Interesting discussion for sure. BUT, the main part of this discussion seems to have missed most people posting. In the opening post, I clearly said: Assuming volume analysis is useful - would it be any different in index futures than say single stocks or commodities? To repeat myself. The reason I'm asking is that I'm curious if volume transacted can be reliable for any type of analysis when it's a market that's traded in so many other markets as well. If someone sells a large amount of contract in the futures market, might that not be countered with a large 'buy' in the cash market as program trading? And vice versa? Or are all these markets so perfectly correlated that the volume in ES can be used as a accurate proxy for what's happening in all these markets? I hope my question is making sense.
Only have a second, so I'll be brief in saying that, yes, arbitrage taking place throughout the day will be printed on the charts. However, such is a one shot occurrence that will not have an effect on what the trader is most concerned, being the trend. Will try to answer about index futures vs stocks later.
It does. It’s dependent on liquidity. The cash leads the futures from the dynamic you describe. Future’s being used as a hedge for the cash. The YM leads the ES (at time of change.) The above assertion is unconventional and most likely met with disbelief to the point of ridicule. It’s difficult to discern unless one calibrate’s their display of market information. This would include (but not limited to) multi-timeframes, DOM, T&S, and OTR charts. All swept from coarse to finer detail of observation as volume and PA dictate. So what about spreads? Ever notice on the DOM as price is coming up to a wall and either reverses, eats through it or blows right past as if it wasn’t even there? One wall exists in the perceptual frame one is observing, the other operate under different contexts. Both equally valid and paradoxically both representive of participants getting their needs met. Some see it, some don’t, some will, some won’t. A trade is always setting up, to each their own - it’s what makes a market.
Of course, volume is useful/valuable in any traded item. But it must be kept in mind that volume in each is conditional, and may or may not have an effect on the trend. That which is of no consequence to price movement can be ignored. As to volume in index futures being an indication of movements in other markets, that can be yes or no, or the opposite, such as an increase in the value of the yen can spark a movement in the Nikkei futures, or then again the Nikkei futures may ignore the yen's movement. Volume in stocks may be generated by manipulation, cross trades etc. etc. In short, I question the value of trying to interpret the effects, or indications, on one market based on the volume or price movement of another. I think you would wind up chasing your tail in doing so. The proper reading of the market in question is really all you need to focus on. On the other hand, markets do not change direction on a dime. So in some cases you can use the indications of related markets in your analysis of the market you are trading. And, the volume in each will have its value in your analysis. Sorry if this doesn't answer your question, but my concentration on typing has worn out.
Not sure it's wise to blindly assume anything in this game. If the proponents of volume find it difficult to express themselves adequately,...what chance does anybody else have?
Well maybe some of us do find it difficult to be convincing even regarding something we know from years or decades of experience to be true and of value. Come to think of it, I'm a proponent of sex, but would find it hard to explain to a virgin!!
Not much ... which is probably why it's still regularly being discussed with such a wide range of views being expressed (some of them apparently fairly entrenched ones). In my opinion, there's quite a wide variety of reasons why its proponents, collectively, find it difficult to express ourselves, but those don't answer your perhaps semi-rhetorical question, itself doubtless based on an entirely valid observation.
It isn't so much that we find it difficult to express ourselves as the efforts invariably are heavily trolled and eventually wind up as arguments, and who has the time or the motivation to divert their attention away from their trading in order to carry on pointless and endless mudslinging. I've provided a link to what I consider excellent explanations of at least some aspects of volume, but I can't force anyone to read them. They do however exist for those who are interested enough and curious enough to invest the time.