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Start point for daily VWAP?

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michaelleemoore View Post
I use both the RTH and ETH vwaps. As the RTH develops, I give it more weight, but ETH rules the first hour or so of the RTH, at least for me. I'm looking for fades around vwap, and both RTH and ETH offer opportunity. Days when they get very close to together make for easy fades for scalpers like me. ES is quite attentive to vwaps, as is CL. NQ and YM tend to stray much further from their vwaps, but are still somewhat allegiant to them.

Michael

I was going to say something like this, but Michael beat me to it and did it better.

I would add that, as the RTH day goes on, the two lines tend to get pretty close, as is natural because the cumulative effect of the much higher RTH volume soon has much more weight and bends the ETH line to meet the RTH line.

Another thing to say is that this is partly a function of who is in the market, and at what times.

For ES, European traders come in around 3:00 AM US Eastern Time, and they stay though the US Open at 9:30 ET until about 11:00 or 11:30 ET. You can see noticeable volume increases every day at 3:00 ET, and a huge one at 9:30 of course, and a drop after 11:00 as they leave. (Impending lunch hour in Eastern US locations probably is a factor in the drop also. )

One point of this is that you would expect whatever went on during ETH to get less important during the day, both because of the much greater RTH volume and because of who is trading, and when/where they may have put on positions. After the US open, a progressively smaller percentage of traders have made any decisions during the ETH hours, and ETH prices and levels would be expected to become less important.

Bob.

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