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Monday, July 30, 2012

NYSE Volume At Lowest 'Non-Holiday' Run-Rate Of The Year



Tyler Durden's picture
Submitted by Tyler Durden on 07/30/2012 14:54 -0400



Today's NYSE total volume has a run-rate around 15-20% below its average for this time of day. This is 2 standard deviations below average and most notably the lowest non-holiday day/week volume so far. At the same time, volume in the futures market is even worse with S&P 500 e-mini futures (ES) trading volumes around 30% below their recent average. It is perhaps no surprise then that ES is jiggling in a narrow 3pt range between its lows and its VWAP/unch level.

NYSE Volume (averag run-rate for time of day) - spike down volumes are holidays (and July 4th week):


S&P 500 e-mini futures volume compared to recent average...


Charts: Bloomberg
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