Every three years, when the BIS releases its new foreign-exchange market survey, the WSJ Dollar Index will be reweighted using the bank's latest trading volume figures, making it a dynamic index that evolves with the constantly changing market.
Option volume on the CBOE Volatility Index (VIX) once again reversed sharply on Thursday.
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And with the mortgage volume confirming the Housing Market Index, it seems buyers and sellers agree that this market will grow.
Option volume on the CBOE Volatility Index (VIX) grew increasingly call heavy on Monday, as speculation for continued market weakness grew.
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The Retail Sales Index showed the volume of sales also grew by 0.9% in the quarter and by 1.1% over the year.
While overall options activity remains in a somewhat predicable trend, volume on the CBOE Volatility Index (VIX) has been quite erratic during the past several sessions.
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These data are available through a site called Google Trends, which allows anyone who cares to do so to download an index of the aggregate volume of searches for particular terms or categories.
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Call volume was blistering on the CBOE Volatility Index (VIX) on Wednesday, as traders appeared to grudgingly accept that stocks were likely to continue higher.
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Finally, put volume also spiked on the CBOE Market Volatility Index ( VIX) on Thursday.
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The three month average trading volume for the iShares FTSE NAREIT Mortgage Plus Capped Index Fund (REM) is 67, 000 shares per day, but a look at the one month average daily volume shows a 45% increase in volume to 97, 000 shares per day.
The index makes a significant price gain in heavier volume than the previous session.
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An index value of 100 is equal to the application volume on March 16, 1990, the first week the MBA tracked application volumes.
The iShares Dow Jones U.S. Broker-Dealers Index Fund (IAI) is seeing unusually high volume in afternoon trading Wednesday, with over 258, 000 shares traded versus three month average volume of about 86, 000.
The index is proportionally weighted based on foreign-exchange trading volume data from the Bank for International Settlements' triennial central-bank survey on global foreign-exchange market activity.
Volume has been light in the up-move and yesterday the index rallied late to post a marginal gain, but today is the first sign of some real anxiety across the pond.
For a long time now we have struggled to cope with the sheer volume of responses we get to debates on the Have Your Say index - around 10, 000 e-mails a day.
For example, the ICE Dollar Index isn't regularly reweighted based on changes in trading volume.
The recent increase in volume is accompanied by an explosion in volatility: The CBOE Nasdaq Volatility Index, reflecting short-term expectations of volatility in the Nasdaq 100 Index, surged to 80 from 20 or so between mid-2006 and October of last year.
The Dow Jones Transportation Average has been a market leader since the 2009 lows, but the index gave up that leadership in May when the weekly on-balance volume (OBV) formed a negative divergence.
For example, after a new rally in the market begins, we look for confirmation of strength and institutional participation in the form of a follow through day (FTD): a day where a major index is up at least 1.7% in price with higher volume than the previous day.
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Remember that VIX calls and index puts are both often utilized as hedges against market weakness, and that a rise volume for both could be a sign that institutional traders are growing more bullish.
Mann also noted that ETF market makers are participating in equity markets freshly rebuilt on volume-based incentives, not exactly the kind of bait that would attract long-term holders in passive index investments.
An increase in trading volume was to be expected, as Pegasus shares got wider scrutiny and as they were added to the Russell 2000 index.
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