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E-mini Volume Table

*An analysis of the number of shares or contracts traded isimportant, but for a different reason from what technicians typically believe. The common, accepted theory has any move up or down made without confirming volume as bunk. Typically, stocks move up quietly and come down screaming. For example, the average volume day in the S&P 500 E-Minis in 2007, our most recent "normal" year, for a 5 handle loss or worse was 22% greater than the average for a 5 handle gain or better. If you stop to think about it, this pattern does make sense, for so many have less of a problem rushing to cut losses to make the pain go away than overriding the fear of being "that guy" -- i.e. the buffoon who buys the highs in an upwardly trending market.

So far, 2010 is no different except for one slight caveat. For stocks to have a good day, it needs just a tad of volume, like a 4 out of 10 on your stereo. Too little and you get the sideways chop that bores you to tears for the day. Below is my official E-Mini volume chart that I have alluded to previously and look to religiously. It is broken down with hourly benchmarks on the 55 minute mark starting prior to the Open and finishing up into the Close. Print it out, tape it your desk, and use it as a reference. If the volumes track a "very light" path than expect a yawner of an afternoon, perhaps with a slight upward tilt. A "light" day translates to a solidly grind it out higher mode while "heavy" volume means look out below. While I do not know for sure what each day will bring, I am fairly confident that one with 3 million contracts traded will sit in our rearview mirror for quite some time foreshadowing a longer term constructive, at times meandering, run to the upside.

Time            Very Light          Light           Heavy
(In thousands)
8:55                        180                   261                  397
9:55                        340                   455                  679
10:55                      605                   845               1,086
11:55                      819                1,078               1,459
12:55                      921                1,233               1,732
13:55                    1,003               1,368               1,912
14:55                    1,237               1,506               2,232
15:55                    1,423               1,895               3,065
16:15                    1,503               2,019               3,439


*Note:The table and description above were written in a blog by Jeremy Klein on March 8th, 2010 and reflect the empirical obervations of one trader.