US futures volume drop-off

[tss42]

Everyone knows the volume in US futures drops off after the morning session, across all markets, usually to pick up on most days at around 2.30-3pm ET. The effect is especially pronounced during summer moths, when on some days even the afternoon sessions have very little volume.

But why does this happen?

I find it hard to believe that all the large intra-day players and program trading houses need such a long lunch break every single day. It could however be a chicken and egg scenario, i.e. these people don't get involved because the liquidity is not there.

But why does the liquidity disappear in the first place?

 

[Jack Hughes]

The best moves are usually in the first hour or so of the cash open, so why stare at a screen all day if you don't have to?

 

[N Rothschild]

because most volume isnt done by "traders" its done by institutions who position them selves at the open and the close etc. doesnt take a whole day of trading to posistion yourself in the market!

 

[tss42]

If you day-trade ES only and see this kind of complete lack of liquidity as we see now, do you then sit it out, or start looking at other markets?

 

[N Rothschild]

i dont day trade anymore, but i would sit on my hands for the odd day when volatility picks up