03/14/2023 Synopsis
CPI rose 0.4% M/M and 6% Y/Y, in line with market expectations, lifting equities and rates.
Market Overview
The S&P 500 was up in today’s session. 11/11 sectors were positive.
Outperforming Index: 🟢 Nasdaq 100 QQQ 0.00%↑
Underperforming Index: 🔴 Dow Jones DIA 0.00%↑
Strongest Sector: 🟢 Communications XLC 0.00%↑
Weakest Sector: 🔴 Health Care XLV 0.00%↑
Top Stock: 🟢 First Republic Bank FRC 0.00%↑
Poorest Stock: 🔴 United Airlines UAL 0.00%↑
The US Dollar index was steady.
$DXY: 🟡 103.67 (+0.05%)
US Treasury yields advanced.
2-year: 🟢 4.25% (+27.6 bps)
10-year: 🟢 3.69% (+12 bps)
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.
Monthly: Balance / consolidation. [Last 3-months: 3814.5 - 4208.5].
Weekly: Outside down week.
Daily: OTFD ended and now in balance. [Last 3-days: 3839.25 - 3978.25]
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 Market/Volume Profile Levels
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
Wholesale was short at the prior day’s close. The overnight open was inside the prior day’s value area. Inventory during the overnight session was long. It was rangebound for most of the Asian and London sessions. Then supply slowly shut off and buyers began lifting price heading into the 8:30am CPI print. When the figures came out, $ES_F continued to climb after the initial volatility. Trapped shorts were underneath 3885 and provided support. $ES_F was making new overnight highs and eclipsed the prior day’s high right before the NYSE open. Overnight VPOC was 3899.75.
Regular Trading Hours (RTH) Session:
The RTH open was above the prior day’s price range and inside the T+2 range. There was a gap up between the previous day’s RTH range and the RTH open. $ES_F was OTFU for the first three TPO-periods. In D-period, $ES_F ran into trapped longs at 3972.50. Demand weakened and $ES_F fell beneath VWAP and back into the overnight and previous day’s range. At 3905.50, after a near 70-point drop, supply ran out and couldn’t take out the bid. $ES_F rotated up on strong short covering for a 50-point rally. The NYSE close and ETH close were nearly inline and both above the prior day’s high.