Something has changed - a while ago

[PeterR]

Hi Pascal,

here is a plot that shows the time series together.
(I was unable to get a grid working in the background - so it is a little challenging to read).

I can identify phases of market behavior, that point to some potential flows.
Like you identified BOJ flows at the start of 2016.

And 2014 to mid 2015 overnight outperformed regular hours.

All of these phases seem to be ephemeral and not regularly repeating.

But maybe we can spot something more in the data.

Peter



(the data is Futures data again. potential rollover-gaps are back-adjusted via volume. No big gaps in the e-mini anyway)