02/03/2023 Synopsis
January's nonfarm payrolls accelerated more than anticipated and the unemployment rate ticked down. Equities fell and yields climbed.
Market Overview
Every major equity index fell along with the VIX. The Nasdaq and S&P gave up their earlier gains and had the steepest declines. The Dow had the shallowest fall at -0.38%. Every S&P index was down on the day. Financials, -0.19%, led while consumer discretionary lagged, -3.08%.
US Treasury yields had a big day. The 2-year rate jumped 18.5 bps to 4.29%. The 10-year yield climbed 13.1 bps to 3.53%. Below is a chart with a comparison of the yield on several Treasuries of varying duration.
The US Dollar index $DXY gained 1.23% to 102.99.
Crude oil slid 3.28% down to 73.39.
Events this week:
Here are some of Friday’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 sixth straight week, $ES_F traded above the prior week’s low and is OTFU.
D/D: $ES_F closed back below the 23.6% Fib retracement level and broke the string of OTFU by trading beneath Thursday’s low.
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 (Friday)
📈 Here’s a TPO chart of Friday’s session with ETH/RTH split Market/Volume Profile:
ES Market/Volume Profile Levels
RTH Weak High/Low: n/a
RTH Single Prints: n/a
RTH Excess: 4135 to 4139.25; 4191.75 to 4194
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 balanced and rotated inside a tight range. When the NFP data was released at 8:30am, buyers disappeared and sellers sent the auction down 40-handles. This took $ES_F below the prior day’s low where supply shut off at 4132.5 and shorts covered. Overnight VPOC was 4137.
Regular Trading Hours (RTH) Session:
The RTH open gapped down and was beneath the prior day’s low, but inside the T+2 range. Short covering was present in the opening hour / IB-period and able to absorb supply. The opening gap was closed in A-period where supply at 4169 caused a 20-handle backfill. Once the supply was absorbed, buyers lifted the auction above the overnight high. After the IB-period, $ES_F continued to rise but hit supply near the prior day’s VAH / VPOC. Buyers failed to take out the offer at 4194 and $ES_F consolidated in 20-point range before trapped long liquidation kicked in during G-period. The auction slid 60-handles and landed back underneath the prior day’s low. At 4135, several points above the overnight low, short covering stabilized $ES_F in to the close.