ESM22 Daily Debrief 03/23/2022
Market Overview
There was not much green in the stock market today outside of Apple, Tesla, utilities and a couple of energy companies. Equity futures all dropped 1%. Yields fell as bond futures had a rare positive day. Bonds have been falling lately to levels not seen since May of 2019. Crude oil futures also were up 5% at the close.
Futures
ESM22: 4447.50 (-1.28%)
NQM22: 14447 (-1.41%)
YMM22: 34250 (-1.32%)
RTYM22: 2047.4 (-1.68%)
CLM22: 114.93 (+5.18%)
ZNM22: 123’045 (+0.32%)
ZBM22: 149’17 (+0.76%)
Stocks (Top 5)
$AAPL: 170.21 (+0.82%)
$MSFT: 299.49 (-1.50%)
$GOOGL: 2765.51 (-1.14%)
$AMZN: 3268.16 (-0.90%)
$TSLA: 999.11 (+0.52%)
Top-Down Analysis
Monthly Time Frame: On the monthly time-frame, the March candle fell below the February open. March has made a higher low compared to the prior month. However, the swing high from Feb is 4586 which needs to be taken out to create the higher high.
Weekly Time Frame: Today’s drop in ES has turned the week negative. 4585 is still the next swing high from the week of 2/7. On the downside, 4326.75 is the high from the week of 3/7. The auction may find buyers in this area if ES ever gets down there.
Daily Time Frame: ES has erased all gains from the prior day and has fallen below the weekly open. 4433 is the low from the prior day and will be an area of interest if ES retests that level tomorrow. If that gives way, then 4415 is the next swing low on the daily chart.
Performance & Technicals
ES performance over the last 5 days:
ES Volume Profile for today:
VAH: 4489.25
VPOC: 4485.75
VAL: 4461.75
ES Composite Volume Profile for the past week:
VAH: 4510.50
VPOC: 4453.50
VAL: 4419.50
Today’s volume profile filled most of the LVNs from the prior day. Not much volume was traded around 4449.50 to 4460 at the end of the session. This could be an area where some time is spent in tomorrow’s ON session.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, the auction was long. The ONO was inside of the prior day’s price range and value area. The inventory was pretty balanced to start the ON session. However, once London opened inventory began getting short. As this was happening, the price moved from the top of the prior day’s value area to the bottom while breaking through the PDVAL.
ONO: 4504
ONH: 4514
ONL: 4476.5
ONRange: 37.5
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The IB session opened inside of the prior day’s price range and below the value area. The market internals were somewhat mixed. The price action was very choppy and in a tight range relative to the past month. There was responsive action in both directions. However, supply pushed the auction down in the first half hour and beneath the T+2 high @ 4473. This look below ultimately failed as supply shut off @ 4465.25, which was coincidentally close to the 200 DMA. In the 2nd half hour (B-period), shorts covered and moved the auction up about 20 points with size. The VPOC moved up along with it.
IBO: 4477.5
IBH: 4487.75
IBL: 4465.25
IBRange: 22.5
Remaining Session:
After the IB period, ES continued its rise off the 200 DMA. It peeked through the prior day’s VA and got rejected after supply was met @ 4493.75. Shorts then pushed the auction down about 30 points, taking out the LOD and 200 DMA in the process. It consolidated in this area for the remainder of the session while establishing a new LOD @ 4444.75. ES closed a couple of points higher.