medium · Volume Profile Analysis auction-market-theory
At 10:30 ET, the cumulative volume for the E-mini S&P 500 is 450,000 contracts. The 20-session average for this specific time is 300,000 contracts.
What is the Relative Volume (RVOL) and its implication?
- RVOL = 150; the market is experiencing a volume shock and should be avoided due to tail risk.
- RVOL = 1.5; the session is likely to be a non-trend day as the high volume suggests a completed auction.
- RVOL = 1.5; institutional participation is elevated, increasing the probability of directional follow-through.
- RVOL = 0.67; the market is likely to remain in a narrow rotation due to lack of participation.
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