02/01/2023 Synopsis
The Federal Reserve raised the Fed Funds rate by 25 bps and the market continued its rally to start the year.
Market Overview
Equity indices all all climbed with the Fed raising rates by the expected 25 bps. The Nasdaq had the largest gain while the Dow was up only a couple of basis points. For S&P sectors, nine were up with technology leading the way. Energy was the only sector in the red while financials were flat.
US Treasury yields all slid as bonds rose. The 2-year yield lost 9 bps to fall to 4.11%. The 10-year yield fell 9.2 bps and closed at 3.42%. Below is a chart with a comparison of the yield on several Treasuries of varying duration.
The US Dollar index fell beneath a range that it’s been trading in for the past 14-days. It lost 0.90% and ended the day at 101.17.
Crude oil futures had a rough day as it fell 3.12% to 76.41.
Here are some of today’s closing prices.
E-mini S&P 500 Top-Down Analysis
📈 Below are the monthly, weekly, daily and 4-hour charts for $ES_F.
M/M: January was an inside month as all price action was contained inside December’s high and low. The past 3-months have been in balance.
W/W: For the fifth straight week, $ES_F traded above the prior week’s low and is OTFU.
D/D: $ES_F broke out and closed above the 4110 level which had been an area in which rallies had met supply previously. It could be starting a new OTFU streak as it targets the 4175-4180 area, which had been tested and rejected on Sept 13th and Dec. 13th.
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: 4089.75 to 4117.25
RTH Excess: 4048.50 to 4052.75; 4147 to 4163.25
RTH Gap: n/a
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
Wholesale was long at the prior day’s close. The overnight open was inside the prior day’s value area. Inventory during the overnight session was entirely short inside a tight 15-point range. There was a lack of demand to take the offer above 4085.75. Trapped shorts kept the auction above 4071. Overnight VPOC was 4077.
Regular Trading Hours (RTH) Session:
The RTH open was inside of the prior day’s value area. It was also one tick inside the T+2 high. Despite rising above the overnight high momentarily, the opening hour was rotational with no follow through by buyers or sellers. The IB period double topped at 4089.75 and double bottomed at 4073.25. During C-period and the next few hours, supply weighed on demand and $ES_F slid beneath the IB range, finding a bid at 4063. When the Fed announced their 25 bps rate hike, volatility picked up as $ES_F ping ponged in a 35-point range. During Fed Chair Powell’s media commentary, $ES_F continued to sell off before supply ran out at 4048.50, a new low for the session. From there, buyers lifted the auction 115-points during and following Powell’s comments. At 4163.25, supply was met and $ES_F backfilled down to 4126 before buyers came back in. The auction trended up another 20-handles for the remainder of the session.