  But at that spot is no surer agency of missing opportunities than becoming self-focused together with negatively focused.  This recent article focuses on how nosotros tin sustain well-being together with a positive mindset fifty-fifty when everything seems to hold out going wrong.

*  Stocks bounced from their short-term oversold province of affairs noted yesterday amongst the swing overbought/oversold measure. I am watching breadth closely here, every bit it would non surprise me to run across a to a greater extent than selective stage of the marketplace wheel going forward.  The relative functioning of little caps is of item interest. 

*  I'm seeing increasing utter of straight monetary stimulus to economies.  I suspect this volition hold out actively considered if nosotros larn a renewed deterioration of fiscal weather together with concerns re: deflation.  The implications for asset prices (weak currencies, rigid commodities) would hold out significant.

*  I've been putting considerable function into a gear upward of swing measures that rail overbought/oversold weather together with volatility.  These are based on trial time, where each bar represents an amount of book or toll drive inwards the market, non a unit of measurement of chronological time.  The OBOS mensurate captures momentum together with value effects on a swing basis:  swing returns inwards ES convey been best when we're significantly overbought (+.54%) together with significantly oversold (+.49%).  Returns convey been subnormal betwixt these extremes (-.05%).  Although I bespeak to maintain the specifics of the mensurate proprietary together with express to the managers I function with, I'll happily update periodically on this blog.  Swing returns from electrical flow levels of OBOS together with vol convey non been significantly positive or negative.

*  Here is a swing volatility mensurate that looks at the volatility of the trial bars.  Note how we're close levels that convey lately corresponded to marketplace peaks.  This is yet roughly other argue I'm watching breadth closely.

Thursday, March 24th

*  Thanks to Aaron Fifield for interviewing me for the Chat With Traders podcast.  We demeanour on a set out of topics relevant to factors that brand for trading success.  He's assembled an first-class lineup of interviews worth checking out.

*  We've seen a recent pullback inwards stocks together with oil; yesterday's closed saw an expanded set out of stocks making novel lows amidst relative weakness amid little caps.  I volition hold out tracking breadth closely here, every bit nosotros mightiness hold out seeing a to a greater extent than selective stage of the recent marketplace strength.  Below is a nautical chart of stocks across all exchanges making fresh 3-month highs vs. lows:

*  I've been exploring a swing overbought/oversold mensurate based on trial bars.  As you lot tin see, we've lately entered oversold territory.  As long every bit these swing lows are occurring at successive toll highs, I'm willing to give the produce goodness of the doubtfulness to the bulls.  The nautical chart tracks the mensurate through the recent motion higher.

Wednesday, March 23rd

*  We saw an early on selloff due to the Brussels news, precisely this was bought relatively early on inwards the NY session.  It's a skillful trial of how, inwards a momentum environment, participants desire to larn long fifty-fifty on relatively little dips.  That beingness said, my breadth volatility measures (volatility of daily breadth numbers) has been coming downwardly together with that has led to subnormal returns over the near-term horizon.

*  Interestingly, we're hovering close our highs, precisely yesterday saw alone nigh 40% of SPX stocks trading inwards a higher house their 3-day moving averages.  During these momentum periods, corrections tend to hold out rotational together with we're seeing roughly of that.  Housing, financials, consumer staples, utilities--all convey been off their highs recently.  Technology has been stronger.

*  My wheel mensurate continues inwards elevated territory, in 1 trial to a greater extent than dissimilar much of what nosotros saw inwards 2015, where push clit led to weakness.  That continued elevation on a shorter-term wheel mensurate suggests that a longer-term wheel is at play together with that this has been to a greater extent than than a bounce inwards a demeanour market.

Tuesday, March 22nd

*  We're seeing roughly consolidation overnight next a little upward twenty-four hr catamenia yesterday.  While SPX closed higher, nosotros returned to underperformance of little caps together with the set out of stocks across all exchanges making novel monthly highs dropped from 1660 to 886.  New monthly lows likewise dropped, however, every bit we're soundless non seeing distinctive weakness inwards whatsoever sector.  Volume together with volatility dropped; VIX is forthwith below 14.  More on volatility below.

*  Below is a short-term mensurate of the set out of SPX stocks making fresh 5, 20, together with 100-day highs versus lows.  Notice how nosotros convey stayed elevated for a set out of consecutive days together with how this is different from what nosotros saw through much of 2015.  Whereas "overbought" readings were opportunities to sell concluding year, then far inwards this rising we're seeing momentum together with push clit leading to farther strength--one of the signature characteristics of a fresh marketplace cycle.

*  Despite the market's push clit together with momentum, the rally has non had a lot of fans.  I honour on the Stock Twits site, for example, that messages regarding SPY are 40% bullish, 60% bearish.  That ratio hasn't changed much during the concluding 2 weeks of gains.  I likewise honour that shares outstanding for the SPY ETF convey in 1 trial once to a greater extent than dipped, forthwith dropping below their levels from 5, 10, together with 20 days ago.  Very interestingly, the set out of shares outstanding for SPY has dropped over the course of pedagogy of the rally from mid-February.  Share redemption has to a greater extent than oftentimes than non been associated amongst superior returns over a multi-week horizon.

*  As mentioned above, volatility has dropped over the course of pedagogy of this marketplace rally.  Equally notably, my pure volatility mensurate (volatility per unit of measurement of trading book for the ES futures) has dropped significantly (see below) together with is getting to levels that convey been seen at recent marketplace highs.  I am rattling opened upward to the possibility that we're going into a different stage of the marketplace wheel where we'll run across lower volume, less drive per unit of measurement of volume, together with to a greater extent than of a grinding trade.  For traders accustomed to the drive that nosotros saw for the starting fourth dimension duet of months of this year, that transition to a depression vol authorities tin hold out challenging, requiring a fresh approach to setting targets, stops, together with asset periods.

Monday, March 21st

*  So often, inwards our trading goals, it's gear upward together with forget.  We gear upward goals, precisely oftentimes neglect to follow through.  This article draws upon recent research to position how tin nosotros transcend away to a greater extent than productive--better at pursuing together with reaching the goals that nosotros define.

*  Stocks closed higher overall on Friday, together with we're forthwith seeing over 90% of SPX shares trading inwards a higher house their 20- together with 50-day moving averages.  That is odd push clit off the Feb lows.  My mensurate of upticks versus downticks amid NYSE stocks (NYSE TICK) showed corporation push clit on Fed twenty-four hr catamenia and, every bit the nautical chart below shows, has been inwards an uptrend on a cumulative basis, eclipsing its previous high.  I believe we're pricing inwards a to a greater extent than favorable surroundings for equities, given QE overseas together with a moderating Fed.

*  Yet roughly other agency of tracking the push clit together with weakness of shares is to await at each stock on the NYSE together with run across if it has closed inwards a higher house or below its Bollinger Bands.  (Raw information from Stock Charts).  As the nautical chart below shows, nosotros convey reversed the blueprint of internet weakness from 2015 together with early on 2016 together with convey been persistently inwards a higher house the naught line of piece of job inwards recent days.  Bottom line, I'm non seeing the sort of deterioration that would ordinarily precede a major marketplace reversal.

*  H5N1 spell dorsum I mentioned the shares outstanding inwards the SPY ETF every bit a useful thought approximate together with noted that it had been flashing bearish sentiment, fifty-fifty afterwards the liftoff from the Feb lows.  Sure enough, history repeated together with nosotros continued higher.  Now we're seeing an expansion inwards shares outstanding (net bullish sentiment).  In the by that has led to subnormal returns for SPY.
   

Info!! Tracking Existent Fourth Dimension Marketplace Reckon Through Purchase In Addition To Sell Programs

In past posts I've mentioned that I rail a handbasket of institutional favorite stocks too monitor upticking too downticking across the grouping every infinitesimal of the trading day.  The logic is that when large marketplace position participants desire to purchase or sell with urgency, they volition elevator offers or hitting bids across a hit of liquid stocks.  This simultaneous upticking or downticking across a hit of shares--the execution of purchase programs too sell programs--leaves a footprint that provides a really useful catch of instantaneous marketplace position sentiment.

The top nautical chart tracks sell programs on a rolling one-day Blue Planet from October, 2014 to the present.  Note the expansion of sell programs at relative marketplace position lows too the diminished degree of sell programs at relative marketplace position highs.  That is pretty much what nosotros would await to see.

When nosotros become to the 2d chart, tracking purchase programs, nosotros run across the same pattern, however.  At relative marketplace position lows, nosotros run across to a greater extent than buying activity.  At relative highs, buying dries up.  This is really important.  What makes marketplace position lows is that lower prices attract longer timeframe buyers--the ones who execute inwards baskets.  Volume ramps upwards at relative marketplace position lows because 1 grouping of participants is actively selling too around other grouping is actively scooping upwards the shares instantly offered on sale.  At relative marketplace position highs, zip is on sale too longer fourth dimension frame participants are non incentivized to buy.  Total mass dries up.

It is the 3rd chart, tracking the relative residuum betwixt buying too selling programs, that tells us who is winning the tug-of-war.  At marketplace position lows, sell programs diminish spell purchase programs proceed to fire.  That creates a province of affairs inwards which buying pressure level spikes early on inwards a marketplace position cycle.  (Note that this is what has happened lately inwards the wake of the ECB action).  As a marketplace position rising matures, sell programs get to transcend purchase programs too nosotros run across the residuum betwixt the ii top out ahead of price.  The recent pregnant expansion of programme buying suggests that nosotros should run across upside momentum from recent cardinal banking concern actions.

I included the fourth, bottom nautical chart to brand a split upwards point.  Notice inwards the 3rd nautical chart how nosotros had intensive selling pressure level alongside the institutional favorite shares prior to the recent marketplace position rise.  Despite that, the cumulative NYSE TICK (the amount of upticks vs. downticks across all NYSE shares) stayed potent too instantly has made novel highs.  What that way is that nosotros were seeing intense selling (downticking) alongside the liquid large cap issues, precisely non across the wide market.  It was that discrepancy that ready the recent strength.

I deeply appreciate the involvement readers convey shown inwards the move I convey shared.  These are proprietary measures (all information from e-Signal too all calculation too charting done inwards Excel), precisely I volition update periodically to remain on top of where nosotros stand upwards inwards marketplace position cycles.  I volition likewise hold upwards sharing information most the breadth too stance measures I rail inwards my upcoming book. 

Further Reading:  A Look Back on a Previous Instance of Program Buying Surge
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Info!! Indicator Update For February 23Rd

Last week's indicator update establish sector as well as indicator weakness, simply stressed that nosotros were non at an oversold grade as well as remained inwards a wide, choppy trading range. With the interruption of the 800 grade inwards the S&P 500 Index early on inwards the week, nosotros moved below that attain as well as stayed below for the week. That brought the Cumulative Demand/Supply Index (top chart) into oversold territory, though non at that -30 grade that has marked recent intermediate-term marketplace bottoms. The weakness has been broad, extending across all sectors, suggesting that the acquit marketplace remains intact every bit long every bit nosotros rest below the prior, extended trading attain mentioned above.

Another indication of the breadth of the marketplace weakness is the expansion of stocks making fresh 20-day lows across the NYSE, NASDAQ, as well as ASE (middle chart). We are seeing fewer novel lows on a 52-week dry reason than nosotros saw slow inwards 2008, as well as non all sectors convey seen fresh acquit marketplace cost lows. Similarly, field nosotros were notably weak inwards Cumulative NYSE TICK this by calendar week (bottom chart), nosotros remain higher upward the Nov lows. The same is truthful for the advance-decline lines specific to NYSE mutual stocks as well as S&P 500 issues. These divergences would popular off much to a greater extent than of import inwards my estimation should nosotros sustain a broad rally that keeps the S&P 500 marketplace higher upward its violated back upward at that 800 level.

As I emphasized the concluding distich of weeks, the peaks inwards the Cumulative Demand/Supply index convey occurred at successively lower cost highs; each rally inwards this acquit marketplace has failed to surmount the 1 previous. As long every bit that is the case, as well as specially every bit long every bit we're seeing weakening Cumulative TICK as well as expanding novel lows, it is premature to live pounding the tabular array on the long side.

I convey posted the daily as well as weekly SPY target levels to Twitter (free subscription via RSS) as well as volition update the indicators each morning time prior to the marketplace open. The market's relative volume--how electrical flow book compares to the average book for that detail fourth dimension of day--is really helpful inwards gauging marketplace volatility as well as the odds of hitting these targets. The relative book norms for this week's S&P 500 e-mini marketplace look below:

8:30 - 234,993 (62,792)
9:00 - 199,589 (48,899)
9:30 - 152,938 (48,688)
10:00 - 136,174 (65,293)
10:30 - 117,904 (59,114)
11:00 - 104,818 (40,222)
11:30 - 90,351 (33,155)
12 due north - 110,937 (37,560)
12:30 - 121,941 (46,688)
1:00 - 125,444 (58,883)
1:30 - 140,481 (61,592)
2:00 - 175,042 (50,129)
2:30 - 230,477 (84,999)
3:00 (15 instant period) - 99,318 (25,438)

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Info!! Or In Addition To Hence Other Expect At Intraday Book In Addition To Volatility

volume as well as volatility are closely intertwined: at that spot is to a greater extent than get when large traders are participating inwards markets. Understanding how electrical flow book compares alongside average book for that item fourth dimension of twenty-four hours is essential inwards gauging how much yous tin lead keep out of trades.

Tomorrow I volition update 2009 relative book norms (expectable book for each fourth dimension of day) on the weblog to aid yous read when markets are average, slow, as well as busy.
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