Candles & Ticks | Daily Digest 09/30/2022
Core PCE rises M/M and Y/Y. Equities end the quarter, month and week in rough shape. Three indices end September at fresh 2022 lows.
Market Overview
The Fed’s preferred inflation measure rose more than anticipated last month. Core Personal Consumption Expenditures, or PCE, excluding food and energy rose 0.6 in August and 4.9% Y/Y. Equities continue to get pummeled. The S&P and Nasdaq have each fallen for three consecutive quarters for the first time since the Great Financial Crisis. Every S&P sector was down except for real estate XLRE 0.00%↑. Carnival CCL 0.00%↑ fell the most amid poor earnings. Charles River Labs CRL 0.00%↑ highlighted the winners. The 2-year Treasury rose 78 bps on the month, it’s sharpest rise since March. The 10-year T-Note accelerated 63 bps, also fastest since March.
Here are some of Friday’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: For three consecutive weeks, ES is OTFD. The auction failed to trade above the previous week’s high and has traded beneath the prior week’s lows.
D/D: ES failed to take out the prior day’s high, but dipped below the low of the previous day, as well as the low of the balance zone.
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)
ETH VAH: 3701
ETH VPOC: 3650
ETH VAL: 3632
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (Friday)
RTH VAH: 3666
RTH VPOC: 3652
RTH VAL: 3615
Here is a chart of the past five sessions with a daily ETH/RTH split Volume Profile:
ES RTH Market Profile (Friday)
RTH TPOC: 3653.75
RTH Poor Low/High: n/a
RTH Single Prints: n/a
RTH Excess: 3595.25 to 3596.5; 3681.75 to 3684.50
Here’s a TPO chart of Friday’s session with ETH/RTH split Market Profile:
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was short at the prior day’s close. The ONO was inside the prior day’s value area. Inventory in Globex was rotating back and forth beneath and above VWAP. ES spent 61% of the session long. ES couldn’t get beneath the prior day’s VAL, indicating a strong bid that ON trading supply couldn’t overcome. When wholesale distributed to buyers above VWAP, they took the auction above the prior day’s VAH. However, there wasn’t enough follow through to take out the prior day’s HOD. At 8:30am, the PCE figure was announced and ES fell 35-points. The drop couldn’t erase the prior session low, missing it by 2-ticks before recovering slightly. The TPOC for the auction was 3658.75 and VPOC was 3664.75.
ONO: 3656.50
ONH: 3693.75
ONL: 3640.25
Range: 53.5
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the prior day’s value area but below the T+2 low. At the opening bell, sellers overwhelmed the bid and moved ES beneath the ONL. The auction couldn’t quite get down to the prior day’s LOD before the bid appeared and shorts covered. ES bounced 30-points off the 3626.50 low but remained in a choppy 20-handle range near VWAP. As supply continued to dwindle, buyers were able to lift ES above VWAP and over the prior day’s VAH. At 3684.50, it encountered offers and that prevented further advance. ES fell 40-handles before balancing before short covering. When short covering ended, ES continued to drop. Simultaneously the 10-year T-Note future, ZN, began falling while the yield spiked 7bps. ES took out the prior session lows before bottoming at 3595.25. Shorts covered and RTH ended at 3604.25
O: 3644
H: 3684.50
L: 3595.25
Range: 89.25