easy · 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; this volume shock signals exhaustion and the session should be avoided due to elevated tail risk.
- RVOL = 1.5; the elevated volume implies a completed auction, so the day is likely to be a non-trend session.
- RVOL = 1.5; institutional participation is elevated, increasing the probability of directional follow-through.
- RVOL = 0.67; below-average participation suggests the market will stay locked in a narrow rotation.
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