ESM22 Daily Debrief 03/31/2022
Market Overview
The Biden administration announced it would be tapping into the Standard Petroleum Reserve to alleviate the current strain in energy costs, the largest withdrawal in history. Crude oil futures sank as a result. YTD chart is below.
It was a rough day in the markets. The slow theme experienced all week continued for most of the day until the avalanche in the final few hours. The S&P 500 heat map was a sea of red. Many cryptos fell, with the exception of Solana, which leapfrogged Cardano and XRP in market cap.
Futures
S&P 500: 4530.75 (-1.42%)
Nasdaq 100: 14868.75 (-1.35%)
Dow Jones: 34618 (-1.42%)
Russell 2000: 2066.4 (-1.06%)
Crude Oil: 100.28 (-6.99%)
10 Year T-Note: 122’280 (+0.20%)
T-Bond: 150’02 (+0.42%)
Crypto
Bitcoin: 45528.45 (-3.29%)
Ethereum: 3283.08 (-3.06%)
Binance Coin: 429.1 (-2.96%)
Solana: 122.80 (+1.63%)
XRP: 0.81524 (-5.32%)
Interest Rates
US03M: 0.51% (-2.88%)
US02Y: 2.339% (+1.17%)
US05Y: 2.465% (+0.94%)
US10Y: 2.342% (-0.43%)
US30Y: 2.451% (-1.09%)
Stocks (Top 5)
Apple: 174.61 (-1.78%)
Microsoft: 308.31 (-1.77%)
Alphabet: 2781.35 (-2.02%)
Amazon: 3259.95 (-1.99%)
Tesla: 1077.60 (-1.50%)
Top-Down Analysis
Monthly Time Frame: Despite the two-day slide, ES finished March in positive territory, the first month to do so in 2022.
Weekly Time Frame: At the close of today’s session, the week flipped from green to red. The descent late in the day could not find support at last week’s 4539 high. It remains to be seen if there’s enough supply to continue moving ES lower or if the longs are able to step in to finish the week in the green.
Daily Time Frame: After four straight up days, ES closed March with back-to-back downers. Today’s sell-off made sense with ES taking out the T+2 low early in the RTH open. That was something it hadn’t done in awhile.
Performance & Technicals
ES performance over the last 5 days:
ES Volume Profile for today:
ETH VAH: 4606
ETH VPOC: 4579
ETH VAL: 4548
RTH VAH: 4595
RTH VPOC: 4579
RTH VAL: 4545.5
Prior Day RTH Hi and Lo (Tomorrow’s T+2):
PDHi: 4622.5
PDLo: 4574.75
Here is a chart of the past five sessions with ETH Volume Profile:
Here is a chart of the past five sessions with RTH Volume Profile:
Today’s profile was a B-shaped profile with thin volume from 4544 through 4570. The lower D shape generated plenty of volume in a short amount of time. Traders are trapped long and short.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale inventory was short. Yesterday’s session closed below VWAP. Today’s ONO was inside of yesterday’s price range and value area. The open was near the halfway point of the price range. Inventory in the overnight session was balanced. ES’s price action traded down in roughly the same small price box as the previous Globex period. ES got short in the hours leading up to RTH and began to trade below the prior day’s VAL. Retail was trapped both long and short going into IB.
ONO: 4599
ONH: 4614.25
ONL: 4588.5
ONRange: 25.75
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
Going into the RTH open, ES had made a new ONL. There was some responsive buying initially but that was quickly absorbed by supply. ES moved down lower into the T+2 low and hit a couple of ticks lower before that level was defended. Short covering pushed the auction back up to the RTH open during the first half hour. In the 2nd half hour, supply moved the market down under the T+2 low and challenged the prior day's low. ES couldn't quite take out yesterday's low before longs came in with responsive buying. The auction was able to get back up to an area right around the RTH open / T+2 low. There wasn't much volume during the US open and as it has been the case lately, there was plenty of chop.
IBO: 4589.25
IBH: 4591.75
IBL: 4575
IBRange: 16.75
Remaining Session:
In the first half hour after the US open, longs pushed ES back into the prior day’s value area while taking out the IBH. Supply was met @ 4597.25 and ES could not test the ONH. ES gradually trended downward and was able to take out the previous day’s low before it was rangebound for about 90 minutes. Approaching the final hours of RTH, bidders could no longer hold up as supply flushed the auction down in a massive selloff. In about an hour, the auction sank about 57 points into Monday’s value area. Supply shut off at 4526.25. ES closed today’s session just below the weekly open and erased all the gains leading up to today.