02/06/2023 Synopsis
Equities and bonds slip while US Treasury yields climb higher.
Market Overview
Equity indices all fell led by the Russell to the downside. The Dow held up best losing only 0.10%. Nine S&P sectors finished with losses. Utilities led while technology lagged.
US Treasury yields all had another positive day. The rate on the 2-year note leapt 18.6 bps to 4.48%. The yield on the 10-year note jumped 11.8 bps to 3.64%. Below is a chart with a comparison of the yield on several Treasuries of varying duration.
The US Dollar index $DXY jumped 0.62% to 103.63.
Crude oil futures got back its earlier losses and climbed 0.98% to 74.11.
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 sixth straight week, $ES_F traded above the prior week’s low and is OTFU. $ES_F momentarily rose above the 23.6% Fib level but could not close above it.
D/D: For the 2nd straight session, all of $ES_F’s price action was beneath the prior day’s high. It is OTFD
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: n/a
RTH Excess: 4104 to 4109; 4135.25 to 4136.50
RTH Gap: n/a
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
Wholesale was short at the prior day’s close. The overnight open was 3-ticks beneath Friday’s RTH low. The gap was filled right away but the overnight auction was entirely underneath Friday’s ETH close. Buyers couldn’t lift the offer above 4143. Sellers moved $ES_F 35-handles lower before short covering occurred at 4106.25. Overnight VPOC was 4117, under the prior day’s low.
Regular Trading Hours (RTH) Session:
The RTH open gapped down and was below the prior day’s low and T+2 low. At the open, there was an inventory correction which could not fill the opening gap as buyers couldn’t lift the offer over 4132.25. This resulted in a move down with supply taking the auction down 30-handles. Supply cut off at 4104 where shorts were trapped from February 1st. Their bids held firm as the large set of single prints from that day are still in tact and $ES_F rotated back up. The opening gap was closed several hours later but buyers couldn’t lift the auction higher than 4136.50, 6-ticks above Friday’s RTH low. $ES_F was in balance and rotational for the remainder of the session as it traded inside the IB range.