ESM22 Daily Debrief 04/25/2022
Market Overview
Overnight futures and the morning session continued the declines from last week. In the afternoon, technology companies fueled a rally to push the market into the green to begin the week. This coincided with the announcement that Twitter would be accepting Elon Musk’s buyout offer. Twitter gained 5% on the day and will need to be replaced in the S&P 500.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -5.25%
April is an inside candle with all price action inside of March’s price range.
Nearby Highs: 4631, 4588.75 (current)
Nearby Lows: 4195.25 (current), 4129.5, 4094.5
Weekly Change: +0.60%
Following three straight weeks of losses, this week started off looking like that would continue. A late rally spearheaded by tech turned this around. There have been lower lows for each week in April and this week has already put in a lower low.
Nearby Highs: 4588.75, 4509, 4297.25 (current)
Nearby Lows: 4195.25 (current), 4129.5
Daily Change: +0.60%
ES rallied late this afternoon, however it’s still OTFD for the past 3 sessions. During today’s initial plummet, ES erased daily low from 3/16.
Nearby Highs: 4509, 4393.25, 4296.5 (current)
Nearby Lows: 4195.25 (current), 4129.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile for the past five sessions:
ETH VAH: 4509
ETH VPOC: 4461
ETH VAL: 4291
ES RTH Volume Profile for today:
RTH VAH: 4258
RTH VPOC: 4220
RTH VAL: 4207.50
Prior Day RTH High and Low (Tomorrow’s T+2):
T+2 High: 4380.5
T+2 Low: 4247.5
Here is a chart of the past five sessions with daily ETH/RTH Volume Profile:
Here’s a TPO chart of today’s session with ETH/RTH Market Profile:
Today’s profile had single prints above 4295, between 4282 and 4287.75, and below 4198.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At the previous session’s close, wholesale was extremely short. The ONO was inside Friday’s price range, just beneath the VAL. It was also more than 100 points beneath the T+2 low. Inventory in the overnight session was short. During the London open, there was a brief rally above VWAP and into Friday’s price range. However, this was short lived as supply sank ES back below. Heading into RTH, supply ran out and inventory corrected back above VWAP. The ONH could not be erased on the correction.
ONO: 4259
ONH: 4267.25
ONL: 4218.5
ONRange: 48.75
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The US open was way below the T+2 low and was also below the PDLOD leaving about a 3 point gap (gap down). The first 10 minutes after the opening bell were volatile with a strong push down of about 15 points that took ES beneath VWAP. Then buyers brought the auction back up into the gap but couldn’t quite fill it before the supply overwhelmed demand. The rest of the first half hour, short traders sold ES down and cracked the ONL. Supply ran out about 10 points below the ONL and the market remained balanced inside the 1st and 2nd lower VWAP standard deviations for about 10 minutes. Towards the end of the RTH open, supply ran out before the IBL could be retested. Long traders quickly lifted the auction 40 points (from 4210.25 to 4251.5) and the IB period closed above VWAP. The internals were mixed during IB, with the big 5 mega caps mostly positive but most NYSE internals were negative. The IB period left plenty of excess at the top of the range and some at the bottom also.
IBO: 4244
IBH: 4246.5
IBL: 4207.25
IBRange: 39.25
Remaining Session:
Immediately following the IB period, long traders pushed the auction up higher. The gap from Friday into today’s RTH open was filled and ES peeked into Friday’s price range. The buying wasn’t sustained and the ONH couldn’t be erased. Supply @ 4251.5 overwhelmed the buyers and slowly sank ES. The IBL was erased as the auction momentarily hit a new LOD below 4200 around 90 minutes post-IB. Supply dried up here and longs bid the auction up 20-25 points in a matter of 10 minutes. ES traded in an upwards range for the next 2 hours when long traders suddenly blitzed the offer. Their buying lifted ES through VWAP for a gain of about 50 points in a matter of 60 minutes. The buyers erased the ONH in the process and established a new HOD several times in the final hour of US trading. ES settled down and stabilized in balance prior to settlement.