Sunday, December 06, 2009

Relative Volume Update: How Much Volume and Movement Can We Expect During the Day?

How much volume--and how much movement--can we expect in the S&P 500 Index during each segment of the market day? Relative volume tells us how the current volume compares with recent norms. Below we see each half hour in the ES futures, the median number of contracts transacted during that half-hour period over the prior 30 trading sessions, and the median high/low price range for that period.

Note how volume and volatility correlate highly. Over the last 30 sessions, the correlation between half hour volume and half hour high/low ranges has been a significant .81.

Seeing whether we are doing more or less business compared with normal can tell us how much movement to expect: very helpful in gauging price targets and stop loss levels. See the links below for more detail.

Time (CT) Volume Range (%)



8:30 244,194 0.64
9:00 200,849 0.48
9:30 148,298 0.45
10:00 125,114 0.34
10:30 88,967 0.27
11:00 71,072 0.29
11:30 69,160 0.29
12:00 63,483 0.24
12:30 63,198 0.28
13:00 73,900 0.28
13:30 83,595 0.3
14:00 91,348 0.29
14:30 203,454 0.37
15:00 90,451 0.17

.

4 comments:

Matt Fahmie said...

Thank you, you just made my life a little
bit easier.

Tariq said...

Thanks for putting things in perspective and cutting down market noise.

fiki said...

What a coincidence. Just sat in front of my computer meaning to do this very study... Thanks. :)

James W said...

Hello, I was wondering if it would make sense to follow the NYSE / S&P 500 Equity Volume? I am assuming they would correlate to the E-Mini Volume... In any case, keep up the good work!