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.