Apr

18

Volume, from James Sogi

April 18, 2009 |

Interesting drop off in ES volume today. Not sure what it means if anything.

2009-04-17        866.75    1873990
2009-04-16        861.50    2587100
2009-04-15        848.50    2175733
2009-04-14        840.25    2351211
2009-04-13        854.00    1635670
2009-04-09        852.50    2081575
2009-04-08        822.50    2088351

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3 Comments so far

  1. Shawn Surdyk on April 18, 2009 2:03 am

    That's weird because I was looking at Bloomberg yesterday or Wednesday and pointed out to one of our traders the big spikes in volume on expiration days in February and March. So that's unexpected that this month's expiration day would result in lower volume.

  2. Mandingo on April 18, 2009 12:30 pm

    Jim go back to the market lows and take a look at the volume drop from then. The drop in volume is even more dramatic (take a look at SPY for simplicity) To me this means fewer and fewer people are participating in this rally. Which to me makes it dubious. But certainly psychology-wise people want to believe…

  3. Shawn Surdyk on April 22, 2009 6:05 pm

    Whoops, my bad. I just checked and I was looking at SPX before, not ES. Though even the SPX volume was lower than previous expiration days’ volumes.

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