Profile — Where the Session Happened, by Price

Every other volume view on this chart aggregates by time; this aggregates by PRICE. The session's futures bars are bucketed into 25-point bands on NIFTY and 50 on SENSEX, and that one distribution is then weighted two ways. Weighted by volume, the peak is the price the most contracts changed hands at -- where the business was done. Weighted by time, with every half-hour period counting once against every bucket it touched however much traded in it, the peak is the price the session lingered at -- where it was comfortable. The value area is the tightest band holding 70% of the session, built outward from the time peak. This was two indicators, Volume Profile and Market Profile, and the read was never either one alone: it is the GAP between the two peaks. Volume above time means buyers were paying up into a level the session never settled at, which is absorption rather than acceptance; volume below time means sellers were hit into value. Getting that meant switching both on and subtracting in your head. Both weightings also now read the same bars -- the futures contract -- where Market Profile used to count periods off the index candles while Volume Profile counted contracts off the futures, two series that trade several points apart on carry, so part of the gap between them was the basis rather than anything the market did.