ESM22 Daily Debrief 05/13/2022
Market Overview
Equities had a good finish last week. Every sector was green at the close on Friday. However, the S&P 500 extended its weekly losing streak to six. The last time ES was negative for six consecutive weeks was 2011.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -2.61%
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: -2.42%
ES extended its weekly losing streak to six. ES is OTFD the past four weeks. 4099 will need to be eclipsed to the upside this week to end OTFD.
Daily Change: +2.36%
ES ended OTFD by erasing 3961.75.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5
Lows: 3843.25, 3826.25, 3796.25, 3728.5, 3720.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4061.5
ETH VPOC: 4015
ETH VAL: 3957
ES RTH Volume Profile (today)
RTH VAH: 4028
RTH VPOC: 4015
RTH VAL: 3995
Prior Day RTH High and Low
T+2 High (for next RTH session): 3961.75
T+2 Low (for next RTH session): 3855
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 4017.5 and there were single prints at the bottom of the profile below 3975.5.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
Wholesale’s position at Thursday’s close was long over VWAP. Friday’s ONO was inside of the previous day’s value area. Inventory in Globex was long for pretty much the entire session. ES slowly crept above the prior day’s price range. It traded sideways, then made newer highs, etc. Coming into RTH, it corrected itself slightly but still ended Globex over VWAP.
OBO: 3916.25
OBH: 3988
OBL: 3915.50
ONRange: 72
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
Friday’s RTH open gapped up and opened above the previous day’s HOD. However, ES filled the gap in the first 6 minutes of RTH and bounced back above. It opened inside of the T+2 high and low range. After the gap was filled and ES peeked back into Thursday’s price range, supply shut off with buyers coming into the order flow. Wholesalers lifted the auction above VWAP, taking it as high as they could where demand kept flowing in. Any moments of backfill were short and absorbed by buyers. ES continued to trend up, eventually pausing just shy of the 5-day VPOC to end the IB period.
IBO: 3970.75
IBH: 4019
IBL: 3959.5
IBRange: 59.5
Remaining Session:
After the opening hour, ES traded sideways beneath the 5-day VPOC. There was a brief inventory correction down move of around 15 points which quickly recovered. ES eventually broke through the 4020 level by a few points and balanced for another hour. Around 12 noon, ES climbed climbed roughly 14 points in 15 minutes before it gave it all back 15 minutes later. Buyers came and gobbled offers again and ES rose about 10 points and balanced for a total of about 15 minutes. This all appeared to be distribution by size traders to willing buyers. About a quarter to 1pm, the buying ended. Supply came and began applying downward pressure on ES. For the next 75 minutes, the auction crept lower and ended beneath VWAP, temporarily finding a bid at 3975.75. Shorts covered to stabilize price and ES popped up and over the 4000 level and VWAP again. Longs kept raising ES until supply was met at 4029.5. Shorts took the bid and sank ES 20 points in several minutes. The final 20 mins of NY trading had back and forth price action inside a 20 points range. ES was able to maintain the 4000 level and close the session above it.