There volume profile shows the number of trades executed at each level. There are two types of profile available.
Consolidated Profile
This profile shows total number of contracts traded at each level. It will also highlight the Value Area, Session VWAP and POC. Depth & Sales will populate the Consolidated Volume Profile at startup. This will be done based on the Session you select when you load the Depth & Sales.
In this case, the session template is “CME Indices” which is the extended session including the overnight Globex session. With this session template in use the volume profile will be populated based on the trades since 16:15 the previous evening and it will refresh on the cash open.
The Volume Profile can be set to highlight the Value Area, POC and VWAP of the profile, Last Traded Quantity and also you can Apply LTQ Color Setting. Simply check the box to enable the highlighting of each item:
Opening Range - This feature will highlight the Opening Range for the selected time interval. The Opening Range refers to the high and low for a selected time interval after the market opens. Please note that the Opening Range is based on the Session you select when you load the Depth & Sales.