ESM22 Daily Debrief 05/12/2022
Market Overview
Another wild day for risk assets. Equities were mixed. The Russell was the only index to finish green. Crude and bond futures were also positive. Crypto continues to get smashed. Almost every top 20 coin had either a hammer candle or a long wick down. Is there temporary relief in sight?
Here are some of today’s closing prices. (Crypto prices as of 10:30pm EST)
Top-Down Analysis
Monthly Change: -4.85%
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: -4.67%
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: -0.08%
ES extended OTFD to seven sessions. 3961.75 needs to be eclipsed tomorrow to end the streak. Today, ES erased the 3/26/21 LOD.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5
Lows:
3900.75, 3843.25, 3826.25, 3796.25, 3728.5, 3720.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4074
ETH VPOC: 4020
ETH VAL: 3902
ES RTH Volume Profile (today)
RTH VAH: 3930
RTH VPOC: 3900
RTH VAL: 3881.5
Prior Day RTH High and Low
T+2 High (for next RTH session): 4045
T+2 Low (for next RTH session): 3923.75
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:
The TPOC was around 3910 and there were plenty of single prints above 3945.75.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale’s position was short. The ONO was slightly inside the previous day’s value area. ON inventory was ranging but slightly long to begin Globex. Then shortly after midnight, size traders with supply moved the market down beneath VWAP. The auction remained short for much of the remaining Globex session with moments where it came up to VWAP but was rejected. ES set a new 52-week low during this session by creeping below 3900 and taking out the 3/26/21 LOD.
ONO: 3939.75
ONH: 3954.25
ONL: 3884.75
ONRange: 69.5
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open gapped down as it was below yesterday’s LOD and the T+2 low. After the opening bell’s choppiness and whipsaw, heavy supply continued to move the auction lower. Eventually, the ONL was erased and the new session low placed at 3872.75. Supply shut off here as buyers (shorts) came in and hit the offers. They elevated ES to 3916.25 where supply came back in. ES sank nearly 40 points while absorbing short covering on the way down. Unable to erase the IBL, supply dried up again. Buyers closed the gap as ES got into the previous day’s price range and peeked into its value area momentarily before getting rejected.
IBO: 3897
IBH: 3941
IBL: 3872.75
IBRange: 68.25
Remaining Session:
After the US open, longs hoisted ES above the T+2 low and deeper into yesterday’s value area to set a new session high. At 3961.75, buyers were no longer found and in the midst of hefty inventory ES sank below VWAP. It trended downwards for the next 3 hours with a brief moment of short covering before falling lower. Eventually a new session low was put in at 3855. It traded there for several moments and in the final hour of NY trading supply was plucked as buyers came in. Shorts covered and buyers took the offers as ES bounced off the low for an 80 point move to cap the NY close. In the final hour of RTH, inventory corrected off 3930 and fell down 25-30 points to end the back and forth session.