02/22/2023 Synopsis
Equities were mixed as bonds tick higher. The FOMC meeting minutes revealed that the Fed does intend to keep interest rates elevated for longer.
Market Overview
Equities were gridlocked and ended mixed. The S&P and Dow both fell while the Nasdaq and Russell rose. Only three S&P sectors were up on the day. Materials led and real estate lagged.
US Treasury yields were also mixed. The 2-year rate lost 3 bps to fall to 4.69%. The 10-year yield fell 3.7 bps to end up at 3.91%. Below is a chart with a comparison of the yield on several Treasuries of varying duration.
The US Dollar index $DXY climbed 0.38% to 104.49.
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: $ES_F failed to trade above the prior week’s high for the second week in a row.
D/D: $ES_F traded beneath the prior day’s high for the 3rd straight session and continues to 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: 3983.75 to 3986.25; 4022.75 to 4025
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 inside of the prior day’s value area. Inventory during the overnight was balanced and rotated above and below the prior day’s close. All of the overnight price action was below the weekly VWAP and prior day’s VAH. There was trapped long supply hit at 4020.75. Supply was able to push the auction beneath the prior day’s low but trapped short buyers were met at 3995.5. Overnight VPOC was 4012 with VWAP at 4009.81.
Regular Trading Hours (RTH) Session:
RTH opened inside the prior day’s value area and below the T+2 low. The IB period began with an initiative move to the upside by buyers. However, they encountered supply at 4018.50 that pushed the auction below the overnight low. After the IB period, shorts continued to push a little lower before hitting a bid at 3990. $ES_F then rotated up 32-handles to get above the overnight high. When the Fed meeting minutes were released at 2pm EST, volatility increased. Supply at 4025 pushed the auction down through the overnight and IB range to hit a new session low of 3983.75. Short covering stabilized $ES_F and resulted in a bounce of 25-handles to close back in the IB range and prior day’s value area.