E-Mini Volume at Multi-Month Lows Ahead of Jobs Report
By
Rennie on Thursday, August 5th, 2010 at 3:20 pm
Volume in E-Mini S&P futures is running approximately 20% below levels at this time Wednesday, a sharp dropoff in volume on a down day for the index. When this large of a drop in volume coincides with a lower high, low and close for S&P futures, it’s normally a short-term bullish indication. Over the last 30 occurrences, the S&P posted a subsequently higher close within the next two sessions 90% of the time, significantly greater than the 67% random chance for a higher S&P close within the next two days. Also interesting to note that the S&P posted a subsequently higher close within the next week in all 30 cases, indicating low-volume selloffs rarely kick off a sustained move lower…
S&P Futures Lower High, Low & Close, ES Volume -20% from Previous Session
06/07/10… Higher S&P futures close one session later
02/10/10… Higher S&P futures close one session later
11/20/09… Higher S&P futures close one session later
09/02/09… Higher S&P futures close one session later
07/08/09… Higher S&P futures close one session later
06/17/09… Higher S&P futures close one session later
04/27/09… Higher S&P futures close two sessions later
03/30/09… Higher S&P futures close one session later
02/10/09… Higher S&P futures close one session later
10/09/08… Higher S&P futures close two sessions later
09/22/08… Higher S&P futures close four sessions later
08/01/08… Higher S&P futures close two sessions later
06/03/08… Higher S&P futures close two sessions later
05/23/08… Higher S&P futures close one session later
05/08/08… Higher S&P futures close two sessions later
05/05/08… Higher S&P futures close one session later
04/14/08… Higher S&P futures close one session later
03/28/08… Higher S&P futures close one session later
03/26/08… Higher S&P futures close four sessions later
03/10/08… Higher S&P futures close one session later
01/11/08… Higher S&P futures close one session later
12/14/07… Higher S&P futures close five sessions later
12/03/07… Higher S&P futures close two sessions later
11/21/07… Higher S&P futures close one session later
11/12/07… Higher S&P futures close one session later
11/05/07… Higher S&P futures close one session later
09/20/07… Higher S&P futures close one session later
09/10/07… Higher S&P futures close one session later
06/18/07… Higher S&P futures close one session later
02/12/07… Higher S&P futures close one session later
For this setup to go into effect, ES volume needs to come in 20% below Wednesday’s levels (which equates with 1.28 million contracts) and S&P futures need to close lower. According to the relative volume chart for the E-Mini, we’re running right around that 20% level currently.
E-Mini Volume at Multi-Month Lows Ahead of Jobs Report
By Rennie on Thursday, August 5th, 2010 at 3:20 pmVolume in E-Mini S&P futures is running approximately 20% below levels at this time Wednesday, a sharp dropoff in volume on a down day for the index. When this large of a drop in volume coincides with a lower high, low and close for S&P futures, it’s normally a short-term bullish indication. Over the last 30 occurrences, the S&P posted a subsequently higher close within the next two sessions 90% of the time, significantly greater than the 67% random chance for a higher S&P close within the next two days. Also interesting to note that the S&P posted a subsequently higher close within the next week in all 30 cases, indicating low-volume selloffs rarely kick off a sustained move lower…
S&P Futures Lower High, Low & Close, ES Volume -20% from Previous Session
06/07/10… Higher S&P futures close one session later
02/10/10… Higher S&P futures close one session later
11/20/09… Higher S&P futures close one session later
09/02/09… Higher S&P futures close one session later
07/08/09… Higher S&P futures close one session later
06/17/09… Higher S&P futures close one session later
04/27/09… Higher S&P futures close two sessions later
03/30/09… Higher S&P futures close one session later
02/10/09… Higher S&P futures close one session later
10/09/08… Higher S&P futures close two sessions later
09/22/08… Higher S&P futures close four sessions later
08/01/08… Higher S&P futures close two sessions later
06/03/08… Higher S&P futures close two sessions later
05/23/08… Higher S&P futures close one session later
05/08/08… Higher S&P futures close two sessions later
05/05/08… Higher S&P futures close one session later
04/14/08… Higher S&P futures close one session later
03/28/08… Higher S&P futures close one session later
03/26/08… Higher S&P futures close four sessions later
03/10/08… Higher S&P futures close one session later
01/11/08… Higher S&P futures close one session later
12/14/07… Higher S&P futures close five sessions later
12/03/07… Higher S&P futures close two sessions later
11/21/07… Higher S&P futures close one session later
11/12/07… Higher S&P futures close one session later
11/05/07… Higher S&P futures close one session later
09/20/07… Higher S&P futures close one session later
09/10/07… Higher S&P futures close one session later
06/18/07… Higher S&P futures close one session later
02/12/07… Higher S&P futures close one session later
For this setup to go into effect, ES volume needs to come in 20% below Wednesday’s levels (which equates with 1.28 million contracts) and S&P futures need to close lower. According to the relative volume chart for the E-Mini, we’re running right around that 20% level currently.