DAX action: 10-10:15 CET window

Discussion in 'Index Futures' started by fader, Aug 26, 2005.

  1. fader


    i have noticed for a long time that there is often an attempt to break the opening range on the DAX around the 10-10:15am CET window and/or an increase in activity/volume in general - i have heard/read that in the U.S. market, the window after 10am is watched for the institutional money flows to come in - i have been assuming that there are similar reasons for this action on the DAX (and i presume the same is true for CAC/FTSE, i don't watch them but i know they are highly correlated with the DAX) - but i have never seen any specific information on this subject - are there any particular reasons for an increased institutional activity around 10am CET/9am London time? (other than news etc. of course) - i was wondering if anyone has any particular info related to this subject, thanks in advance.

    [it is quite a dull morning here today, so i am trying to see if i can learn something productive at least :)]
  2. muppet


    I'd also be interested in views on this.

    But are you sure that there is in fact an increase in activity at this time?

    The attached chart shows time (GMT+1) on the x axis and frequncy of dax price change ( a proxy for activity) on the y axis.

    From 21 Jul till now, looks like activty dries up from the open.
  3. fader


    hi Muppet - good comments - one thing i'd want look at a bit more to gauge activity is volume not just price - i am saying that there are attempts to breakout etc, it doesn't necessarily mean they succeed so the price may not change much in the end or it may even go the other way... - also, you are looking at just one month woth of data which is dead in the middle of the slower summer trading season... - although it seems this summer has been a bit busier than usual... - i think if you look at the volume buildup from the open, you will find it increasing into the 10-11am CET time frame, then slowing and perhaps a small pickup around 12CET - but i still think there is a particularly consistent and rather strong pickup around 9-9:15CET or perhaps 9-9:30.
  4. muppet



    I ran an analysis for 3 months, from 21 May looking at traded volumes.

    And yes you are right; there is a spike around 9 CET.

    So now we've verified the data, let's hear some suggestions explaining this.

    I don't think it can be directly and totally expalined by economic releases at this time.

    Is it, as you suggest, strategies kicking in?
  5. fader


    ok decided to look at the numbers rather than continue to fret about this - the attached chart shows the volume breakdown for each 15min bar for the European morning session (i arbitrarily defined it from the open to the 1300 CET) - interesting results - pretty much steady down from the open - you can see just a relatively tiny pickup on that 10-10:15 block that i was talking about - i guess i would have expected a bit less volume from 9:15 to 10:00 - just shows that the real data may not be quite what you think - by the way also can see a slightly better pop in volume in the 11-11:15 block.
  6. muppet


    I mean 11 CET. Can't do this timezone thingy.
  7. fader


    interesting numbers here - i showed a pickup in volume around 11 too - for the 10am pickup, i guess an obvious guess would be a first hour breakout mechanical strategy - but i was more wondering about any possible non-market related reasons for the funds to trade around a particular time in the morning, like fund redeption notice deadlines or even perhaps companies typically doing press/earnings realses at a particular time, for example.

  8. muppet


    I've gone back and looked again at the data to try to work out if the spikes at 10 CET and 11CET can be plained by economic data alone.

    And the answer is they can't. Not according to my calendar anyway.

    So the questions remain.

    Anyone else got any input?
  9. hello ...

    do you know of any DAX stats that are

    available to be viewed by the public

    that give the intraday breadth or even uptick vs
    downtick at any minute in time that the exchange is
    open during european trading hours ?
  10. muppet


    #10     Sep 1, 2005