Volume Variance Suppression

Volume Variance Suppression Indicator

This indicator measures the variance of traded volume over a rolling window to detect periods of participation compression.

When volume variance falls below a defined threshold, it signals:

Reduced initiative order flow

Dominance of passive liquidity

Market balance / consolidation rather than trend

These suppression phases often precede volatility expansion, failed auctions, or impulsive moves, as liquidity builds and positioning becomes crowded.

The indicator is not directional and should be used as a market state filter, not a standalone signal. It helps distinguish balance vs expansion regimes and improves trade selection by aligning strategies with the current microstructural environment.