ESM22 Daily Debrief 05/05/2022
Market Overview
Following multiple sessions on the rise, the stock market came crashing down today. Every index fell greater than 3%, with the Nasdaq tumbling almost 5%.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +0.38%
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. At today’s close, the month of May was still green but at the time of this writing, the month is now down.
Weekly Change: +0.38%
ES is looking to break a 4-week losing streak. ES is OTFD for three weeks at the moment. 4303.5 needs to be passed to the upside to end OTFD. Today’s fall pulled ES further away from the target. At today’s close, the week was still green but at the time of this writing, the week is now down.
Daily Change: -3.54%
Three straight days of gains for ES were all erased with today’s dive. OTFU ended as the 4142.75 level was broken. ES closed in the lower end of last week’s 5-day balance zone. It got below 4200 but the order flow provided no continuation to erase Monday’s LOD.
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 (5 days)
ETH VAH: 4190.5
ETH VPOC: 4150
ETH VAL: 4107
ES RTH Volume Profile (today)
RTH VAH: 4171
RTH VPOC: 4147
RTH VAL: 4114
Prior Day RTH High and Low
T+2 High (for next RTH session): 4303
T+2 Low (for next RTH session): 4142.75
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:
There were single prints left in today’s RTH session (rectangles). There was also a poor high in Globex.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale’s position was long with plenty of trapped shorts after the Fed’s announcements. The ONO was above yesterday’s value area, but inside its price range. Inventory in Globex was balanced for the Japan open and the following 8 hours. Prior to the London open, supply caused ES to fall beneath VWAP and the PDC. Inventory remained short for the 7 succeeding hours.
ONO: 4289.75
ONH: 4300.75
ONL: 4250.25
ONRange:
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was inside of yesterday’s price range and slightly above the VAH. It was also above the T+2 high. At the opening bell, there was about 10 minutes of balance between short and long traders. After this, supply gradually weighed down on ES. For the next 30 minutes, the market sank as sellers tried to find the bid. The large area of single prints from yesterday got filled and ES fell into the T+2 price range. Supply began to dry up and buyers were found below 4200, at around 4187. Short traders covered in this area and provided some price stability to ES. The final 20 minutes of the US open was pretty balanced. However, supply was gradually absorbing the bids with ES making lower highs on a small time frame.
IBO: 4251
IBH: 4252
IBL: 4182.75
IBRange: 69.25
Remaining Session:
After the US open, the market continued its downtrend for the next 90 minutes. ES sliced completely through the previous day’s value area and the 5-day VPOC. There was a brief short covering rally that was absorbed by inventory. Around noon, ES hit 4114.75. Supply evaporated here and buyers lifted ES higher over the next hour. Heavy supply came back in at 4169, creating a short-term swing high and ending the uptrend. For the next few hours, there was a clear downtrend with lower lows and lower highs. Sellers continued to push the market lower while any bounces were short lived. The buying order flow could not sustain any of the rallies as they were absorbed by inventory en route to new session lows. ES looked below the February low but couldn’t follow through to retest Monday’s LOD. Buyers then drove a 45 point bounce in the final 30 minutes of NY trading.