medium · Order Flow Analysis absorption-exhaustion-imbalance
A 10-Year Treasury (ZN) footprint shows a stacked buying imbalance of 500 lots per level. Standard single-level volume for ZN is 2,500 contracts.
How should an institutional trader evaluate this signal?
- Divergent signal; the low volume paired with a high ratio suggests a 'stop run' is occurring.
- Extreme signal; a print of 500 lots qualifies as a 'Large Print' in the context of interest rate futures trading.
- Standard signal; ZN is such a liquid market that any stacked imbalance printed there must automatically be institutional.
- Weak signal; the absolute volume is too low to represent genuine institutional conviction in such a deep market.
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