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ES Journal - 2013
- Thread starter Trvlwanderer
- Start date
Quote from Visaria:
Not sure what uvol/dvol means.
How do you filter out the (presumed) large volume today which is purely index arbs unwinding trades from volume which is "genuine" speculation?
Not just that, but people could be legging into or out of spreads, hedging, or using any number of vast strategies encompassing multiple markets. That was always my problem with tape reading/delta volumes etc, how can you determine how much of the volume is actually purely directional plays? I'd say a very small share of the total ES volume is actually any pure directional play, but just thinking out loud here. For instance right now I'm holding around 10 ES contracts short but purely for deltahedging purposes, I have no directional bias, just a vol bias...
I look at uvol/dvol to help define a "trend" day...fairly simple way to look at it, not to try and figure out who is doing what.
also uvol/dvol is NYSE not just ES so it just gives you a "flavor" of what the broad mkt is doing
also uvol/dvol is NYSE not just ES so it just gives you a "flavor" of what the broad mkt is doing
Quote from RichardRimes:
I look at uvol/dvol to help define a "trend" day...fairly simple way to look at it, not to try and figure out who is doing what.
But for uvol/dvol to define a trend, it presupposes the majority of the volume be directional in nature, no? But maybe Im misunderstanding what the indicator does, haven't really studied it well.
right...at least for me it needs to be least 3-1 to be trending..so more of a lagging indicator. I use the 1 minute. Days where it is close or with crosses I'm more inclined to take shorter term positions. I don't use it to make a trading decision but often look at it after the fact to confirm.