ESM22 Daily Debrief 05/04/2022
Market Overview
In a shock to nobody, the Fed announced that they would be raising interest rates by 50 basis points (0.5%). The last time the Fed has raised rates by a 1/2 point was back in May of 2000. The stock market rallied during Fed Chair Jerome Powell’s press conference discussing the Fed’s plan to curb inflation. Every major index and all 11 sectors were positive today. Much of crypto and bond futures joined the action in green as well.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +4.06%
Thus far, the lows from the past three months were all erased and May has established the new 2022 low. MoM, ES is OTFD unless the auction can recapture 4588.75 at some point this month.
Weekly Change: +4.06%
ES is looking to break a 4-week losing streak. ES is OTFD for three weeks at the moment (barely). 4303.5 needs to be passed to the upside to end OTFD.
Daily Change: +3.02%
Three straight days of gains for ES. It is currently OTFU, unless 4142.75 can be taken out on the downside. ES is back in the upper end of last week’s 5-day balance zone. 4303.5 has been a level where supply has held strong and put previous rallies to bed.
Unbroken Levels (M, W, D):
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5
Lows: 4055.5, 4029.5, 4029.25, 4021, 4012.5, 3964.5, 3928.75
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile for the past five sessions:
ETH VAH: 4222.50
ETH VPOC: 4150
ETH VAL: 4105.5
ES RTH Volume Profile for today:
RTH VAH: 4243
RTH VPOC: 4170
RTH VAL: 4143.25
Prior Day RTH High and Low (Tomorrow’s T+2):
T+2 High: 4195.75
T+2 Low: 4139
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 daily ETH/RTH Volume Profile:
Here’s a TPO chart of today’s session with ETH/RTH Market Profile:
There were five sets of single prints left on the RTH market profile (see rectangles above).
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 during globex was mostly long. There were moments prior to and during the London open where it corrected underneath VWAP and the PDC, then got long again. Leading up to RTH, it corrected again but failed to get near the ONL.
ONO: 4171.25
ONH: 4191
ONL: 4167.75
ONRange: 23.25
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was inside yesterday’s value area. ES opened above the T+2 high. For the first 20 minutes of the open, ES was very choppy and rangebound. After those 20 minutes, a clear downtrend began to develop as supply got heavier. The auction broke the previous day’s VAL and T+2 high. Short traders continued to push down on the bid and eventually got within 2 ticks of the 5-day composite VPOC. Responsive buyers reacted here and ES got back into the prior day’s value area.
IBO: 4176.5
IBH: 4180.25
IBL: 4150.5
IBRange: 29.75
Remaining Session:
After the US open, supply continued to lean in to slowly move the auction lower. The IBL was erased and shortly after inventory emptied. Long traders gobbled up the offers and hit the ONH to the tick. Sellers were met here and for the next hour the auction balanced inside a 15 point range. At 2pm, when word of the Fed’s 50bps rate increase were released, volatility kicked with violent spikes in both directions. In the midst of this, the HOD was erased and moments later the LOD was tested but there wasn’t enough supply to erase it. Shortly after Fed Chair Powell’s presser began, long traders came and bought every offer. ES rallied 150 points in less than 90 minutes (although the initial 100 points was within 30 minutes).