Lesson 11
Delta and cumulative delta
Delta counts the aggressor. Each bar's delta is the contracts bought at the offer minus the contracts sold at the bid. Add them up through the day and you get cumulative delta.
In one linePrice shows where the market went. Delta shows who pushed. When the two disagree, pay attention.
What delta measures
- Positive delta: more contracts traded by aggressive buyers lifting offers.
- Negative delta: more traded by aggressive sellers hitting bids.
- Cumulative delta: the running total. It rises when buyers keep pressing, falls when sellers do.
Price makes a higher high at the end, but cumulative delta makes a lower high: the new high came on less aggressive buying. Illustration from simulated prices, not a real session.
Common reads, and their limits
- Divergence. A new price high on weaker delta suggests the push is tiring. It is a warning, not a reversal signal.
- Big delta, little movement. Lots of aggressive buying but price stuck: a passive seller is absorbing it (lesson 12).
- Delta is not intent. A large order can be a hedge or someone getting out. Big prints mostly tell you where the liquidity was.
Key terms
DeltaAggressive buy volume minus aggressive sell volume.
Cumulative deltaDelta added up through the session.
DivergencePrice and cumulative delta disagreeing at a new high or low.
AbsorptionAggression meeting a passive order that does not move.
Try it
At the next new high of the day, compare cumulative delta with its level at the previous high. Note what happened over the following 30 minutes.
AXIS Desk · AMT Fundamentals · free. Education only, not trade advice. Futures trading involves substantial risk of loss; past patterns do not guarantee future results.