sudden drop in average trade size on emini S&P 10/5?

Discussion in 'Index Futures' started by dcriese, Oct 6, 2009.

  1. dcriese


    Starting yesterday there has been a dramatic drop in the average trade lot size on the emini S&P. one of the things I track is trades >= 500 lots. there were almost none yesterday, which extremely unusual (unknown in my trading experience.)
    market delta chart of normal day:

    chart of 10/5:

    today is the same. Does anyone know why this might be, other than some big players sitting it out? has there been a change in CME reporting of trades?
  2. If you take a look at the Delta Volume Distribution in the rally off the 1012.00 pivot, you should notice there is very minimal LONG participation. The BUYERS for this rally have mostly been resting SHORT inventory BUYING to cover from equities buy program activity driving futures trade higher.
  3. Because it is a major Jewish holiday.
  4. Volume left in april
  5. Yom Kippur was a week ago
  6. Wow. Thanks for the news flash.
    But FYI, we are now in the middle of Sukkot.

  7. Which is not stopping jewish traders from working
  8. Its not 1995, holidays dont mean anything anymore
  9. Yes and this information you provide is based on the huge market sample you took.
    In any event, it is not stopping some from working.

  10. Thank you for sharing your ignorance.
    95 CE, 1095 CE, 1995 CE, 2095 CE.
    These are not "holidays", as you refer to them. They are religious observances.
    There is a huge difference.
    #10     Oct 6, 2009