That's an amazingly good summary chart of the last 10 days of trading in the bonds - thanks Alex!

I have a question. The VAH, VAL and POC that you show on the chart, are they calculated from the most recent trading session? i.e. Friday. The reason that I ask this is that the VAH and VAL appear to be outside the 68% bell curve for Friday... I am only eyeballing this and haven't calculated it.

i think that the high and low va are calculated from all 10 days. if you have a look at the profile across all 10 days then you can see that the va would be around where alex has marked it.

After looking at the chart for a bit longer I think that I have answered my own question. The VAH and VAL mark the whole chart right?

obone - I must have been posting my comment when you posted yours. Yes, I agree with you.