by Trades with cats » Tue Sep 25, 2018 10:59 am
Different index. ES and SPX are closely related but not always in perfect sync, especially on volume, thus no way for VWAP to be the same. Now the EMA should be closer, especially after a half hour or so of trading so that the Globex hours EMA and the New York Pit hours, now called regular hours, EMAs can syc up.
Important to me is since 10 am every touch of ES VWAP has been met with selling so on paper a trigger happy institutional trader having to sell a lot of contracts without tanking the market. At 9:38 ish market stayed up above VWAP for 4,000 transactions.