Sorry......been working on the plane all weekend and on a good roll.
Sold THIN this a.m. 691.50 on up just in case we got a break out of the lower range, and I did not want to be holding many if I needed to bail on initiated buying rate increase. I have covered all 691.50/692.50 at 689.50 and I am holding 693.50/694.50 levels with some 693.50's/694.50's covered at 688.50 and 683.50. At present I have 66% of my 693.50 entries covered and 33% of my 694.50 entries covered....next targets will be at 678.50 and then 673.50......after these levels I would be only holding 33% of the 694.50 entries for any additional downside moves.
My targets at 678.50 have been filled......next targets resting at 673.50 into the upper of the 2 "layered" areas of resting buy zone inventory......looks like we just had or first test of the area just above 675's
OK.....finally back. I had to do some work on the plane I fly after I found a maintenance item last night after a short flight.
For the question about the activity at delta zones being "commercials" or not, well it is......the action in the "pit" when at these zones AND the size of orders passing through in the order flow are not retail guys buying or selling. My experience with the delta over many years has very much confirmed to me that "commercial" activity is the bulk of the activity in these zones.
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.
When you see this previously created Long Holders zone go heavy negitive delta, as price returns to this zone again, you can expect price to run through this zone and neutralize this previously held inventory (and then usually make a run beyond this zone which had previously held as support......many times it will run a minimum of 5 to 10 points after the held inventory capitulates).
Hopefully this will help make the concept become more clear.
Great explenation! Thank you Now I finally understand why it is important to track totalt delta, and not just daily total delta. So in the program you are using, you can allways see total delta at every "price tick" level where price has traded since you started tracking? Basically know the total delta number at lets say 855,25, since you started tracking?
Hopefully Sierra Charting will have this feature in the near future. What they have now is the strength level between bid/ask at each price level, but you can not see the delta number.
this will be a HUGE week. The dow and sp00z may end the wek 20% or higher. Nasdaq surge 30% possibly. Time to climb a very high wall of worry. Boo hoo hoo this recession I can't even see is so painful.
As you all can see, the double level of "layered" support is holding to this point.......675's on down.......keep watching this area if we get any additional tests.
Top layer support of the 2 "layered" LONG resting inventory zones is currently being tested.......my targets at 673.50 have now been filled. Holding last 33% of 694.50 entries for any additional selling ahead.
Maybe you can comment on this illustration of mine? It's taken from the NQ with cumulative delta in bottom.
From fridays buttom, there was probably a delta net long zone somewhere close to LOD given the huge div. from price and the cumulative delta. Is my assumption of this correct?
Today as price got close to friday LOD, my cumulative study was allready WAY more negative than fridays LOD numbers. Does this mean that the longs from this zone are allready neutralized, so no "delta net long zone support" to be expected, unless a new long zone with fresh buyers is established?
B/E plus one tick. Also, my final profit target is set at 663.50 for my last ES positions.
I also took one scalp LONG today near the close as we traded below the 673's (right as price was in the middle of the upper "layer" of resting buy inventory). I was all out at 676's for a few points as 677's could not be broken through.
Now we sit going into the AH session right at the very very top of the upper support layer of two stacked buy zones........what a close.......bulls just do not get any help.
Yes indeed.......see, you had a very strong delta buy signal with that delta positive divergence on the last "w" pattern prior to the rally! Great scalp trade entry signal there!
Then you can see as you perfectly pointed out, that previous area of BUILDING buy inventory (which previously caused a rally) was then taken out. The inventory moved neutral later as you see selling take place to new lows....you are on the right track!
BTW.....where did you get the "delta" volume study for SierraCharts?
Nice Job!
Quote from veggen:
Thanks again for helping out AMT.
Maybe you can comment on this illustration of mine? It's taken from the NQ with cumulative delta in bottom.
From fridays buttom, there was probably a delta net long zone somewhere close to LOD given the huge div. from price and the cumulative delta. Is my assumption of this correct?
Today as price got close to friday LOD, my cumulative study was allready WAY more negative than fridays LOD numbers. Does this mean that the longs from this zone are allready neutralized, so no "delta net long zone support" to be expected, unless a new long zone with fresh buyers is established?
Yes indeed.......see, you had a very strong delta buy signal with that delta positive divergence on the last "w" pattern prior to the rally! Great scalp trade entry signal there!
Then you can see as you perfectly pointed out, that previous area of BUILDING buy inventory (which previously caused a rally) was then taken out. The inventory moved neutral later as you see selling take place to new lows....you are on the right track!
BTW.....where did you get the "delta" volume study for SierraCharts?
The "delta" study is simply a cumulative study of my "difference-study" which is calculated from bid/ask volume. There was no need to write any code. The problem is that untill SierraCharts start showing delta volume on tick level (they have said they will maybe do this soon), there is no way to know accurately where the delta zones are located. However the divergence scalps as you mention, are great plays, and these I can easily spot with this simple indicator.
Then you can see as you perfectly pointed out, that previous area of BUILDING buy inventory (which previously caused a rally) was then taken out. The inventory moved neutral later as you see selling take place to new lows....you are on the right track! [/QUOTE]
Is my assumption correct that one can assume that this area of bulding buy inventory is neutralized, as soon as my cumulative study gets more negative than it was at LOD area yestorday, even though price has still got some more declining to do before yestorday LOD? Or is it a bit more complicated than this, and you need to wait for price to return to yestorday LOD area, and see the delta tick levels neutralized (at least 50% of strongest buy delta tick levels taken out as you mentioned in a post)?
Here is a new illustration to better explain: