Market Profile
A charting methodology that organizes price by time and volume to reveal value areas, balance, and auction theory — the foundation of session classification.
Market Profile (developed by J. Peter Steidlmayer at the CBOT) is a charting technique that organizes price data by time brackets to reveal where the market spends the most time (value area) versus where it merely visits (excess).
Core Market Profile concepts used in SPXXL:
- ●Value Area: The price range where 70% of volume occurred — the market's "fair value" for the session
- ●Point of Control (POC): The single price with the most volume — the session's consensus value
- ●Initial Balance: The first 30-minute range — sets the framework for the day
- ●Profile Shape: Single distribution (Balanced), elongated (Trend), or multi-distribution (Rotation)
SPXXL's session classification system is rooted in Market Profile theory. The six session types map directly to Market Profile day types:
- ●Balanced Day → Normal/Neutral day — price rotates within value area
- ●Trend Day → Trend day — elongated profile with one-directional extension
- ●Expansion Day → Double distribution — wide range with possible rotation
- ●Short Covering Rally → Long liquidation/short covering profile
- ●Liquidity Sweep → Run/rejection profile — probe and reverse
- ●Volatility Compression → Ledge/narrow profile — coiling range
While traditional Market Profile requires hours of observation, SPXXL predicts the profile type pre-market using quantitative signals, giving traders the framework before the session even begins.
Related Terms
The price range established during the first 30 minutes of trading (9:30-10:00 AM ET) — a key reference for the entire session.
A session where price oscillates around a central value area with no directional conviction — the most common session type for SPX.
A session with sustained directional movement from open to close — price trends in one direction with minimal retracement.
SPXXL's proprietary projected closing price range for SPX, computed using session classification, gamma exposure, and intraday momentum.