Updating this thread for the last few days.
Again, my thesis is that you get a better trending move only after 40k contracts trade at a single price. If price moves strongly before 40k contracts trade, it is likely to ultimately fail and you should consider fading the move on pushes into support/resistance. Once 38-55k contracts trade -- gear-up to play for a potential trending move breakout (bigger win). This is a point of very good reward-risk.
Monday Nov 19th:
We had a 'breakout' set-up coming into this day. Friday had been a narrow (nr7), inside day. The classic Tony Crabel play is to take a first-hour breakout. The market did do a successful first-hour breakout basically as soon as the first-hour was over. When in breakout mode, this is a 'go-with'. That said, note that contract volume did NOT build at a single price sufficiently and thus the move ran out of gas as the odds are that 40k+ contracts WILL build at a price at some point and thus once the market has already trended, you should now EXPECT chop. This is what happened as volume first built at 1442.00 for 48k contracts. This looked like it would be the
PVP for the day. The market made a break lower after building that 42.00
PVP and it was reasonable to try for a trending move lower after all this chop. If watching the volume distribution in real-time, you would have seen clearly that buyers came in aggressively at 1437.50 as the volume bar at that price shot out very aggressively indicating extremely strong buying and that price would not go lower. (Watching this in real-time was dramatic and actually also foreshadowed a nice 14-pt move up on the overnight Globex session).
Tuesday Nov 20th:
Tuesday needs commenting on... This day really stands out for being an especially unique, crazy day relative to other days.
1) Volume was heavy on the day with NYSE volume going over 2 billion shares during a holiday week.
2) The volume distribution is quite different than any other day in recent memory. For such a high-volume day, volume was spread out across the entire price range. This is highly unusual. This was the first time in months that no price reached 40k S&P contracts traded while volume for the day was heavy. The range on the day was 34.50 pts.
3) The market showed very strong 'range expansion' off opening price (Opening Price was also 1437.50 -- perhaps not so coincidentally, remember 1437.50 was the huge buying price from the previous day). This upside Range Expansion on decent volume massively failed in an 'outside day'.
Following the rule of thumb for Tuesday would have you doubting the sustainability of a trend until 40k contracts traded (we were not in Tony Crabel type of breakout mode). This was a valid high-level concept because the market tried to trend up and couldn't, then tried to trend down and couldn't sustain it. But this is a bit misleading because we did have a 34.50 pt range on the day --- it was like a day with a trend-day up, a trend-day down, and then another trend-day up all within the same session. This was one of those days that was just very rare and you kind of shake your head at how crazy it was.
Wednesday No 21st:
This was straightforward day where market attempted down before building 'proper' chop. This was a fade. Market then attempted up before building the proper amount of chop and this was a fade. Classic 'Range Trading' until 40k contracts trade. The market then chopped sideways until 45,576 contracts traded at 1431.00. It then faked up and trended lower (sustained its trend). Importantly for intraday traders, you could see how no volume spike occured late in the day -- signalling that big money was not going to hold the market up and that the trend down had legs. This is in stark contrast to Mondays action where on the attempt lower, volume spiked hard at 1437.50, denying the trending move lower.