And I think cwa82675's point is (?) that the amount could
actually be a lot bigger if there are several multi-million chunks
from some members. $200 mill or more doesn't seem like a
stretch.
That's the same daily data I found. The question still is, how
does $50-500 mill stack up within the volume of the 5-10-minute
time slot at the end of the day, especially if trading is otherwise
thin.
Looking at 10 min bars for the last number of days it
looks like the 3:50 to 4:00 period trades about 3 to 10 million
shares although I'm sure there could be a wider range on some
days.
Then early buyers/sellers benefit, right?
New SPY system
Posted by sankaty on 29th of Apr 2011 at 01:38 pm
And I think cwa82675's point is (?) that the amount could actually be a lot bigger if there are several multi-million chunks from some members. $200 mill or more doesn't seem like a stretch.
Here is some data on
Posted by riggio913 on 29th of Apr 2011 at 01:41 pm
Here is some data on SPY average volume.
http://www.tradingnewsbulletin.com/2011/04/259/
My chart shows the 50
Posted by bkout3 on 29th of Apr 2011 at 01:58 pm
My chart shows the 50 day avg vol is 177 million. BTW today is only on track to do about half that.
Thanks, bkout
Posted by sankaty on 29th of Apr 2011 at 02:13 pm
That's the same daily data I found. The question still is, how does $50-500 mill stack up within the volume of the 5-10-minute time slot at the end of the day, especially if trading is otherwise thin.
Looking at 10 min bars
Posted by bkout3 on 29th of Apr 2011 at 03:14 pm
Looking at 10 min bars for the last number of days it looks like the 3:50 to 4:00 period trades about 3 to 10 million shares although I'm sure there could be a wider range on some days.
if you don't trade futures alot
Posted by zach06 on 29th of Apr 2011 at 03:15 pm
stay away from the last 10 minutes..you will get burned!