Pretty rare VWAP rule pattern was posted during the past monday session. After ES have slided below VWAP w/ new $tick session low, there was strong pullback. Moreover, after ES again started to shrink there was one more pullback to the upside. Only after that the market fell sharply, as the VWAP rule had called for.
Recent pattern indeed looks similar to its 31st march peer, w/ few differences.
Why did that monday's pattern appeared to be so ugly and pretty unusual in comparison to others VWAP rule occasion? The reason is volume. It has shrunk dramatically. Volume was at the lowest level during at least last five sessions and is staying now near quarters record lows.
That’s why correlation between stock indexes also fell dramatically.
Above you can see three futures charts of: S&P 500 (ES), Nasdaq Composite (NQ) and Russell 2000 (ER). From 20:04 Zurich time, when ES have posted lower high before VWAP breakout, to 21:13, after what it have started to rise considerably, it have lost only 0.6%. To compare, during the same period Russell lost 1.1% and Nasdaq some 0.8%. So it’s obvious, that on the back of low volume, there was huge support on ES near 1073.5pts, that bears had failed to breakout.
I was calling for more dramatic downside move after VWAP breakout and haven’t fixed near 1073.5. All at all, zero for the session.
Recent pattern indeed looks similar to its 31st march peer, w/ few differences.
Why did that monday's pattern appeared to be so ugly and pretty unusual in comparison to others VWAP rule occasion? The reason is volume. It has shrunk dramatically. Volume was at the lowest level during at least last five sessions and is staying now near quarters record lows.
That’s why correlation between stock indexes also fell dramatically.
Above you can see three futures charts of: S&P 500 (ES), Nasdaq Composite (NQ) and Russell 2000 (ER). From 20:04 Zurich time, when ES have posted lower high before VWAP breakout, to 21:13, after what it have started to rise considerably, it have lost only 0.6%. To compare, during the same period Russell lost 1.1% and Nasdaq some 0.8%. So it’s obvious, that on the back of low volume, there was huge support on ES near 1073.5pts, that bears had failed to breakout.
I was calling for more dramatic downside move after VWAP breakout and haven’t fixed near 1073.5. All at all, zero for the session.
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