Nanex ~ 11-Dec-2012 ~ eMini Book Deepens
Our eMini Depth of Book indicator has proven to be an excellent early warning signal for extreme intraday volatility. It is based on the number of orders resting in the nearest 10 levels of depth for the active Electronic S&P 500 Futures Contract (symbol ES), also referred to as the "eMini". On December 11, 2012, the average of these 10 levels began edging towards higher levels not seen for 19 months.
The following chart shows the total number of contracts for all 10 depth of book levels averaged over each minute of the day between January 2011 (dark purple) and December 11, 2012 (bright red). Older days colored towards the violet end of the spectrum, while more recent days colored towards the red end.
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