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
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