VWAP bands shown above in the /ES futures.
As you can see, things went parabolic in the final minutes of trading for reasons not known. Maybe it was Batman? Nearly a 20 point departure from the volume weighted average price (blue line) in the final 15 minutes and right after the closing bell when the /ES futures spiked to 927.75 (the cash index closed at 919.14). Unfortunately the chart I used is showing closing prices for each bar, therefore the intrabar highs are not shown. I'm not going to redo the chart now :) VWAP was declining for most of the day with the bands tightening slightly before the rocket boosters took prices into orbit.
I've updated the chart in the previous post to highlight some ginormous trades made in the final 10 minutes. Perhaps a forced liquidation with 10 minutes to go, on a Friday, on the last trading day of the month? Stop Loss takedown? Bernanke opened account at E-trade?
