01/10/2023 Synopsis
Stocks rebounded as small caps lead the way.
Market Overview
Equity indices rebounded led by the Russell 2000. The Dow Jones lagged gaining 0.56%. Ten S&P sectors were positive with Communications leading. Consumer staples was the lone sector in the red.
US Treasury yields all climbed higher. The 3-month rose 5 bps to 4.56%. The yield on the 2-year note rose 3.9 bps to 4.25%. The 10-year yield leapt 8.5 bps to 3.62%.
The US Dollar index $DXY was up 0.10% to 103.27.
Crude oil gained 0.66% to 75.12.
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: $ES_F ended 4 consecutive weeks of red. It’s also OTFU as for the second straight week, price has failed to trade below the prior week’s low.
D/D: $ES_F broke below the prior day’s low before bouncing back. It closed above the 50-day MA as well as the close from Dec. 16th.
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: n/a
RTH Single Prints: 3937.50 to 3939
RTH Excess: 3897.25 to 3919; 3942.50 to 3943.75
RTH Gap: n/a
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was short at the prior day’s close. The overnight open was inside of the prior day’s value area. Overnight inventory was mostly short in a tight range. $ES_F couldn’t offere above 3915.75 and bid below 3891.50. Price action remained inside of this range with a lack of follow through to either direction. VPOC was 3907.50.
Range: 24.25
Regular Trading Hours (RTH)
US Session:
The NY open gapped down and was below the prior day’s low by several ticks. It was also inside the T+2 range. In the opening hour, there was a lack of supply. $ES_F fell 30-points before rotating up to fill the overnight gap. $ES_F climbed 30-handles to get above VWAP and the overnight high before running into supply. In search of a bid, $ES_F slid nearly 40-points, falling into the overnight range and surpassing the initial balance low momentarily. At 3897.25, sellers could no longer lower the bid and the market rotated back up. It traded inside and slowly climbed the opening range for 7-TPO periods before finally breaking out above. At 3937.50, a responsive seller pushed the auction lower. Buyers around 3922.75 absorbed supply and $ES_F climbed up to new session highs. Buyers took the offer to 3943.75 before backfilling and closing RTH at 3941.25.
Range: 46.50