01/05/2023 Synopsis
ADP employment numbers were better than expected. Stocks sold off turning the S&P 500 back to negative territory YTD.
Market Overview
Equity indexes all fell greater than 1%. The Nasdaq fell the most while the Dow sank the least. Two S&P sectors were positive with energy leading. Real estate slid nearly 3% and was the worst performing sector.
Nearly all US Treasury yields were green. The 3-month gained 3 bps to finish at 4.52%. The 2-year yield popped 10.5 bps to 4.46%. The 10-year yield gave up some of its gains but still finished up 3.4 bps, closing at 3.72%.
The US Dollar index $DXY closed at 105.15, a gain of 0.85%.
Crude oil ended the day at 73.67, a rise of 1.14%.
Here are some of today’s closing prices.
E-mini S&P 500 Top-Down Analysis
📈 Below are the monthly (5-years), weekly (2-years) and daily (6-months) charts for ES.
M/M: Despite falling in December, ES is still OTFU after failing to erase November’s low. ES failed and close beneath the 10-month MA.
W/W: The final week of 2022 was an inside week of ES. It was the third consecutive week closing under the 10-week MA.
D/D: ES has been in balance for 13 straight sessions between 3788.50 and 3934.50.
E-mini S&P 500 Metrics
Recent Performance & Technicals
E-mini S&P 500 Volume/Market Profile
ES Composite Volume Profile (5 days)
📈 Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES ETH/RTH Split Volume Profile (5 days)
📈 Here is a chart of the past five sessions with a daily ETH/RTH split Volume Profile:
ES ETH/RTH Split Market/Volume Profile (today)
📈 Here’s a TPO chart of today’s session with ETH/RTH split Market/Volume Profile:
ES Market/Volume Profile Levels
RTH Weak High/Low: 3853.50 (high)
RTH Single Prints: n/a
RTH Excess: 3822.50 to 3823.50
RTH Gap: n/a
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was long the prior day’s close. The overnight open was inside the prior day’s value area. Inventory was mostly short overnight. There was a rotation above the prior day’s value area but that ultimately failed once supply was met at 3885.50. ES fell 40-handles in the final 2-hours of Globex to new overnight lows @ 3843.75 just prior to the NYSE open. VPOC was 3872.75.
Range: 41.75
Regular Trading Hours (RTH)
US Session:
The RTH open was inside the prior day’s value area and within the T+2 range. ES fell 30-handles, recovered all of it and fell another 20-points in a volatile opening hour. ES oscillated in and out of the overnight low and prior day’s low. Most of the session was contained inside of the opening range. The whole day remained beneath overhead supply at 3853.50, the day’s high set during B-period. The low from A-period, 3823.50, was tested several times and eclipsed by 4-ticks in D-period. There was a bid at 3822.50 as all of the day’s price action remained above this level. ES closed RTH at 3832.75, underneath the prior day’s low.
Range: 31