02/08/2023 Synopsis
Equities slide as bonds rise.
Market Overview
Every equity index was down today with the Nasdaq falling the most. Every S&P 500 sector fell. Health care led and communications lagged.
The yields on US Treasury bills all moved higher while notes and bonds went lower. The 2-year yield fell 4.4 bps to 4.43%. The 10-year yield slid 6.4 bps to 3.61%. Below is a chart with a comparison of the yield on several Treasuries of varying duration.
The US Dollar index $DXY gained 0.13% to 103.47.
Crude oil futures climbed 1.72% to 78.47, a 3-day win streak.
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: $ES_F followed up yesterday’s outside / up day with an inside day. All trading remained inside the prior day’s high and low. The past 5 sessions have been in a range from 4098.25 to 4208.50.
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: 4148.25 to 4149.75
RTH Excess: 4121.25 to 4123.5; 4166.50 to 4168
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 above the prior day’s value area but underneath the HOD. Inventory in the overnight session was balanced. It was long at the start of the session but couldn’t get above 4179.25 as the excess from the prior day trapped longs which created overhead supply. When the London session opened up, supply pushed price underneath the prior day’s close. $ES_F remained short the remainder of the overnight session and got into the prior day’s value area. Going into the RTH session, $ES_F was making new overnight lows. Overnight VPOC was 4156, near the overnight lows.
Regular Trading Hours (RTH) Session:
The RTH open was inside the prior day’s value area and above the T+2 high. There was an inventory correction to the upside at the open. At 4168, sellers overwhelmed the bid and they dropped the auction lower. During C-period, $ES_F slipped below the IB range as sellers continued to liquidate. There was no bid to be found until 4123.50, a 45-handle drop from the IB high. Shorts covered and $ES_F slowly crawled up to VWAP over the next few hours. The rally stalled at 4148.25 as there wasn’t enough buying to sustain the upward momentum and keep the auction over VWAP. Supply slowly pressured $ES_F lower over the next few hours until it started making new RTH lows. The RTH session bottomed at 4121.25 where short covering provided some stabilization for $ES_F. The auction bounced about 10-points into the close.