ESM22 Daily Debrief 04/06/2022
Market Overview
Equity futures tumbled for a second straight day. They were joined by bond futures and crude oil after the FOMC meeting minutes from last month were released. The S&P 500 sectors were mixed as seen below with utilities, real estate and health care rising the most. Consumer discretionary and tech were the opposite. Bitcoin and Ethereum also fell more than 1%.
Here’s the S&P 500 heat map. The big 5 all gapped down on their daily charts.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Time Frame: Here are the highs and lows of the past two months, which are currently OTFU. The February high was 4586 and low was 4101.75. The March high was 4631 and the low was 4129.5. Today’s losses put ES further below the prior month’s closing price.
Weekly Time Frame: ES could not defend 4501.25 in order to continue OTFU for a fourth week. That ended today as that level was erased during the ON session. The low of 4415 from the week of 3/21 is the next swing low underneath.
Daily Time Frame: Since hitting a high of 4631 on 3/29, ES is trending down on the daily chart. If longs can’t lift ES above 4528.75, ES will be OTFD. Today’s session brought ES below 4490, and down below 4446 by a few points. The 20-period Fib 68.7 (4442.67) area held up to the challenge today. If supply can break this level, the next swing lows are 4433, 4415 and 4364.5
Performance & Technicals
5-Day Performance
Technicals
ES Volume Profile for today:
ETH VAH: 4480.25
ETH VPOC: 4475.25
ETH VAL: 4457.25
ES RTH Market Profile for today:
RTH VAH: 4479.5
RTH VPOC: 4466.5
RTH VAL: 4456.5
Prior Day RTH High and Low (Tomorrow’s T+2):
T+2 High: 4588.75
T+2 Low: 4507.75
Here is a chart of the past five sessions with ETH Volume Profile:
Here is a chart of the past five sessions with ETH/RTH Market Profile and Volume Profile:
Today’s profile showed excess underneath 4453.75 down to 4444.50. On the upside, there’s excess from 4495.25 to 4499.5. There’s also a NPOC above @ 4548.25 from 04/05 RTH.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
Globex had a slight uptick in volume compared to prior sessions. The ON price range was also double the typical ON range of late. At yesterday’s close, wholesale was positioned short. The ONO was inside of the previous day’s price range and below the value area. It was also below the T+2 low. Inventory in the ON session was ranging for the first few hours. During the London open, inventory got short as sellers moved ES down from the ONH. For the next few hours, the auction sank about 50 points, erasing the 4501.25 level and ending OTFU on the weekly time frame.
ONO: 4526.25
ONH: 4528.75
ONL: 4473
ONRange: 55.75
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH opened below yesterday’s RTH price range, creating a gap between 4507.75 and 4477.75. The IBO was also below the T+2 low. At the open, responsive buyers pushed ES up but couldn’t get above VWAP, creating a swing high @ 4485.25. Inventory then pushed and grinded the auction lower, taking out the ONL. The ETH volume profile during IB was shaping into a b-profile, indicating supply liquidation. After the IBL was hit, responsive buyers kept the auction in a range several points higher for the last 20 minutes of IB.
IBO: 4477.75
IBH: 4485.25
IBL: 4454.50
IBRange: 30.75
Remaining Session:
For the first three hours after the US open, ES continued to trade in a range above 4455 with an upper bound around 4474. ES broke out of the top end of the range and back in shortly before the 2pm FOMC minutes release. At 2pm EST, when the Fed FOMC minutes were released, ES popped 25 points. This rally didn’t hold up as it swiftly erased these gains and dropped another 25 points to new session lows. Supply ran out here, roughly 8 ticks away from the 20-period Fib 61.8 level (4442.67), as shorts covered. Like a trampoline, this area provided ES with a big bounce of greater than 50 points. ES continued the sine wave pattern as it reached 4499.5 and inventory toppled ES 30 points again. At 4463, it bounced another 25 points before it lost half of that move and went sideways for the remainder of RTH. Below was the price action of ES after FOMC minutes were released.
Links
On this week's episode of WAYT, they discuss Elon/Twitter, Softbank, housing stocks, crypto, etc.