ESM22 Daily Debrief 03/29/2022
Market Overview
For the first time since 2019, the yield curve inverted momentarily before turning positive once again. The 2-yr yield hit 2.401%, while the 10-yr sank to 2.389%.
This did nothing to cool equities though as ES rallied about 40 points since the inversion. Here’s the S&P500 heat map showing lots of green.
Futures
ESM22: 4625.50 (+1.26%)
NQM22: 15237.75 (+1.68%)
YMM22: 35190 (+0.97%)
RTYM22: 2130.3 (+2.72%)
CLM22: 104.24 (-1.62%)
ZNM22: 122’105 (+0.51%)
ZBM22: 148’30 (+0.89%)
Crypto
BTCUSD: 47454.19 (+0.66%)
ETHUSD: 3401.71 (+2.02%)
BNBUSD: 434.4 (+0.98%)
XRPUSD: 0.86 (-0.73%)
ADAUSD: 1.19 (+1.80%)
Interest Rates
US02Y: 2.371% (+1.67%)
US10Y: 2.4% (-2.52%)
Stocks (Top 5)
$AAPL: 178.96 (+1.91%)
$MSFT: 315.41 (+1.52%)
$GOOGL: 2850.11 (+0.74%)
$AMZN: 3386.30 (+0.19%)
$TSLA: 1099.57 (+0.71%)
Top-Down Analysis
Monthly Time Frame: In today’s trading session, ES surpassed the February high for the month and closed above it (for the day at least).
Weekly Time Frame: As mentioned above, ES ascended past the highs from the weeks of 01/31 and 02/07. The next target up is the high from the week of 01/17 @ 4671.75. Last week’s high of 4539 might be an area of support if ES finds a big seller.
Daily Time Frame: On the daily time frame, ES continues to OTFU. The 4671.75 upside target last traded on 01/18. The 200 SMA is still above the 50 SMA. However, ES is cruising at nearly 150 points above that 200 SMA. There was about two months of trading done at the current price level and above it (Nov through mid-Jan). ES has corrected below and traded there for about two months (mid-Jan to present) before this current rally back up. Has all that inventory above been liquidated these past two months?
Performance & Technicals
ES performance over the last 5 days:
ES Volume Profile for today:
ETH VAH: 4615.75
ETH VPOC: 4605.75
ETH VAL: 4584.25
RTH VAH: 4628
RTH VPOC: 4624.50
RTH VAL: 4598
Prior Day RTH Hi and Lo (Tomorrow’s T+2):
PDHi: 4572.25
PDLo: 4509.75
Here is an hourly chart of the past five sessions with ETH Volume Profile:
Today’s profile did not have much volume traded below the VAL of 4584.25. The prior day’s profile did not have much volume above 4538. It will be interesting to see if ES has more inventory to be traded in this area.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale was positioned long. The ONO was just inside yesterday’s price range by a few ticks. ES opened well above the prior day’s value area and T+2 high. Overnight inventory was balanced to start and remained so for several hours. As the session wore on, inventory gradually got long. Selling had to be absorbed, but ES was eventually able to take out the February high of 4586. ES ascended to an ONH of 4611.25. It was the first time ES traded above 4600 since the week of 01/17.
ONO: 4570.25
ONH: 4611.25
ONL: 4565.25
ONRange: 46
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was above yesterday’s price range and value area. Initially, longs pushed the market up to a new HOD before encountering supply @ 4623. Shorts overwhelmed the bidders to push ES back down below 4600. VWAP initially provided support for this downward move. However, in the 2nd half hour of the IB period, supply continued to push the auction down and broke VWAP. Supply shut off @ 4581.75 as shorts covered. They pushed the price up as IB closed slightly above VWAP @ 4597.25.
IBO: 4610
IBH: 4623
IBL: 4581.75
IBRange: 41.25
Remaining Session:
After the IB period, ES traded in a 25 point range for about four hours. Price action was choppy, back and forth and ES was unable to test the IBH and IBL. Towards the end of RTH, longs broke through short-term resistance at 4610 and took the auction to a new HOD @ 4631. ES closed RTH several handles lower.