ESM22 Daily Debrief 05/03/2022
Market Overview
Equities had their 2nd straight green day. Bonds also rose ahead of tomorrow’s much anticipated FOMC statement. The Fed is expected to raise interest rates 0.25-0.5%.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +1.01%
Thus far, the lows from the past three months were all erased and May has established the new 2022 low.
Nearby Highs: 4631, 4588.75, 4195.75 (current)
Nearby Lows: 4056 (current), 4029.5 (May ‘21), 3964.5 (April ‘21)
Weekly Change: +1.01%
Weekly, ES is OTFD for three weeks at the moment.
Nearby Highs: 4588.75, 4509, 4303.5, 4195.75 (current)
Nearby Lows: 4056 (current), 4029.25, 4021, 3928.75
Daily Change: +0.44%
With ES erasing yesterday’s high, it ended the OTFD. It’s now OTFU for the past two sessions.
Nearby Highs: 4393.25, 4303.5, 4279.75, 4195.75 (current)
Nearby Lows: 4056 (current), 4029.25 (5/13/21 LOD), 4021 (4/5/21 LOD), 4012.5 (4/2/21 LOD)
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile for the past five sessions:
ETH VAH: 4230
ETH VPOC: 4150
ETH VAL: 4124
ES RTH Volume Profile for today:
RTH VAH: 4188.5
RTH VPOC: 4170
RTH VAL: 4157
Prior Day RTH High and Low (Tomorrow’s T+2):
T+2 High: 4165.75
T+2 Low: 4056
Here is a chart of the past five sessions with a composite ETH Volume Profile:
Here is a chart of the past five sessions with a daily ETH/RTH Volume Profile:
Here’s a TPO chart of today’s session with ETH/RTH Market Profile:
Single prints were left on the bottom of today’s profile from IB period below 4143.50. The top also had singles above 4193.75. The TPOC was around 4178.75 with 11 time periods spent there.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale’s position was long. The ONO was inside of yesterday’s value area. Inventory in Globex was balanced. ES was long for much of the session, having rose above yesterday’s VAH and HOD momentarily. It corrected and landed around VWAP and back inside value during the London open. Leading up to RTH, inventory briefly got short beneath yesterday’s close. At 4129, the ONL, supply evaporated and buyers carried the auction up towards VWAP and the PDVAH. The entire Globex session occurred above yesterday’s VPOC.
ONO: 4145.5
ONH: 4176
ONL: 4129
ONRange: 47
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was slightly above yesterday’s VAH and inside the T+2 range. The US open was extremely violent and choppy. The first half hour went up and down rapidly within a 25 point range. This time period occurred all inside of the PDHOD and it went back and forth above and below VWAP. The 2nd time period looked above the PDHOD but this breakout failed. After the failure, supply moved the auction back into the first time period’s price range. However, the supply was not heavy enough to erase the initial IBL. Long traders slowly lifted ES and absorbed the shorts on their ascent to end the IB period slightly above the open.
IBO: 4156
IBH: 4168.25
IBL: 4139
IBRange: 29.25
Remaining Session:
The chop continued after the US open. Shorts tried to drive ES back into yesterday’s value area but there was no continuation. Buyers scooped up the offers and raised ES above the IBH and ONH, reaching a new HOD of 4195.75. The long traders ran out of steam in this area in the face of supply and ES balanced in a 25-30 point range below the HOD for the next 3 hours. Eventually, short traders were able to overcome the bid and broke down from this range. Another attempt was made to sink ES into yesterday’s value area but again it was not accepted. Each successive attempt throughout the day to push the auction into the PDVA ended with dried up supply before reaching the previous attempt, thus creating higher lows. The roller coaster continued in the final 90 minutes of NY trading. ES rose, fell and rose again. It created lower highs and higher lows before finishing the 2nd positive day in a row ahead of FOMC tomorrow.