12/07/2022 Synopsis
Equities were in the red for the 5th straight session as bonds rose.
Market Overview
Equities continued to slip as the S&P, Nasdaq and Russell all finished red on the day. The Dow closed flat. Three S&P sectors managed gains led by health care, gaining +0.82%. Consumer discretionary dropped the most, dropping -0.60%.
US Treasury yields all fell today as there was a bid in the bond market. This was evident as the Vanguard Total Bond Market ETF, BND 0.00%↑ , opened the day with a gap up and closed at its highest level in 3-months. The yield on the 3-month bill fell 5 bps to 4.21%. The 2-year yield slid 10.2 bps to 4.27%. The 10-year rate lost 11.3 bps to 3.42%.
The US Dollar index closed at 105.20, down - 0.34%.
Crude oil fell for the 4th straight day to close at 72.37, down -2.26%.
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 OTFU from October to November. It will have two consecutive green months for the first time since summer 2021. ES also closed November above its 10-month MA for the first time since March.
W/W: For the 4th week in a row, ES failed to trade beneath the low of the prior week as it continues to OTFU. This was also the first week since March that it closed above it’s 40-week MA.
D/D: For the 4th day in a row, ES failed to trade above the previous day’s high. ES is 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: 3924.25 to 3925.50; 3959.25 to 3961.50
RTH Gap: n/a
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was short at the prior day’s close. The overnight open was inside of the previous day’s value area. Inventory in Globex began long/flat then corrected short. There wasn’t enough demand to push ES above the prior day’s value area during the overnight session. When ES got short, the auction fell beneath the previous day’s low until supply exhausted at 3914. ES rotated back up towards VWAP prior to RTH.
Range: 40
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the prior day’s value area and beneath the T+2 low. The opening hour consisted of a 25-point move up, 25-point move down, and a near 30-point move up. The next few time periods followed suit, ricocheting back and forth, but failing to get beneath B-period’s low at 3924.25. On the upside moves, the overnight high was eclipsed and long traders took out the previous day’s VAH by 2-ticks. However, buyers failed to follow through and lift the offer beyond 3961.50. ES remained rangebound between 3925.50 and 3951 for the remainder of RTH. The auction closed short of the previous day’s close, ending RTH at 3934.50.
Range: 37.25