uvol dvol went from 5/1 to 8/5, think they need to tag that 90 91 cash to get rally going (find buyers) for end of month
Do you weigh ETH trading equally with RTH (U.S. stock market trading hours 9:30-4:00)? I don't. In fact, I just like to be aware of where we traded during ETH, but I don't pay much attention to it beyond that. Maybe that's a mistake? Interested in everyone else reading's opinion on this as well.
Before 1000 CT I am focused on RTH events but after 1030 CT I consider 24hr VWAP Touched. I use this because I believe the European derivatives desks and Frankfurt equities are still open until 1200 CT to 1300 CT. But I am open to alternative views on RTH versus 24hr VWAP in terms of which is the stronger liquidity magnet. They are still pressing NQ to get ES to VWAP...
Like ammo alludes to, the liquidity is obviously superior during RTH and since we're trading a derivative of the S&P 500, I personally think it makes sense to weight RTH much more. I simply don't consider ES a 'true' 24 hour market, even though it trades around the clock. That said, I have noticed that the H/L and midpoint of globex can be interesting to plot when RTH starts.