Tracking the cumulative delta over a multi-day period we will make an example - On lets say March 3rd the market traded to 685.00 LOD and the most negative reading of the cumulative delta was -150,000 contracts at that time (when that spike low was created). Now lets say two days later on March 5th (after tracking the delta at all times the globex is open) we trade to 685.00 but the cumulative delta was now showing -132,000 contracts........at this point we would be showing there are NET Long Holders potential remaining from this level who bought two days prior (difference at current days reading is +18,000).
At this point I would look at the PER TICK delta from the day we first touched 685.00 on March 3rd and add up all the TICK levels ONLY with a positive delta in the area 3 to 4 points from 685.00 on up (or at least in that 3 to 4 point zone that has the biggest pocket of high positive delta ticks). This area may show all the positive delta TICK levels added up together to about 11,000 contracts in that 3 to 4 point area.....this I call a delta zone (zone which had a very positive bias to the delta in a small 3 to 4 point range where sellers lost control to buyers and price then change directions as the 685.00 LOD was created).
If I saw price at any point now trade down to the delta zone at 685.00 again and the overall cumulative delta went to -150,000 contracts, I would know we are in a neutral state (and as a confirmation I would want to have seen at least 50% of the 11,000 contracts noted before, which created the delta zone initially, showing now as negative delta within the TICK levels making up the previously defined delta zone of 685.00 and up about 3 to 4 points). This activity would confirm that delta NET Long Holders flipped out of the previously entered Long positions within this zone in a concentrated manner.
