Yes, it is, especially as it is a dynamic expression of the forces of demand and supply, or, if one prefers, buyers and sellers. One can do without it, of course, and trade based on price alone, but why?
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Short answer: "Absolutely." As noted above, the (ES) futures mkt is largely a resource for hedging activity -- and in that way, plays out the hedgers' read of the market en mas. The volume transacted is helpful (and recorded! So it's in historical data.), but the volume on-the-bubble is also helpful: take your DOM ladder and sum the contracts showing on the bid as against the ask: whichever side is higher gives you the real-time guess of the hedgers as to which side they think the market is turning. (There's your counter-intuitive market tell for the day.)
I've found volume analysis to be perhaps the single-biggest indicator of short-term price direction I;ve encountered in forty+ years, and despite all the structural market changes (HFT, etc.) it has always held up. When I was a sprout, I had a crap job in lower Manhattan, I'd take the 4/5/6 for like 2 hours to get there (Jesus, I was pumping gas all night long in the Bronx, then 2 hour subway to my day job -- the stuff you can do when you're a sprout!) and I would buy a WSJ on my way to the subway stop to read on the ride. There was always a chart of the Dow along with the bars of volume at the bottom, and I began to see patterns in those bars that were great for short-term timing. Over the years, I refined it quite a bit, and as I have said, despite structural market changes, those volume bars have held up. I use them on 5 minute charts a lot now too -- it;s NO DIFFERENT than tape reading in the old days or the noise (ar absence of) of the pits or floor - no different. A few notes though. It works on any time frame, from minutes to years. If using futures. you have to look at total volume, not contract volume. Also, often, related markets give better indications that the actual market you are looking to trade. In other words if you are trading ES futures, you might want to look at what's going on in the volume SPY ETF. Also, you;re better if you can be looking at the volume of a "purer" market. So, say, for inverse vol, you might be trading SVXY but you probaly will get better volume bar signals from XIV, the latter not having options and the volume not as polluted by conversions/reversals/boxes there. I have some notes on the subject I'll see if I can upload the here. Just bear in mind, it;s just notes, a work-in-progress, as it were. I suppose there's a lot more I could add to it when I sit down and do that some day, but here's a start, a trailhead on the idea anyhow.
I went back to Wednesday's ES trading (Thurs/Fri more typical lighter holiday action being less reliable) and so after excluding the heaviest volume during first and last 30 minutes of RTH trading there was 4 swing lows to examine. The first one a LL was confirmed by strong downside volume. The next 3 were lackadaisical signaling likely no follow through. Then again the pivot highs had blah volume too. Therefore it stayed for the most part range bound the rest of day. But there are any number of ways to use volume besides this. To me if I was only "allowed" one data point to trade with obviously it would be price. If two then price and volume. And three would be price, volume and momentum. IMO they are the 3 horsemen. All that is needed.
Volume can useful. However, observing it and correlating it to PA can sometimes interfere with decision making as it becomes another factor one has to take into account before making a decision. Price can only go up or down or stay the same. That is called the DIRECTION of price. Price cannot go sideways. Only up or down or stay the same. It can of course form a sideways range as it moves up or down. But, price itself goes UP or Down or stays the same through the medium of time. When it moves it does because a transaction takes place. That transaction can happen on low volume or high volume or volume level in between those extremes. So, when price moves it can be important to know "how" that move transacted. Volume is activity. And activity is $$$. Institutions are "big" money so "big" activity so big $$$ are going into the market. Generally, you want to follow what they are doing. However, they do not always do their buying and selling in big chunks. Hence you have to correlate price with volume and make a determined guess. If price is going up, even on low volume, then bullish institutions have the upper hand over bearish institutions. At ANY moment in the markets there are bullish and bearish institutions. That includes all the algos..HTF's..etc and more traditional type institutions. Some times the pressures are about even and at other times one side has the upper hand. That is the side a trader wants to be on. Therefore, while it is important to observe PA it is also important to observe "how" that price action took place. Study my previous post on the explanation of increasing vol on a doji. Look at the ES on 12-15-2017 RTH 5 min chart below. The chart is without volume. This type of PA is what is called a small PB bull trend. While it seems like a slow grind up it is actually one of the strongest type trends. Look at the GAP up open. Over 10 points. Now the task at hand is to determine if this trend up will continue or reverse. What kind of day will we have? It becomes useful to see that gap up as ONE big bull bar. That means that overnight the market trended up. Now what happens after that big BULL bar up (i.e. the gap) is of prime importance. If you see that gap up as ONE big bull bar you can readily see that it closed rather high up on the imaginary bar. Otherwise, you will think it close low on the first bar. See what I mean? So, we have a big bull bar closing on its high on the opening bar. Is that bullish? Could be but maybe not. It depends on what happens next over the next few bars. Tentatively it IS bullish. But the bears will try to reverse it. That first big imaginary bull bar is in effect a BO of the previous days close. Most BO's fail. So you gotta wait to see if this one will succeed or fail before taking a position. The next bar is a doji but with a bull body. Then we get a bear bar..small but notice tail on bottom. Bears are trying to reverse the BO but not having much success as the tail on the bottom shows buyers still buying. The fourth bar is a rather good looking bull bar. The fifth and sixth bars are both bear bars. This is the second attempt of the bears to make the BO fail. Bears trying hard to push price down. They want that opening gap to fill. The 7th bar is a bull bar the 8th a bull doji. Notice the context. A big bull BO then a tight sideways range as both the bears and bulls are fighting it out. Bulls want the trend up to resume and the bears want it to fail. So where is the most pressure? It is quite obvious at least to me. Big bull bar (imaginary ROFLMAO) on the open closing high. 2 bear attempts to make the BO fail but the best they can do is get a little sideways range. Finally we get a third bear attempt on the 9th bar. They can't even push price back down to the bottom of the tight sideways range. I am ready to pull the trigger. Are you? If I see a BO of this tight range by 2 or 3 ticks I am long before you can say hogwash. On the 10th bar we see another strong bull bar. That was my long entry bar early as the bar was forming it's BO above the small range. The fact that it (10th bar ) closes high and is a big range bar is important. To me that means i should probally hold on thru any PB as the odds heavily favor a bull trend all day and it will most likely be a small pb bull trend that will stay above a 20 ema. So on pb's I add and just keep building the position. Initial entry stop is below that big bull bar (2 ticks below) i.e. Bar 10. I just keep adding as market grinds up and raise stop to two or 3 ticks below the last swing low. Especially, if i see it stays above the 20 ema. It never broke below the ema until around 2 p.m. I would exit 3 bars later on those three bull bars after 2 p.m. Figuring we might see a little drop before the close. Why this chart when this thread is about using the volume in an index. Well my next post will explain as i will post the same chart with the volume showing. But first gotta do a little Christmas shopping. Will post same chart with vol and comments a little later.