Thank you Kedwards. Certainly the indicator can throw an occasional false signal. The most common is a signal for a reversal when it is a continuation but that is rare and has its own characteristics. The "threshold of significance" represented by the horizontal blue line keeps most of the trouble away. cheers
Today's trade/volume (08/31) was less than 70% of normal and the range was less than half of normal. In spite of that there was obvious intense commercial activity on the session extremes as well as at least 2 other points during the session. The session low was made shortly after the open and the high was made on the close. The total range of the day session was only 8.25 points. In spite of that very limited range this indicator demonstrated 3 opportunities, each good for 3 - 5 points, that total more than the total range for the entire session. The session low was established shortly after the open at 0652 and was foretold by a buy spike at 0630: Later at 1155 came a sell spike that propelled price down to near session lows: At 1225 there was a buy spike that propelled prices to the session high on the close:
Hey Urma, If you would be so kind, I wanted to ask you a question on the tape today: Did you see abnormal activity at 10:07-10:08am Eastern Standard Time? I didn't get to watch the tape live today (in class), and of course in hindsight everything looks much clearer, but it seems there was 'unusual' activity at this time. If you look at the period 10:07:54-10:08:02, there was successive buying right at the highs of the day. I'm looking at 'snapshot' data from Interactive Brokers, and I've heard it's not the best for volume analysis because of this fact, but nonetheless the activity, in anywhere from 30-200 lot size, in those moments seemed peculiar. What has me really stumped is that it was buying, not selling. Who the f was buying in size at the highs? Edit: Then again, 'size' is relative to the time period I suppose. Anyhow, any insight would be appreciated.
Kedwards, Thank you for your query. On our charts the intensity spikes that formed the high of the day actually occurred some 5-6 minutes before the times you mentioned as shown in the first chart below. Times Shown are PST. One of the dynamics of trade in ES is that it is used as the same vehicle for different purposes. Traders around the world speculate in ES, plus, hedgers and arbitrageurs around the world use ES to hedge portfolios and to do premium arbitrage. I would suspect that the 30 trades of 200 lots were either long baskets or the reversal of long baskets. In a "basket" trade the arbitrageur will buy stocks that represent an ES contract and then sell that contract short against the stocks. The object is to capture the premium in the future and any dividends in the stocks at expiration or before without market risk. In the days before there were index options and futres one very common method to capture option premiums was called a conversion where the arb guy would go long the stock, short the call and long the put to capture the difference in premium between the put and the call (in those days call premiums were much fatter than put premiums) and any dividend in the stock. In this first chart you will see the spikes in commercial speculative trade mentioned above. Today's trade was truely remarkable and posted the biggest net short by commercial traders we have ever seen. We track daily net longs and shorts by commercials and today's trade showed a net short of 188,604 contracts. The closest we can find to that was a net short of 153,682 contracts which occurred on 2/10 this year amid all that frenzied selling right before the low in March of this year. This selling was obvious throughout the session as evidenced by the chart and screenshot of the HUD as shown below. First the commercial sell spikes that occurred some 5-6 minutes before the time you mentioned: This chart shows today's remarkable commercial selling; And here is a shot of our HUD which shows the selling which continued throughout the day:
Today's (09/02) trade in ES was very slow indeed - Considerably less than average volume and less than half of the normal range. In spite of that these spikes still pointed to the 2 best trades of the day. The first occurred on the session low at 0731+ PST and the second a sell near session highs at 1219 PST. Both are shown below:
Today's trade was completely confined by Nite Session Support and Nite Session Resistance. A complete report is here. And here is a shot of today's low - prefectly foretold by commercial intensity
Of course. Posted below are 4 charts from today's (09/08) trade in the 10 Year Treasury Notes as well as an older chart of Beans. BTW - I don't understand how or why you consider the most liquid, most widely traded and most leveraged futures contracts on the planet "passe." These first four are from Today's Notes, Times are PST.
"Perfectly foretold..." So, why are you wasting time here instead of sipping Mai Tais on your own private south pacific island?