ESM22 Daily Debrief 05/11/2022
Market Overview
The announcement this morning that inflation has increased to 8.3% obliterated the gains in the equity futures market. Those gains were recovered in morning trading before the larger selloff ensued throughout the day. Energy, utilities and materials were the only sectors to register a gain today. They were joined by gold as long-duration interest rates also fell.
What’s happening to the LUNA is absolutely insane.
Here are some of today’s closing prices. (BTC and ETH prices as of 10pm EST)
Top-Down Analysis
Monthly Change: -4.78%
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: -4.59%
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: -1.66%
ES extended OTFD to six sessions. Today, ES erased the 3/30/21 and 3/31/21 LOD and 3/29/21 weekly low.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5
Lows:
3941.5,3933.75,3928.75, 3900.75, 3843.25
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4120
ETH VPOC: 4020
ETH VAL: 3947.5
ES RTH Volume Profile (today)
RTH VAH: 4019.5
RTH VPOC: 3950
RTH VAL: 3935
Prior Day RTH High and Low
T+2 High (for next RTH session): 4062.5
T+2 Low (for next RTH session): 3953
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 was at 4011.5
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale’s position was above the previous day’s close. However, towards the end of RTH, they had gotten short below VWAP, as they sold the market down to their cost basis in search of buyers. The ONO was inside of the previous day’s value area. For most of Globex, inventory was long over VWAP. Single prints were left in three zones (4017.5 - 4025.25, 4027 - 4031.25 and above 4045.5). At 8:30am EST, ES flushed 64 points in a minute as the new CPI number was released, erasing all overnight gains. The ES price balanced in this area as new ONL’s were created. Heading into RTH, supply was shut off and buyers were hitting the offers higher.
ONO: 3990.5
ONH: 4050.5
ONL: 3947.25
ONRange: 103.25
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was inside of the previous day’s value area. The RTH open was above the T+2 low. At the opening bell, the price action did it’s typical shake and bake. It went down 5 points, then popped 20 points to the 4000 price level. Then supply presented itself in search of buyers. As a result, the auction got sold lower to the IBL, 3966.25. Ten minutes into the open, ES was unable to get below yesterday’s VAL and supply shut off as buyers came into the order flow. For the next 15 minutes, buyers lifted ES from the IBL to 4036.25, surpassing VWAP in the process. There was an abundance of inventory in this area, so size traders sold the auction down to 4000. Buyers appeared here again and supply was weaned off. Longs lifted the auction again to a new IBH and it backfilled slightly to close the US open.
IBO: 3985
IBH: 4038.75
IBL: 3966.25
IBRange: 72.5
Remaining Session:
Following the US open, supply initially continued to apply downward pressure before long traders elevated the auction above the IBH, but couldn’t erase the ONH. At 4045, buyers dissipated and ES dipped back to 4000 as sellers searched for the bid. For the next hour, ES ranged in this 45 point zone. At 12:30 pm, wholesale traders broke through the 4000 level and the auction couldn’t sustain any trades above it for the rest of RTH. For the next 90 minutes, ES dropped to a new LOD at 3936.25. Shorts covered their positions here to stabilize the market and provided a brief 50 point rally. The buying wasn’t sustained and supply pushed ES lower, eventually reaching another LOD and yearly low of 3923.75 just moments before the closing bell.