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Down on well above average volume and twice the average range.
Market traded on average/below average volume till 10:00 CET (=04:00 EST) and then showed a nice drop, repeated at 13:00 CET (=07:00 EST).
No changes in interest rates, but the ECB press conference produced a massive sell-off. Market dropped below the latest swing-low of 142.52. The positive 30-Yr Bond auction at 19:00 CET (13:00 EST) did not help.
The (four weeks) 5-day volume profile shows no support levels, the latest support level of 143.10 has turned into resistance.
Today's PoC is 143.39, the daily volume profile shows high activity between 142.60 - 142.70 and at 142.90.
Daily Volume profiles show naked PoCs at 142.20 and 141.75.
Stock markets were very volatile but ended the day in the green.
There are only two reports scheduled for tomorrow for the US-Market, at 14:30 CET (=8:30 EST).
Such days are usually followed by another wide range down day or a small range up day: either inside or after making a new low. The buying seen in the lower end of the daily volume profile supports the latter scenario.
Can you help answer these questions from other members on NexusFi?
Just wondered if you could give me an idea of the typical number of contracts offered at each level on bund through the morning session? A ballpark figure would be fine; do you think it is closer to 20, 200, or 2000? I am just trying to get a feel for how market orders will respond in the live market. DAX seems to be very thin (and open to a lot of slippage), but it looks to me that FGBL is much better. Is this an accurate description?
I have 5 levels only, summed up over all levels there should be around 2000 - 4000 contracts bid/offered. During the first hour - 08:00 till 09:00 CET - you may see less. It may drop to just a few hundred contracts or even less before the release of economic reports.
The second screenshot shows the average traded volume for each 30-minute time slot - average of the last 5 days.
Best volume is between 9:00 - 12:00 CET and then 14:20 (US Bond Pits open) - 17:00 CET.
A down week, but the net "gain" for this week was small. Squeezing last year into an up trend channel shows that the market is now at the lower boundary of this channel.
The 5-day volume profile (displaying four weeks) shows only resistance levels: nearest PoCs are 142.95 and 143.40.
The daily volume profiles show PoCs at 141.75 and 141.50.
Last Friday shows a kind of doji on high volume. The range is a bit high for a doji, slightly above average range.
The 60-minute chart shows that Friday's VA lies below that of Thursday. The 15:00 o'clock candle (09:00 EST) looks like a hammer on very high volume.
For Monday there are only minor reports scheduled.
That 15:00 o'clock may signal a reversal, but I do not like Friday's high volume. Looking for another down swing.
Slightly below average volume and range. An up day because the close > Friday's close, Poc > Friday's PoC, an up candle because close > open. But a down bar by my definition.
The up move which started Friday 15:00 continued till about 16:00 today. Then the market dropped into the close. The up move stopped at the 142.95 level shown in the previous 5-day volume profile as PoC.
The low volume the first 30 minutes and at the start of the second 30-minute bar hinted at an up move.
Stock markets show lackluster moves.
The 5-day volume profile shows the latest PoC at 142.69. Next levels up are 143.10 and 144.27. Looking at the profiles reveals that the volume is pretty thick and uniform up to 144.27.
The daily volume profile in the 60-minute chart shows PoCs at 143.39 and 142.37.
The market may continue to creep up on lower than average volume. 143.39 as target looks a bit high though, at least for one day.
Tomorrow at 9:00 CET (=03:00 EST) German GDP for 2012 is published. At 14:30 CET (=08:30 EST) PPI and Retail Sales report is released.
Bad news, that is bad for bond markets, may swing the market around.
Average volume and slightly below average range. Again an up day, but with strong intraday swings: Market gaped up at the open, swiftly moved up to around 143.10 and then dropped below its open. Volatile but steady climb to 143.39 (PoC from daily volume profiles), formed a double top there and then dropped into the close.
Three days now stacking their VAs on top of each other's.
The 5-day volume profiles show no change in the lower PoCs: 143.10 and 142.69. Next resistance at 144.30.
The daily volume profiles in the 60-minute chart show that the somewhat thin area between the two nodes (142.60 - 143.39) in the profile of 2013-01-10 has been filled.
Stock markets are mixed to slightly down.
Today had more volume and range than expected. A move above 143.77 (high of 2013-01-09) is likely to trigger some stop losses, so the market might attempt to do exactly that. Going through the 143.40 area looks tough though.
The markets sticks to support/resistance levels a bit too precise for my taste, this feels "staged" (well, more than usual).
Average volume but below average range. Another up day but today's PoC is identical to that of yesterday.
A pattern similar to that of the last two days: market moves up, meets selling, pushed up again till 14:00 - 15:00 CET (08:00 - 09:00 EST). Then it drops into the close.
The 5-day volume profile shows two levels of support now at 143.29 and 143.10. Next level of resistance is 144.15.
The volume distribution in the 60-minute chart does not look as uniform as in the days before: a node just above the PoC and a lot of selling in the upper end of the range. It seems to be more difficult each day to push the market up.
The high of last Wednesday (2013-01-09) - 143.77 - is within short reach but it looks like that it will not be surpassed easily. After that 144.00? Maybe, when such levels are breached the stop losses triggered usually fuel the move for approximately another 10 ticks.
Slightly above average volume but well above average range. A strong (down) trend day.
A strange day. ES had started to rise around 5:30 CET (=23:30 EST). When (European) stock markets opened ESTX50 moved up along with ES while DAX did not follow. Bunds started a strong down move and dropped till around 12:00 CET (=06:00 EST) when a small counter move started.
At 14:30 CET (=08:30 EST) a very favorable Housing Market report was released and a job market report that was very favorable at first sight (not so good at second sight). A few minutes before the reports were released DAX started to catch up and follow the others. Bunds showed only a moderate reaction immediately after the release of the reports.
If the data have not been leaked, then it was an astute anticipation of the reports. The Phil Fed report at 16:00 CET (=10:00 EST) was pretty negative.
Support levels from the daily volume profiles: 142.37 and 141.75.
The daily chart shows that the market is still in a down trend since 2012-12-10: lower highs and lower lows.
Today's volume profile shows volume concentrated in the lower end of the range. Today's PoC at 142.73 looks identical to that of Monday (142.76).
Today's sell-off will perhaps continue tomorrow morning: late-comers will sell. And then? The swing low of last Friday (142.05) does not look too far away.
The only report I see for tomorrow is the Michi Sentiment report at 09:55 EST.
