Extreme Volume

ES sold after FOMC day last week. ES sold again the next day on heavier volume but smaller range and rallied end of day and on Friday trapping shorts.

In an attempt to clear any recency bias I held I went back and looked to see how aggressive the down move was yesterday in terms of

[% price change]
[Delta Bars] – ask traded vs bid traded

This was an attempt to see what happened in the past after extreme down days.

IRT only holds Tick Data for 120 days so I have limited Volume Breakdown information.

Yesterday had more volume than the day after the election in 2012. It finished the cash session with -163k delta and 40 from the highs (but 30 from the prior close).

Days similar to this in the past few months were the precursor of a total of 4-5% pullback before turning.

I am keeping an open mind about any potential ‘snap back from oversold in an overbought market’.



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