S6 · Wall consumed

A wall of 150 lots and more gets eaten while price is on it: the band melts, the aggressive bubbles stack up, price goes through. The size was consumed, not canceled. Price is free up to the next wall, and gamma says whether hedging will push behind it. It is the cleanest breakout on ES, because it leaves a trace: players agreed to pay for the whole wall.

The idea

There are three ways for a wall to disappear: pulled before contact (a decoy, no trade), held (S5), or consumed. The third case is a real breakout. On ES, it takes size, so it is significant. When gamma is negative above (or when there is nothing until the next brake) and the volume profile is thin beyond, the move that follows is fast. You enter after the consumption, never during.