ESM22 Daily Debrief 04/11/2022
Market Overview
Equity and bond futures continued bleeding. Crude futures also fell 4% today. The top 5 (Apple through Tesla) all gapped down to begin the day as they each finished with losses greater than 2%. Bitcoin fell below $40k and Ethereum dipped below $3k. The 10-year yield is at it’s highest since Feb 2019 @ 2.7%.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Time Frame: The April candle body has now come down more than 75% of the March candle body. Month-to-month ES is still OTFD (One Time Framing Down). The levels still remain. The February high was 4586 and low was 4101.75. The March high was 4631 and the low was 4129.5.
Weekly Time Frame: This short week got started on the wrong foot and thus far, ES is still OTFD. The 4444.5 and 4415 weekly swing lows were both erased on the downside after today’s losses. 4588.75 was the prior week’s high. The next weekly swing low is 4129.5.
Daily Time Frame: Since hitting a high of 4631 on 3/29, ES continues to trend down. ES has been range bound for the last three sessions. After two trading sessions of trading inside the 4/6 price range, ES broke out of that range today taking out three levels: 4444.5 daily support, 4433 (3/22 low) and 4415 (3/21 weekly low). 4528.75 was the upper range of the channel that formed late last week, but ES was unable to trade above 4500 today.
Performance & Technicals
5-Day Performance
Technicals
ES Volume Profile for today:
ETH VAH: 4457
ETH VPOC: 4428
ETH VAL: 4420.5
ES RTH Market Profile for today:
RTH VAH: 4445.50
RTH POC: 4429.50
RTH VAL: 4421.50
Prior Day RTH High and Low (Tomorrow’s T+2):
T+2 High: 4516
T+2 Low: 4468.75
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:
There’s a NPOC (naked point of control) @ 4500.25 from Friday 04/08 where 9 (30 min periods) were spent. The RTH market profile for today was b-shaped. The ETH volume profile had several high volume areas. In RTH, there’s a gap between 4459.5 and 4468.75.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At Friday’s close, wholesale was short. The ONO was inside of Friday’s price range, value area and above the T+2 low. Inventory in the ON sessions was mostly short. The auction got down below the previous day’s value area. There were two periods, where buyers ran stops to the upside to sell the inventory acquired below VWAP above it. The ONL was several ticks above the 4444.5, which was tested and defended on 4/6 and 4/7.
ONO: 4488.75
ONH: 4491.25
ONL: 4446.25
ONRange: 45
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The IBO was below the previous day’s value area, price range and RTH low, creating a gap. The market internals showed market weakness. During A period, the auction finally broke down below the 4444.5 support level but came back above it. ES tried to get back above VWAP, but failed to hold above it. It traded sideways just above the 4444.5 area before finally breaking below it during B period and testing the 4433 swing low (from 03/22). The IB period was very choppy, trading inside of a channel for most of the US open.
IBO: 4450.5
IBH: 4459.5
IBL: 4433.25
IBRange: 26.25
Here’s a 2-min candle chart for the US open (gray box).
Remaining Session:
Following the IB period, ES broke the 4433 (3/22 low). It remained range-bound for four hours, never trading above 4437.5 or below 4421.
After 2:30pm, ES took a peak above the range and got up to 4439.25. However, the bid could not absorb the supply from this point on and ES tumbled 35 points to a new LOD @ 4403.5. It balanced for the remainder of RTH and closed @ 4409.