Relative Volume for ES Futures or Any Other Stock

[N57H 10]

Hi,

 

Dr. Brett steenberger wrote in his blog about:

 

" Relative Volume for ES Futures-

Recent posts have emphasized the relationship between volume and volatility (and between VIX and volatility) as key to anticipating trading movement and opportunity. The specific tool that I've found most helpful in anticipating intraday movement is what I call relative volume: the comparison of volume at a certain time of day with the median volume for that time of day. When relative volume is above average, we can expect good movement in the ES futures; when we have below average volume, trade is often narrow and range bound.

 

Below are the half-hour periods of the regular trading day, the median volumes in ES for 2009, and the standard deviations for each of those. I've found these norms to be quite helpful in identifying when volume is picking up and slowing down, which alerts me to whether markets are facilitating trade at particular key price levels. All times are Central Time US:

 

8:30 AM - 242,978 (55,247)

9:00 AM - 208,202 (50,743)

9:30 AM - 173,246 (43,980)

10:00 AM - 142, 250 (53,507)

10:30 AM - 117,904 (46,620)

11:00 AM - 104,093 (36,316)

11:30 AM - 97,808 (32,632)

12 Noon - 108,429 (36,057)

12:30 PM - 113,074 (41,832)

13:00 PM - 133,750 (60,438)

13:30 PM - 147,448 (60,432)

14:00 PM - 180,139 (53,454)

14:30 PM - 264,140 (84,050)

15:00 PM (15 minute period) - 112,686 (31,815)"

 

Do you have a idea how to create a log file of the average vol for different intervals?

 

Thanks

[phase21 10]

Hello N57H,

 

I presume you used something like Excel to determine what the numbers were. If you could describe the methodology you used, that would be great.

 

How do you represent the numbers on your charts, or do you?

 

In regard to your question - I'm not sure how to respond just yet. Need more info.

 

Regards,