Multi-Pivots and Gap Up for June 21, 2011

[EB]

@adam ali: since you mentioned me below, I thought I'd chime in :->. I do look at volume, but in specific contexts that are not simply daily aggregations. Specifically, I look at volume at price (volume profile), depth of market bid/ask volume (implied liquidity), realized liquidity (measured on the ES in part through active boundaries), volume delta (difference between up and down volume), and bar-by-bar relative volume.

Regarding relative volume, some may note that today's running total is again below average; however, on a bar by bar comparison (each bar measured against a 20 day average for That Bar only), the pushes to the upside have been on above average volume, confirming strength. Here's a snapshot from today:



It's true that futures markets do not have the same reporting problems of equities, as all trades are centrally cleared and reported. So why not just use the daily totals in the futures as a proxy for the imperfectly reported cash volume? Even notionally, the futures markets are very small by comparison.

Also, much of the day's volume is due to program buying and selling and HFT churning, which affects both the cash and futures. How much algo trading there is in any day can greatly skew the aggregates, but seems not to skew the relative (bar by bar) as much.