02/27/2023 Synopsis
Equities tick higher as the S&P 500 closes above its 50-day MA.
Market Overview
Equities started the week in positive territory with every major index posting a gain. The Nasdaq had the biggest gain while the Dow rose the least. Seven S&P sectors were green for the day. Consumer discretionary led and utilities lagged.
US Treasury yields all ticked lower. The 2-year fell 3.6 bps to 4.78%. The 10-year dropped 3.1 bps to 3.91%. Below is a chart with a comparison of the yield on several Treasuries of varying duration.
The US Dollar index $DXY shed 0.59% to fall to 104.64.
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 third week in a row and is OTFD.
D/D: $ES_F gave up some of its early gains but still closed green for the day and is in balance.
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: 3978.5 to 3983; 4020.5 to 4024.75
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 a few ticks inside the prior day’s value area. A trapped short bid kept the auction above 3973. As a result, inventory was long over Friday’s close for most of the overnight session. When the London session opened, buyers lifted $ES_F to new highs for the session above the prior day’s high. $ES_F consolidated just below 4000 for several hours. On the heels of the 8:30am durable goods order data, $ES_F climbed 20-handles and busted through the 4000 level to an overnight high of 4014.5. Overnight VPOC was 3994.25
Regular Trading Hours (RTH) Session:
The RTH open gapped up and was above the prior day’s high but inside the T+2 range. In the IB period, the auction climbed above the overnight high but couldn’t lift the offer above 4024.75. Trapped long supply moved the auction lower. After the opening hour, $ES_F fell below VWAP and the IB low. It trended lower and traded underneath VWAP for most of the session. After a failed attempt to get over VWAP, supply over 4006.50, sold off and $ES_F closed the gap with the prior day. At 3978.50, supply ran out and short covering stabilized the auction into the close.