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ES volume

Volume Delta

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#1 Venatici

Venatici

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Posted 27 February 2018 - 04:07 PM

Unless my data feed is not good, it was a weird volume session on the ES. Until some 30 seconds to cash close, when the ES was already down some 33 points the delta was actually positive by some 2000 contracts.

Total volume was not bad though, around 1.41m

Would post picture, but have no cloud link to upload.


Edited by Venatici, 27 February 2018 - 04:09 PM.


#2 Venatici

Venatici

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Posted 27 February 2018 - 04:19 PM

Unless my data feed is not good, it was a weird volume session on the ES. Until some 30 seconds to cash close, when the ES was already down some 33 points the delta was actually positive by some 2000 contracts.

Total volume was not bad though, around 1.41m

Would post picture, but have no cloud link to upload.

 

I only retain 1 month of intraday delta volume, but I would really appreciate if anyone has a bigger universe of data and has run some stats on this. Can u share?

The way it looks now, is that there was no real commitment from long term traders. This was just day traders selling?

Many thanks.