I turn dials and fiddle with knobs to hone in on harmonic rotations
Joined Oct 26, 2011
4,121 Blog Posts

Night Talk: Digging into $6e Delta


One of the interesting characteristics tracked in futures contracts is volume breakdown.  Very quickly it’s calculated as follows:

Delta = Buy Volume – Sell Volume
Buy Volume (Ask Volume) = volume that traded at or above the ask price.
Sell Volume (Bid Volume) = volume that traded at or below the bid price.

The above volume analysis can be applied to any timeframe or range to get a feel for the type of trading activity occurring.  Buy delta (buying the offer) can be interpreted as more aggressive, accumulative type buying. It could also be shorts getting squeezed and hitting the big red “panic” sell button.  I believe the former (accumulation) has been occurring in the $6e (EUR/USD).

Tracking along the bottom of the following chart is a moving average dating back to 8/15, when the contract was trading near the midrange its recent consolidation after making new annual lows in July:

Ignore the rest of the hubris on this zoomed back chart and focus on the bottom line. It’s a nine period moving average of the volume breakdown. It appears smooth calm-handed accumulation has occurred throughout the entire breakout, with most red delta only resulting in mild price consolidations. This aggressive buying continued throughout today’s (yesterday’s?) day session.

The move has already covered much ground but unless we see sellers aggressively entering the tape, I see more upside in the currency. Another puzzle piece to the risk appetite of the market.

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  1. redman59

    Like the volume analysis. Also good notes in the last paragraph too.

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  2. elizamae

    Nice work here.

    Do you think that a similar analysis could be performed on stocks, even with the anemic volume we have seen of late?

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    • Raul3

      I’m certain it could. It would be a matter of getting accurate tick data. I’ll have to dig into my DTN IQFeed to find out more.

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