10/24/2022 Synopsis
Equities jump as last week’s momentum continues. Treasury yields also rise. US business activity slows for 4th straight month.
Market Overview
Every index was up for the day with the Dow edging the S&P in terms of gain. Nine S&P sectors were up as health care XLV 0.00%↑ and consumer staples XLP 0.00%↑ led the way. The S&P index is now 0.4% from its 50-day EMA.
US Treasury yields were up, as well. The 3-month T-bill was the only flop (-3 bps). The 2-year note rose to 4.509% (+0.67%). The 10-year note closed at 4.24% (+0.54%).
The US Dollar index gained 0.11% to end the day at $112.
Events this week:
Here are some of today’s closing prices.
E-mini S&P 500 Top-Down Analysis
📈 Below are the monthly (5-years), weekly (2-years) and daily (6-months) charts for ES.
M/M: ES is OTFD as it failed to take out the prior month’s high and has traded and closed below the prior month’s low.
W/W: Barring a fall below 3590.50, ES will be OTFU. In addition, if ES can close above 3805.44 by week’s end, it will close above its 10-week EMA for the first time since the first week in September.
D/D: ES is OTFU and breaking out of last week’s price range. Ideally, I’d like one more close above it. The 50-day EMA is at 3827.02. ES hasn’t closed above it since September 12th.
E-mini S&P 500 Metrics
Recent History and 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: 3751.75 to 3762.25; 3819 to 3822
RTH Gap: n/a
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was long at the prior day’s close. The overnight open was above the prior day’s value area and inside the high of the day. Inventory in the overnight session was mostly long, 59% of the time. At the Japan open, ES moved above the prior day’s high. The auction jumped 45-points in price but couldn’t get over the 3820 level. Buyers couldn’t take the offer above 3813.25. Over the next few hours, supply pressured ES as it fell back into the prior day’s range and value area. At 3762, shorts encountered buyers and ES found short-term support. During the London open, sellers absorbed the bid and ES broke down and fell nearly 30-handles. At 3736.50, shorts covered, supply shut off and ES reversed. ES rose 70-points to get above VWAP and the prior day’s high again.
📓 Noteworthy: The overnight session traded in a wider range than usual. There were no outside sellers. Offers around the 3820 level were abundant and easily absorbed buyers early in Globex. Bids were present near the top of the 5-day composite value area. When ES moved into this area in search of a bid, it showed up and ES reversed higher outside of the value area.
Range: 76.75
Regular Trading Hours (RTH)
US Session:
The NY open gapped up and was above the prior day’s high and T+2 high. The gap was filled shortly after the opening bell. After selling down to VWAP, buyers took ES up to 3808.75, the +2 standard deviation level. Longs began to fade and the auction corrected down. Sellers pressured ES beneath VWAP, eventually cutting off supply at 3751.75, the -2 standard deviation area. Buyers stepped up and lifted ES slowly above VWAP and the previous day’s high. The rise paused at 3808, the +2 standard deviation level again. Inventory corrected back down but couldn’t fall to VWAP. At 3787.25, longs lifted the offer and were able to eclipse the prior swing high and overnight high heading into the NYSE close. ES encountered responsive sellers at 3822. ES fell slightly and closed RTH at 3805.50.
📓 Noteworthy: ES opened up above the 5-day value area. Responsive sellers pressured the auction but it couldn’t get back into the value area. Initiative buyers lifted ES above the 3820 price level momentarily, which was the previous October high. Most of today’s session was above VWAP. Wholesalers cut supply amid high demand and distributed their inventory.
Range: 70.25
Links
JP Morgan’s President says a recession might be the price to pay to beat inflation.
With earnings season under way, inflation is a main topic. Here’s what CEO’s are saying.
With the cost of borrowing rising, high-yield corporate bond yields are skyrocketing.
S&P survey shows manufacturing and services struggle for the fourth month in a row.