ESM22 Daily Debrief 04/27/2022
Market Overview
Equities were mixed today. The Dow and S&P rose up 20 bps. The Nasdaq and Russell each stumbled.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -7.05%
April is an inside candle with all price action inside of March’s price range. The March and Feb lows are an arm’s length away.
Nearby Highs: 4631, 4588.75 (current)
Nearby Lows: 4136.75 (current), 4129.5, 4101.75
Weekly Change: -1.31%
There have been lower lows for each week in April and this week has put in an even lower low. ES is also OTFD the past two weeks.
Nearby Highs: 4588.75, 4509, 4303.5 (current)
Nearby Lows: 4136.75 (current), 4129.5, 4101.75
Daily Change: +0.23%
ES was able to recover a small part of yesterday’s losses. Today was an inside candle.
Nearby Highs: 4393.25, 4303.5, 4236.25 (current)
Nearby Lows: 4149 (current), 4136.75, 4129.5, 4094.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile for the past five sessions:
ETH VAH: 4308
ETH VPOC: 4214
ETH VAL: 4165
ES RTH Volume Profile for today:
RTH VAH: 4228
RTH VPOC: 4214
RTH VAL: 4186
Prior Day RTH High and Low (Tomorrow’s T+2):
T+2 High: 4267.5
T+2 Low: 4136.75
Here is a chart of the past five sessions with daily ETH Composite Volume Profile:
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 4230.75 and below 4165.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale was short. The ONO was inside of yesterday’s price range and below the VAL. Inventory in the ON session was long at the beginning. The market traded up into yesterday’s value area for several hours. At the London open, there was a large correction and the price got down below VWAP momentarily before snapping back up. This was a 35 point drip followed by a 45 point rip. ES traded in balance in this area just below yesterday’s RTH VPOC for about 7 TPO periods. Two hours before the US open, inventory was corrected again and sold down beneath VWAP.
ONO: 4149.5
ONH: 4217.25
ONL: 4149
ONRange: 68.25
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was inside yesterday’s price range and a tick inside the value area. It was also below the T+2 low by 16 points. The market was violently choppy at the open. Long traders fought to raise the auction and grinded to fill the gap between the T+2 low. About 10 minutes into the open, supply dried up and long traders ripped the market up from 4193.25 to 4227.25. They took out the ONH on this move up all in under 10 minutes. For the next 10 minutes, they encountered short traders here and they traded range bound above yesterday’s VPOC. At the onset of the 2nd TPO period, demand waned and supply flushed ES from 4225.25 to 4165. Responsive buyers lifted the auction momentarily before liquidating again and closing the IB period several ticks above the IBL.
IBO: 4179.25
IBH: 4227.25
IBL: 4165
IBRange: 62.25
Remaining Session:
Immediately after the IB period, inventory continued to sell off and establish a new LOD. Supply dried up minutes later and long traders hit the offer. They lifted ES over the next two hours culminating in a new HOD. Here, shorts came in to break the uptrend and ES traded rangebound above 4200 and below yesterday’s VAH over the next few hours. In the final hour of US trading, supply sank ES below 4200 and it traded the remainder of RTH in a 30 point range underneath.