02/28/2023 Synopsis
Equity indices retreat as bond yields advance.
Market Overview
Equities were choppy and 3/4 of the major indices retreated. The Russell was nearly flat but outperformed while the Dow underperformed. Four S&P sectors advanced. Materials was the best-performer while utilities was the worst-performer of the sectors.
US Treasury yields were mixed. The 2-year continues to climb higher as it increased 3.6 bps to 4.82%. The 10-year is consolidating and showed little movement, up 0.8 bps to 3.92%. Below is a chart with a comparison of the yield on several Treasuries of varying duration.
The US Dollar index $DXY jumped 0.30% to 104.95.
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 has been rangebound between 3947.5 and 4034.25 for the past five trading sessions.
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: 3971 to 3972; 3974 to 3975
RTH Excess: 3965 to 3967; 4003 to 4003.5
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. Overnight inventory rotated in a 32-point range. Just prior to the London session open, supply began to sell off and $ES_F fell beneath yesterday’s low. Supply ran out at 3972.25 in the face of trapped shorts. The market then rotated up on short covering. At 4003.75, there was trapped long supply and a weak high was put in as buyers could no longer lift the offer. Inventory sold off 20-handles going into RTH. Overnight VPOC was 3991.75.
Regular Trading Hours (RTH) Session:
RTH opened a few ticks beneath yesterday’s value are and just inside the T+2 high. The opening hour featured inventory rotations in a near 20-point range. Supply couldn’t quite take out trapped short buyers underneath 3975, just shy of -2 standard deviations. After the IB period, buyers slowly moved the auction up on little supply. However, trapped long offers at 4003.50, 1-tick below the overnight weak high, absorbed demand. $ES_F tumbled from +2 standard deviations down to almost -3 standard deviations, or 40-handles. At 3965, after the closing bell, shorts covered and $ES_F stabilized in the final hour of ETH.