Thank you. A few years ago I built a potential trading model using delta. One thing I noticed: within a window of time, delta might appear low, or relatively flat. But that was because relatively less absolute volume traded in that window of time. But, if you looked at delta as a percentage of volume traded, you saw that the seemingly benign delta actually could have significance. Something to keep in mind: delta as a percentage of volume traded across a period of time.
Another interesting thing to look at, but not related to delta, is retrospective Open Interest context... what kind of day was it, and did it behave as traditionally anticipated on the close? Calculate the daily change in Open Interest as a percentage of volume traded that day. It is usually between 2 and 6% (depending on symbol I suppose). But some rare days it can be 15-25%. This supports the contention from Mr OF that 95% of volume most days is daytrade volume. In retrospect after the close, perhaps it is possible to evaluate if the unexpected absence of an anticipated activity MoC was due to the fact that OI changed a lot that session, and not as many positions were flattened MoC. [Obviously you have to ignore the days around rollover, where OI changes by a huge amount as a percentage of volume.] Change in OI /V is also reliably mean reverting, which is also quite helpful in predicting what type of day might follow.
Great video! Could you please do a video on how to use delta and price action to trail stop loss and take profit higher so we don't have to close trades at a set RR.
This are haiken ashi candle on price chart? And I have question about delta on news. I see this week and last week on news on gold price go up but delta was crazy down and the next day on Asia session price go down. My qestion is do you consider last day delta?
I only take into consideration the previous day's delta when it is a very one-sided day. As discussed, the majority of positions are closed on the same day. Yes, it is haiken ashi candles on the examples :)
@@MrOrderFlowOfficial Something i've seen (just my observation), its much harder to spot price-delta divergence on higher time frames, as compared to lower time frames. For example, i use 16 tick and 3 tick range charts on MNQ and 3t charts exhibit price-delta divergence every few hundred candles. However 16t moves pretty much lock step with delta, showing divergence maybe every few 10's of candles. Absorption candles do show up on 16t pretty often.
Great Video. If 95% of positions need to be closed by the end of the session, but each trade requires a buyer AND a seller, doesnt that mean that when one position is closed another is opened by the other side of the trade? Or does it somehow magically line up that both sides are getting out of their position in the one trade?
Good question.... you have market orders that are carried out to get into positions, this can fill the other side on a passive order to either get out of a trade or get filled in a new position. Stop orders are also market orders, which require liquidity on the other side, otherwise, you get slipped (why there is always slippage at tier 1 data points, as the book is thin). Large firms do carry trades overnight, this is called open interest and you can find what the net long/short exposure is in a COT report (which is public information) In a live environment, there is a constant transferring of wealth, someone has to take the other side of a position, and ultimately someone either wins or loses. You need to also realize that market-making firms are hedging exposure in options, so if they fill you for a large position, if that position exposes their book to risk, they hedge it back to parity. Everyone, big and small is managing risk with their own bias being net long or short
@@MrOrderFlowOfficial CME only publishes open interest at EOD right? And not intraday? All Crypto firms publish an intraday (per-candle) open interest. This is such a crucial piece of info IMO which CME is not giving us :( :( Imagine, we could see where delta increases with increasing OI (new positions), or delta increasing and decreasing OI (stops hit / profit taking)
Instead of keeping the videos short, I'd recommend go longer and please include real execution examples if you can. Those who are here to learn, would really appreciate your end to end thinking. Others will probably drop off at 5 minute mark anyways lol 😊
Thank you for the feedback, I will do so, and I will need to do a review of the live streams to gather fantastic examples to map it all together. There are hours of footage of the live streams, and what we discussed in this video, plays out daily, but I agree having it all in a spot would be excellent! :)
Best delta video I came across in years , thank you
Glad you found it valuable mate
By far the clearest, most detailed explanation of delta I've seen. Your content is top class Mr Orderflow 👊
Thank you my friend, glad you found it helpful 😃
Thank you.
A few years ago I built a potential trading model using delta. One thing I noticed: within a window of time, delta might appear low, or relatively flat. But that was because relatively less absolute volume traded in that window of time. But, if you looked at delta as a percentage of volume traded, you saw that the seemingly benign delta actually could have significance. Something to keep in mind: delta as a percentage of volume traded across a period of time.
Another interesting thing to look at, but not related to delta, is retrospective Open Interest context... what kind of day was it, and did it behave as traditionally anticipated on the close? Calculate the daily change in Open Interest as a percentage of volume traded that day. It is usually between 2 and 6% (depending on symbol I suppose). But some rare days it can be 15-25%. This supports the contention from Mr OF that 95% of volume most days is daytrade volume. In retrospect after the close, perhaps it is possible to evaluate if the unexpected absence of an anticipated activity MoC was due to the fact that OI changed a lot that session, and not as many positions were flattened MoC. [Obviously you have to ignore the days around rollover, where OI changes by a huge amount as a percentage of volume.]
Change in OI /V is also reliably mean reverting, which is also quite helpful in predicting what type of day might follow.
Agreed, Delta is just one of the tools to give you context! :)
Nice wite ups
........ Ccan you elaborate more on this? @@tradingstuff123
So much valuable informations in this video! The one way train. .. My nemesis 😅
Glad to hear it! it is mine too!!
Thanks 🎉
You're welcome 😊
toprated content. thanks for help dumb money be less dumb
You are very welcome my friend, hopefully it provided you value 😃
Brilliant video again
Thank you, John. Hope got value from it!
Excellent video! Thanks.
You are welcome 🙂
Great one, thanks a lot
You are welcome!
Great video! Could you please do a video on how to use delta and price action to trail stop loss and take profit higher so we don't have to close trades at a set RR.
Something we can definitely work on :)
@@MrOrderFlowOfficial thank you!
This are haiken ashi candle on price chart? And I have question about delta on news. I see this week and last week on news on gold price go up but delta was crazy down and the next day on Asia session price go down. My qestion is do you consider last day delta?
I only take into consideration the previous day's delta when it is a very one-sided day. As discussed, the majority of positions are closed on the same day. Yes, it is haiken ashi candles on the examples :)
@@MrOrderFlowOfficial Something i've seen (just my observation), its much harder to spot price-delta divergence on higher time frames, as compared to lower time frames. For example, i use 16 tick and 3 tick range charts on MNQ and 3t charts exhibit price-delta divergence every few hundred candles. However 16t moves pretty much lock step with delta, showing divergence maybe every few 10's of candles. Absorption candles do show up on 16t pretty often.
Great Video. If 95% of positions need to be closed by the end of the session, but each trade requires a buyer AND a seller, doesnt that mean that when one position is closed another is opened by the other side of the trade? Or does it somehow magically line up that both sides are getting out of their position in the one trade?
Good question.... you have market orders that are carried out to get into positions, this can fill the other side on a passive order to either get out of a trade or get filled in a new position. Stop orders are also market orders, which require liquidity on the other side, otherwise, you get slipped (why there is always slippage at tier 1 data points, as the book is thin). Large firms do carry trades overnight, this is called open interest and you can find what the net long/short exposure is in a COT report (which is public information)
In a live environment, there is a constant transferring of wealth, someone has to take the other side of a position, and ultimately someone either wins or loses. You need to also realize that market-making firms are hedging exposure in options, so if they fill you for a large position, if that position exposes their book to risk, they hedge it back to parity. Everyone, big and small is managing risk with their own bias being net long or short
@@MrOrderFlowOfficial CME only publishes open interest at EOD right? And not intraday? All Crypto firms publish an intraday (per-candle) open interest. This is such a crucial piece of info IMO which CME is not giving us :( :(
Imagine, we could see where delta increases with increasing OI (new positions), or delta increasing and decreasing OI (stops hit / profit taking)
This would be great information to see, and would be an edge in itself!!
Instead of keeping the videos short, I'd recommend go longer and please include real execution examples if you can. Those who are here to learn, would really appreciate your end to end thinking. Others will probably drop off at 5 minute mark anyways lol 😊
Thank you for the feedback, I will do so, and I will need to do a review of the live streams to gather fantastic examples to map it all together. There are hours of footage of the live streams, and what we discussed in this video, plays out daily, but I agree having it all in a spot would be excellent! :)
@@MrOrderFlowOfficial amazing!