ES Mini Nearby Avg Volumes

Discussion in 'Index Futures' started by regough, Feb 28, 2003.

  1. regough


    Any of you guys happen to track Avg contracts traded by time of day just as a gauge to activity.

    I was wondering what the volumes might be at 10.30, 11.30, 2.30, and close. Could be any average, 20 day, 50 day, 90 day, etc.

    TIA, Bob.
  2. prox


    I think it's around 500-600k daily

    and then given the first third of the day is 40% of the volume, the last third is 40%, and the middle is 20% .. that should be somewhat close.

    NQ is about 200k daily.