Are futures dying? "Volume drying up" - Traders Hideout | futures io social day trading
futures io futures trading


Are futures dying? "Volume drying up"
Updated: Views / Replies:12,536 / 89
Created: by Big Mike Attachments:17

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 17  
 
Thread Tools Search this Thread
 

Are futures dying? "Volume drying up"

  #51 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,238 since Jun 2009
Thanks: 29,350 given, 83,218 received

Courtesy: Market Stoned Like It's 1999 | ZeroHedge

Presented with little comment but we thought, given the exuberance surrounding Facebook, ZNGA's rally, and FFN's double, that we would point out that the four-week average volume on the NYSE has dropped to levels not seen since, yes you guessed it, 1999.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
The following 7 users say Thank You to Big Mike for this post:
 
  #52 (permalink)
Elite Member
Philly, Pa
 
Futures Experience: Master
Platform: NinjaTrader
Favorite Futures: ES, ZB
 
tigertrader's Avatar
 
Posts: 5,948 since Jul 2010
Thanks: 6,314 given, 31,870 received

Average Daily Market Move Back Below 1%

Thursday, February 2, 2012 at 02:47PM

The S&P 500 has had just two 1% days so far this year, and they have both been positive 1% days. The biggest down day for the index is still just -0.57% on January 26th. The huge drop in volatility is surely a welcome relief for most investors. Last October, 15 of the 21 trading days during the month were 1%+ days.
Below is a chart highlighting the 50-day average absolute daily % change for the S&P 500 going back to 2002. Over the last 50 days, the index has averaged a daily change of +/-0.79%. As shown, the reading has dropped by more than half from the high of 1.92% seen just a few months ago.

It's still crazy to look at this chart and see just how volatile things got back in late 2008/early 2009. Last year's volatility, while rough, was nothing compared to what we saw during the financial crisis. At one point in early December 2008, the S&P 500 had averaged a daily change of +/-4.02% over the prior 50 days, which is the highest level ever seen in the index's history. With the entire US stock market swinging an average of 4% on a daily basis for more than two months, it's no wonder that individual investors are still having a tough time dipping their toes back in the water, even three years later.


Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 5 users say Thank You to tigertrader for this post:
 
  #53 (permalink)
Elite Member
La Jolla, CA
 
Futures Experience: Master
Platform: Sierra Chart, X_Trader Pro, OptionsCity
Broker/Data: Advantage, Trading Technologies, OptionsCity, IQ Feed
Favorite Futures: CL, NG
 
Private Banker's Avatar
 
Posts: 1,040 since Jul 2010
Thanks: 1,713 given, 3,759 received


When I was still in the biz, we were beginning to provide a lot of institutional investors with equity-like products that provided equity-like returns with a far lower standard deviation vs the corresponding benchmarks such as the Russell 1000, etc. These products were typically synthetic derivative instruments which were option strategies and swaps that were built to capture at least 80% of the upside of the market while participating very little in the down side. Additionally, many of our clients had no interest in outright equity exposure based on the developing events within the equity markets with a heavy emphasis on the tech blow up and Sept. 11th. The answer to this in addition to the derivative products we provided, was an increasing appetite for short(er) term equity "trades" vs. the traditional buy and hold strategies of the past.

I say this to maybe help with the thought of the equity index futures markets losing the number of participants. I read the report that Nanex posted on here which basically confirmed what I had said before. The bid/ask numbers just aren't what they used to be. They're a bit higher than a few months ago but no where near where they where a few years ago. I also think it's important to remember that institutional traders and hedge funds, etc. do not typically participate in the DOM per say. They typically iceberg into the market or shred into and out of positions via market order algorithms to remain relatively unnoticed which doesn't reflect into the DOM's bid/ask numbers but appears in the overall volume and cumulative delta. An easy example is to watch the DOM and the bid has 50 orders in the queue but you see 350 orders going through.

But the title of the thread is "Are Futures Dying? Volume Drying Up..." And with that being said, we seem to be focusing solely on the equity indexes. Why? I've also noticed many references to the day's range. Let me first say that if you're attempting to trade a market with a low range, your edge is very limited (if you have one). There are so many markets available to trade that provide amazing opportunities day in and day out. As I mentioned before, the energy markets have been phenomenal! The Euro despite what someone else commented on earlier that is doesn't move, has been quite nice lately. There's definitely more than enough volatility in that market to make some nice trades. You really need to be open minded and versatile in trading. If your method requires big swings, you need to go where the vol is and that isn't ES. Not right now anyway. That market has been on a ghost ride since the first of the year with the daily range shrinking. If you're simply looking to gain a few points, the ES can still provide that.

Markets go through cycles and when they're trending, the volume tends to slow down until sellers begin to arrive in force. At that point, there's a disruption in the trend, volume increases as participants decide to get out or change their position to the opposite direction or whatever. The equity indexes are a great example of this.

I honestly think in general, a lot of smart investors are utilizing other markets to obtain equity like returns without the hassle of the HFT trash or the potential draw downs that are becoming more and more frequent. Institutional investors asset allocation models are so far different now than they were 10 - 15 years ago. There's a higher allocation to alternative investments such as hedge funds (multiple disciplines not just equities), FofF's, commodities, private equity, derivative structures linked to benchmark markets, real assets and precious metals, etc. I think the investment landscape is changing and it's important to be aware of this.

Reply With Quote
The following 12 users say Thank You to Private Banker for this post:
 
  #54 (permalink)
Elite Member
Philly, Pa
 
Futures Experience: Master
Platform: NinjaTrader
Favorite Futures: ES, ZB
 
tigertrader's Avatar
 
Posts: 5,948 since Jul 2010
Thanks: 6,314 given, 31,870 received


Private Banker View Post
When I was still in the biz, we were beginning to provide a lot of institutional investors with equity-like products that provided equity-like returns with a far lower standard deviation vs the corresponding benchmarks such as the Russell 1000, etc. These products were typically synthetic derivative instruments which were option strategies and swaps that were built to capture at least 80% of the upside of the market while participating very little in the down side. Additionally, many of our clients had no interest in outright equity exposure based on the developing events within the equity markets with a heavy emphasis on the tech blow up and Sept. 11th. The answer to this in addition to the derivative products we provided, was an increasing appetite for short(er) term equity "trades" vs. the traditional buy and hold strategies of the past.

I say this to maybe help with the thought of the equity index futures markets losing the number of participants. I read the report that Nanex posted on here which basically confirmed what I had said before. The bid/ask numbers just aren't what they used to be. They're a bit higher than a few months ago but no where near where they where a few years ago. I also think it's important to remember that institutional traders and hedge funds, etc. do not typically participate in the DOM per say. They typically iceberg into the market or shred into and out of positions via market order algorithms to remain relatively unnoticed which doesn't reflect into the DOM's bid/ask numbers but appears in the overall volume and cumulative delta. An easy example is to watch the DOM and the bid has 50 orders in the queue but you see 350 orders going through.

But the title of the thread is "Are Futures Dying? Volume Drying Up..." And with that being said, we seem to be focusing solely on the equity indexes. Why? I've also noticed many references to the day's range. Let me first say that if you're attempting to trade a market with a low range, your edge is very limited (if you have one). There are so many markets available to trade that provide amazing opportunities day in and day out. As I mentioned before, the energy markets have been phenomenal! The Euro despite what someone else commented on earlier that is doesn't move, has been quite nice lately. There's definitely more than enough volatility in that market to make some nice trades. You really need to be open minded and versatile in trading. If your method requires big swings, you need to go where the vol is and that isn't ES. Not right now anyway. That market has been on a ghost ride since the first of the year with the daily range shrinking. If you're simply looking to gain a few points, the ES can still provide that.

Markets go through cycles and when they're trending, the volume tends to slow down until sellers begin to arrive in force. At that point, there's a disruption in the trend, volume increases as participants decide to get out or change their position to the opposite direction or whatever. The equity indexes are a great example of this.

I honestly think in general, a lot of smart investors are utilizing other markets to obtain equity like returns without the hassle of the HFT trash or the potential draw downs that are becoming more and more frequent. Institutional investors asset allocation models are so far different now than they were 10 - 15 years ago. There's a higher allocation to alternative investments such as hedge funds (multiple disciplines not just equities), FofF's, commodities, private equity, derivative structures linked to benchmark markets, real assets and precious metals, etc. I think the investment landscape is changing and it's important to be aware of this.


Indeed! Bottom line is either you play the cards that are dealt you or you find another game. As PB stated, there is still money to be made trading the ES. If volatility is down, then lever up accordingly. The majority of current changes in the markets may be only cyclical or secular in nature; but to some degree there are going to be some that are structural. .The business has always gone through these changes, but unfortunately these changes are now occurring with greater frequency. Certain aspects of the market will never be the same. Adapt or perish.

Reply With Quote
The following 2 users say Thank You to tigertrader for this post:
 
  #55 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary

Some more statistics from the BIS Quarterly Review.

Both amount of derivatives outstanding and derivatives turnover have increased in 2011. Nothing is drying up. Volatility is lower now than 2 years ago, as the Financial Systems are now feeding a new bubble. Bursting bubbles usually generate higher volatility than growing bubbles.

Attached Thumbnails
Are futures dying? "Volume drying up"-derivatives-volume-2011.pdf   Are futures dying? "Volume drying up"-derivatives-contracts-2011.pdf  
Reply With Quote
The following 8 users say Thank You to Fat Tails for this post:
 
  #56 (permalink)
Market Wizard
Bangkok
 
Futures Experience: Intermediate
Platform: MultiCharts.NET, S5, Ninj
Broker/Data: AMP, S5, IB
Favorite Futures: ES
 
DionysusToast's Avatar
 
Posts: 2,668 since Nov 2010
Thanks: 776 given, 8,721 received
Forum Reputation: Legendary

From what I can see of the ES - things are returning to normal somewhat.

Starting August 2011, we started to see increased volatility.

Now, when we talk about liquidity, there's a few different ways that people interpret the term. For me, liquidity is limit orders, people willing to trade a specific price as opposed to market orders grabbing the best price. When liquidity goes down, volatility goes up, all other things being equal.

Look at the move down (attached pic) in August, we also had a little 'flash crash' that month. Anyone that watches the DOM every day will have noticed how the DOM thinned out in August. The move down and the 'flash crash' no doubt caught a fair amount of liquidity providers way off side. It should be no shock that they eased off a bit.

To me, I was always used to 1.4-> 1.8 million contracts trading on a normal day. Then 3 million became the norm. Combine that volume with the lack of real liquidity providers relatively speaking and we had those 60 point days.

What I am seeing now looks normal to me. It's thickened up considerable on the ES - yesterday was choppy and 5k contracts were going through at levels, both sides without it ticking past.

So - my opinion is, this is not a slowdown. This is not a reduction in people trading. This is reversion back to normality.

This is also a bit of nervousness about a stagnant US economy and a market that is relentlessly grinding up. I mean - who here's going to be buying 1349?

Liquidity providers are here IMO & doing what they do best - taking the spread.

Personally, I'm glad it's going back to normal myself. My hairline went back an inch in the last 8 months...

Daily ES chart - price, volume, ATR...

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Reply With Quote
The following 5 users say Thank You to DionysusToast for this post:
 
  #57 (permalink)
Elite Member
Aurora, Il USA
 
Futures Experience: Advanced
Platform: TradeStation
Favorite Futures: futures
 
kbit's Avatar
 
Posts: 5,872 since Nov 2010
Thanks: 3,301 given, 3,332 received

Lowest Non-Holiday Market Volume In Past Decade

We are struggling for superlatives (or whatever the antonym for superlatives is). Today's NYSE volume is as low as we could find on Bloomberg data. It is the lowest non-holiday trading day volume in over a decade. This is 26% below last year's post-Superbowl trading day volume. ES, the e-mini S&P 500 future contract, which has tended to be the most liquid and heavily traded instrument reflective of the equity markets, traded around 1.19mm contracts versus a 50-day average of 1.83mm (down 35%) and also we were struggling to find a non-holiday trading day with lower volumes (lower even than on the Thanksgiving Friday of last year's volume). Using our trusty Birinyi ruler and extrapolating the trend since the March 2009 crisis lows, we see No-Volume-Day (NV-Day) as being celebrated on the NYSE in September 2015 (we assume valuations are being adjusted on financials and exchanges as we speak).

NYSE Volume (NYSEVOL Index).
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

"Birinyi's Ruler" predicts the death of the market will take place on September 11, 2015.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).


ES Volume
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Chart: Bloomberg

Lowest Non-Holiday Market Volume In Past Decade | ZeroHedge

Reply With Quote
The following 2 users say Thank You to kbit for this post:
 
  #58 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary

Have a look at a Monthly Chart of ES 03-12

The volume in the second half of 2011 was particularly high. The fact that it is coming down just reflects a bullish sentiment that has carefully developed during the last months.

Chart attached.

Attached Thumbnails
Are futures dying? "Volume drying up"-es-03-12-monthly-5_2005-2_2012.jpg  
Reply With Quote
The following 5 users say Thank You to Fat Tails for this post:
 
  #59 (permalink)
Elite Member
Philly, Pa
 
Futures Experience: Master
Platform: NinjaTrader
Favorite Futures: ES, ZB
 
tigertrader's Avatar
 
Posts: 5,948 since Jul 2010
Thanks: 6,314 given, 31,870 received


Fat Tails View Post
The volume in the second half of 2011 was particularly high. The fact that it is coming down just reflects a bullish sentiment that has carefully developed during the last months.

Chart attached.

Your theory may be spot on, i.e.,

simply the by-product of the intermediate term extant up-trend, coinciding with reduced volatility,

the result of the Fed's complete and utter transparency,

having laid all their cards on the table, they have removed all doubt; hence, all risk

essentially eliminating the need for price discovery and and any inclination to de-leverage

what's left is a somnambulant melt-up in asset prices, QE ad inflatum nauseum

Reply With Quote
The following 5 users say Thank You to tigertrader for this post:
 
  #60 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
Broker/Data: Interactive Brokers
Favorite Futures: Keyboard
 
Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
Forum Reputation: Legendary



tigertrader View Post
what's left is a somnambulant melt-up in asset prices, QE ad inflatum nauseum

LOL. Really enjoy your comments!

Should read QE ad inflatam nauseam. Never heard this before.

Reply With Quote
The following user says Thank You to Fat Tails for this post:

Reply



futures io > > > Are futures dying? "Volume drying up"

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Webinar: FulcrumTrader Cumulative Delta Volume Analysis on CME FX Futures FulcrumTrader The Elite Circle 64 October 6th, 2016 10:59 PM
High Volume on CAD futures today, OFA help please sam1197 Traders Hideout 2 June 23rd, 2016 07:26 PM
Is Volume data in Currency Futures Important? drago1 Currency Futures 5 December 11th, 2010 06:08 AM
Futures - Volume Twiddle Traders Hideout 6 July 27th, 2010 09:33 PM
Summer Jobs Drying Up for High-School, College Students Quick Summary News and Current Events 0 May 31st, 2010 11:40 PM


All times are GMT -4. The time now is 12:44 AM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-11 in 0.20 seconds with 20 queries on phoenix via your IP 107.20.115.174