Nanex Research

Nanex ~ 15-Nov-2012 ~ Real Liquidity

Update: The 1345 level in the December 2012 ES Contract (eMini) held for the rest of the trading session: 3 additional charts added for the same day, and 2 charts for the next morning.

1. December 2012 ES contract (eMini) showing depth of book.
Note how the depth at 1345.00 gets deeper as the price approaches. Usually depth dries up when the price approaches.

2. 20 Minutes Later

3. Prices comes back to test 1 hour before close

4. One final test, then price rallies to close.

5. Next morning (November 16, 2012), another test of 1345.00. This time liquidity backs off (disappears, color goes from red to yellow).
Liquidity behaves opposite from the previous day.

6. Finally, price breaks through with an immediate sale of approximately 4,000 contracts.

Nanex Research