medium · Order Flow Analysis absorption-exhaustion-imbalance
In the ZN market, you see a stacked buying imbalance with 500 contracts per level. In the ZC (Corn) market, you see the same 500 contracts per level.
Why is the ZC signal much more significant?
- Corn futures carry a somewhat higher tick value than Treasuries, making each contract more significant to institutions.
- Corn is a physical commodity, so its imbalances reflect 'real' underlying demand versus the 'paper' demand of Treasuries.
- 500 contracts is $3--5x the normal volume for Corn, but it is considered negligible noise in the high-volume Treasury market.
- Treasury futures are heavily influenced by Federal Reserve policy and open-market operations, making their imbalances unreliable.
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