Vyreon LabsMarket Measurements

Learn the measurements

Unusual Stock Volume: Relative Volume (RVOL) Explained

How to tell if a stock's trading volume is unusual: relative volume compares today's shares traded with the security's own median day, and what it does not tell you.

Reviewed · Sources at the end · How Vyreon measures
Vyreon's per-security reports are not live yet; this page describes what they will measure. Examples are illustrative.

Relative volume (RVOL) shows whether a stock's trading volume is unusual: it compares today's trading volume with a typical day for the same security. A relative volume of 2 means about twice as many shares traded as usual; Vyreon shows that as a log ratio of about +0.69. It answers "is today unusually busy?" better than the raw share count does.

Why Relative Volume Matters

Raw volume varies enormously between securities: millions of shares can be quiet for one and extraordinary for another. Comparing each security with its own normal level makes days comparable.

Unusually high volume has been documented around earnings announcements and index changes (see Sources), and can also accompany news, options expiry or large repositioning. Volume can be unusually low around holidays.

What Relative Volume Does Not Tell You

  • It does not show whether the extra volume was buying or selling.
  • It does not predict what happens next.

How Vyreon Measures It

Vyreon compares the session's reported share volume with the median of the prior 63 sessions, shown as a log ratio: 0 means volume equalled the median, about +0.69 roughly double, and about −0.69 roughly half. Using the median rather than the average keeps a few extreme days from distorting the baseline. Volume is split-adjusted, so a stock split does not look like a surge in trading.

Related: realized volatility · open interest

Sources

  • William H. Beaver, "The Information Content of Annual Earnings Announcements", Journal of Accounting Research (1968): abnormally high trading volume in earnings announcement weeks.
  • Lawrence Harris and Eitan Gurel, "Price and Volume Effects Associated with Changes in the S&P 500 List: New Evidence for the Existence of Price Pressures", Journal of Finance (1986).
  • Jonathan M. Karpoff, "The Relation between Price Changes and Trading Volume: A Survey", Journal of Financial and Quantitative Analysis (1987).

Relative volume is a market convention with no single originator; the median-based log ratio is Vyreon's own definition.