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xavik
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xavik reacted to Tradewinds in Up Volume to Down Volume on Overnight Gaps
When the es emini SP gaps overnight, I've noticed something interesting about the UVOL/DVOL ratio. There is often huge differences between the Up Volume and Down Volume at the market open after an overnight gap in price.
Take a look at the es emini SP on Friday 3-18-11 for example. The NYSE 500 opened with Up Volume that was 65 times more than Down Volume! A 65 to 1 ratio of up volume to down volume. On a day when the es doesn't gap overnight, the ratio of one volume to the other is normally around 1 to 3 either way. So a ratio of 65 to 1 compared to a ratio of 2 to 1 is a huge difference.
It only took 3 minutes for that ratio to drop to 30 to 1 at 9:33 am. And it was 11 to 1 by 9:48 am. Those are still very big differences of Up Volume to Down Volume. The interesting thing is, that the es emini dropped in price all day. So the huge Up Volume compared to Down Volume did not make the es go up. The ratio of Up Volume to Down volume was dropping all day, and the es emini went down all day. The es didn't bottom until that ratio got back to a fairly normal range of about 2 to 1, at 3:13 pm.