ESM22 Daily Debrief 05/09/2022
Market Overview
Risk assets continued their slide. The S&P, Nasdaq and Russell all shed more than 3% on the day. The S&P is now down 17% from the high it set in early January. Amazon, Google and Microsoft all fell to their lowest prices of 2022. Bitcoin slipped underneath $30k for the first time since last August.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -3.39%
Thus far, the lows from the past three months were all erased and May has established new 2022 lows. MoM, ES is OTFD unless the auction can recapture 4588.75 at some point this month.
Weekly Change: -3.20%
Last week, ES extended its weekly losing streak to five. ES is OTFD the past three weeks. 4303 will need to be eclipsed to the upside this week to end OTFD.
Daily Change: -3.20%
ES is OTFD the past four sessions. ES wiped out several lower levels today and peeked below 4000. Today’s move erased 5 weekly and daily low levels, many which haven’t been seen in 12 months.
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, 3941.5, 3933.75, 3928.75, 3900.75, 3843.25
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4193.5
ETH VPOC: 4150
ETH VAL: 4056.5
ES RTH Volume Profile (today)
RTH VAH: 4045
RTH VPOC: 4010
RTH VAL: 3994
Prior Day RTH High and Low
T+2 High (for next RTH session): 4153.25
T+2 Low (for next RTH session): 4062
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:
Today’s profile had single prints above 4060 and below 3984.50. The TPOC for RTH was around 4019.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At Friday’s close, wholesale’s position was short. The ONO was just outside the prior day’s VAL, but inside the price range. Inventory in Globex was short below the prior day’s close. The price action zig-zagged around VWAP then sank beneath it with heavy supply and selling. The PDLOD and PWL were erased on the downside move. At 4031, the ONL, supply waned and buyers elevated the auction back to VWAP.
ONO: 4087.25
ONH: 4099
ONL: 4031
ONRange: 68
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was below the previous day’s price range, creating a gap down. It was also below the T+2 low. The US open was extremely violent. The ES candles looked like the $TICK candlestick chart. There were swings of 20 points within two minutes. ES filled the gap with the previous day and looked into its price range before selling down 30 points and then bouncing. After the bounce, a lower high, ES began to trend lower with slightly less chop and heavy selling. The ONL was erased along with a weekly low from May 2021, which indicated large supply.
IBO: 4055.5
IBH: 4069
IBL: 4027
IBRange: 42
Remaining Session:
After the US open, inventory continued to press down on ES. It looked below 4000 for the first time in 2022. Large sellers emptied their stockpile momentarily. Long traders bought the offers, lifting ES 50 points to 4045. Inventory came back into the picture at this level and ES sold down 30 points in about 30 minutes. The price action traded sideways for the next two hours with buyers and sellers transacting in a 30 point channel. In the final 90 minutes of NY trading, buyers hoisted ES above the aforementioned channel for a moment. However, a hefty gush of inventory came and ES plunged. The auction flushed through 4200 for the 5th time today and now buyers couldn’t hold up. ES made new session lows and reached 3970 where the sellers’ lots emptied. Shorts covered and stabilized the market. However, ES still settled and ended RTH below 4000.