Today's market movement was/is remarkable in its clarity. One glance at this
chart and it will become brutally clear that once 1340 was hit, the
'tickle-algo' was triggered and a de minimus volume press on the bid-offer stack
limped us all the way back to the day's highs - considerably above VWAP. Whether
we see the institutional selling blocks hit now is still undecided but if there
was ever any doubt about who is selling and who is buying this chart should
clarify...
lower pane is volume (spot the difference) and the light blue line is VWAP - notice that even as ES ripped to the day's highs, it was unable to push VWAP higher...
Chart: Bloomberg
lower pane is volume (spot the difference) and the light blue line is VWAP - notice that even as ES ripped to the day's highs, it was unable to push VWAP higher...
Chart: Bloomberg
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