The midday lull, the 2:30 pm handover and the 3:30 pm open

11:30 am to 2:30 pm: the lull

Between the end of the European window and the first US numbers, the DAX enters its lull. The range contracts, often to under 40 points over three hours, volume falls to a third of what it was at 9:30, and the book fills with execution algos working their VWAPs in small slices.

The trap of this window is that it looks like a readable market. The heatmap bands are clean, because nobody tests them. Footprint imbalances light up, because with little volume a handful of contracts is enough to make a ratio. Signals multiply, and none has follow-through.

At 1 pm, the Xetra intraday auction makes a one or two minute volume spike on the cash market. The auction price is a reference, sometimes a reaction level in the afternoon, rarely a trigger. It is also, on the third Friday of maturity months, the auction that sets the contract's final settlement (module 6).