ESM22 Daily Debrief 05/10/2022
Market Overview
The markets were mixed today. Dow and the Russell fell less than 1% while the Nasdaq and S&P 500 gained on the day. Futures were up in the overnight but lost most of their gains in the morning session. They were saved by a rebound in the afternoon to salvage much of the losses. The Big 5 were all green and Bitcoin and Ethereum also rebounded slightly today.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -3.17%
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: -2.98%
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: +0.23%
ES is OTFD the past five sessions. ES wiped out the 4/21/21 LOD today.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5
Lows:
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
ETH VPOC: 4120
ETH VAL: 4013.5
ES RTH Volume Profile (today)
RTH VAH: 4024.5
RTH VPOC: 3996
RTH VAL: 3962
Prior Day RTH High and Low
T+2 High (for next RTH session): 4069
T+2 Low (for next RTH session): 3970
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 TPOC in RTH was 3989. There were single prints at the top of the profile above 4055.75 and bottom of the profile below 3959.75.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale’s position was short. The ONO was several ticks below the VAL, but inside the previous day’s price range. Inventory during Globex was well short 2.5 to 3 hours into the session, briefly dropping below the previous day’s low. However, supply shriveled as long traders and exiting shorts bought up inventory in strength and lifted the auction long over VWAP and yesterday’s close. By 10pm EST, ES was back into yesterday’s value area. Inventory remained long for the rest of the session and eventually rose above yesterday’s VPOC. Heading into RTH, ES was making brand new ONH’s.
ONO: 3993.25
ONH: 4050
ONL: 3961.75
ONRange: 88.25
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was above the previous day’s VAH, but inside the price range. ES opened right at the ONH and was underneath the T+2 low. At the opening bell, the auction ripped up and came several points above the T+2 low. This was ultimately short lived as there wasn’t enough buying order flow to continue higher. Traders sold the market lower in search of a buyers, coming down 40 points in the next 20 minutes. Buyers showed up and inventory shut off so the stockpile was distributed between 4055 and 4023.25 for the remaining 40 minutes of the open.
IBO: 4050
IBH: 4065.5
IBL: 4023.25
IBRange: 42.25
Remaining Session:
After the US open, sellers sold the market down in search of buyers. ES fell through VWAP, yesterday’s VAL and LOD. For the next 2.5 hours, ES was in a balanced area below 3995 where size traders accumulated a position. Around 1:30pm, supply shut off and the auction rose back into yesterday’s value area and above VWAP. In the 90 minutes that ensued, ES was balanced in a range of 4037.25 and 4003.5 where inventory was distributed. In the final 30 minutes of US trading, the auction descended lower and underneath 4000 again as supply outweighed the buy orders that came in. Inventory couldn’t push the auction through 3985. The price action remained range bound in a 15 point channel heading into the closing bell.