ESM22 Daily Debrief 05/06/2022
Market Overview
Despite a jobs report that exceeded expectations, equities tumbled again Friday to close out a bumpy week. The S&P has a five-week drought. The last time it suffered this many weeks of consecutive decline was May of 2011. The Nasdaq endured five straight weekly losses for the first time since 2012.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -0.41%
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: -0.41%
ES extended its weekly losing streak to five. ES is OTFD the past three weeks. 4303 will need to be eclipsed to the upside next week to end OTFD.
Daily Change: -0.78%
Three straight sessions of gains for ES were all erased the past two days. ES is OTFD the past three sessions. ES closed today right near the bottom 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, 4300.75
Lows: 4055.5, 4029.5, 4021, 4012.5, 3964.5, 3941.5, 3933.75, 3928.75
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4182.5
ETH VPOC: 4150
ETH VAL: 4105
ES RTH Volume Profile (today)
RTH VAH: 4135
RTH VPOC: 4120
RTH VAL: 4090
Prior Day RTH High and Low
T+2 High (for next RTH session): 4252
T+2 Low (for next RTH session): 4099.25
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:
The profile from the RTH session had a poor low at 4062 and single prints above 4149.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale’s position was extremely short. The open was inside of yesterday’s value area. Overnight inventory moved up and down in a tight range above and below VWAP. When the NFP / jobs report was announced, there was a quick pop of 30 points, erasing the ONH. This corrected itself 10 minutes later when supply shoved ES back below VWAP. Inventory was mostly short during the Globex session beneath the prior day’s close. Heading into RTH, ES was making lower ONL’s.
ONO: 4146.5
ONH: 4152.5
ONL: 4108
ONRange: 40.75
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was inside of the prior day’s price range. It was also below the T+2 low. The supply was heavy in the first 30 minutes of the open. ES was moved outside of the prior day’s price range in search of bidders. Any stretches of short covering and responsive buying was quickly absorbed and sellers pushed the auction lower. ES got beneath the February low again but the order flow lacked continuation to topple Monday’s LOD / 2022 low. Supply weakened here as buyers hit the offer to stabilize ES. In the first half hour, every market internal was negative. In the second half hour, longs were able to push ES back into the previous day’s range and value area before getting rejected.
IBO: 4116.5
IBH: 4123.25
IBL: 4062
IBRange: 61.25
Remaining Session:
After the US open, there was some volatility and uncertainty in terms of direction and order flow. Ultimately, ES bounced around 4100 before moving below it. However, a lack of supply prevented follow through down to the IBL. Buyers raised ES back up into yesterday’s value area. ES got several points above the 5-day VPOC but the buy order flow weakened against the supply. For the next two hours, ES ping ponged in a 50 point range between the 5-day VPOC and February low. Eventually, ES slipped below the February low and traded in a range underneath it, but still unable to retest Monday’s LOD. With this, long traders forced ES back into the previous day’s value area and ended the US session just inside it.