Our Relative Volume page at http://markettells.com/intraday-charts/relative-volume/ now tracks E-Mini S&P futures, SPY and NYSE volume on a relative basis throughout the day. We’ve also added in a chart for each highlighting the spread between today’s volume and yesterday as well as between today’s volume and the 30-day median. Note from Tuesday’s relative NYSE volume chart that the spread (in green) between today’s session and the 30-day median continued to rise throughout the session, indicating volume was expanding at a faster clip than the recent average. This is difficult to spot on the standard relative volume chart until later in the session. The black line on the spread chart also reveals how today’s session compares with yesterday’s on a percentage basis. Note that the lines for both ES and SPY hovered right around 0 for most of the session, indicating volume was tracking at roughly the same level as Monday.

You may have noticed that the link to Tuesday’s chart was an archived version of the live page, which is something we’ll be doing on a daily basis from this point forward. In time this will hopefully become a useful research tool. For now you can find the archive links at the bottom of the intraday chart page. If time permits, we may expand the archives, as we’ve already created historical relative volume data for the purpose of more in-depth research. Does elevated ES volume early in the session usually lead to a trend day? How high is ‘elevated’? Is E-mini volume more predictive than SPY or NYSE volume? Is unusually low relative volume a good predictor of a range-bound session? These are just a few of the questions we seek to answer, and I hope to begin posting some of the results of our research as soon as next week.

For more background on Relative Volume, I encourage you to read the following posts from Brett Steenbarger’s Traderfeed… Relative Volume and Volatility: Understanding Who is in the Market and Relative Volume and Movement in the Stock Market.
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