[AgeKay]

Originally Posted by gooni »

I've started looking at this futures this morning, and being so retail driven it seems to trade very 'technically'. The shaded regions are support (bottom) and resistance (top) zones from the last few days volume profiles. 50% retracements also important.

What exactly are those shaded regions? Value Area Low/High? POCs?

[gooni]

I use volume profiles on different time ranges. The shaded areas are the transitions between high volume and low volume regions, or what is otherwise known as the 'value area' highs and lows. I believe I created these from the weekly volume profile combined with the dailies.

[Marsupilami]

Thanks for the info, gooni ! Very interesting market, indeed ! I have traded the Kospi options through a Korean broker before...(in sim mode)....liquidity was out of this world, an absolutely amazing market !

[MidKnight]

To my knowledge the options are so liquid because the contract size is much smaller than the future. I hear they are used heavily as day trading substitute to the future.

[gooni]

Someone asked for a depth earlier, here's a screenshot of the orderbook. It can get a bit thicker than this, but this is a decent indication of what it's like on average.

[AgeKay]

Thanks for the picture of depth. Can you confirm that this market is largely retail driven, i.e. changes in the depth are small at a time?

[gooni]

If by changes you mean how heavy the hits in time and sales are, most sales are under 10 contracts but I haven't analysed it exactly to find the real quartiles. If you mean does the depth change because of people pulling orders out - well, yes, but to varying extents. There was a 400-500 order sitting on the bid at the low of the day today, was hit heavily a few times, then was completely pulled out. The market then dropped 20 ticks.

[AgeKay]

I meant the changes in the market depth from pulled and newly placed orders, but the information about the size of market orders you provided is also very helpful. How often do you see big limit order like you described in the market depth and how often do you see market orders that you would qualify as big in this market?

If the futures market is largely retail driven then where do you think the institutional traders come into play? Do they only trade the underlying stocks or the index options?