ESM22 Daily Debrief 05/16/2022
Market Overview
Equities were mixed to start the week. The Dow was the only index to finish positive. All sectors were red except energy, health care, staples and utilities. Bond futures also finished up on the day.
Here are some of today’s closing prices. (Crypto prices as of 10pm EST).
Top-Down Analysis
Monthly Change: -2.97%
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: -0.37%
Last week, 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: -0.37%
ES is now OTFU for the past three trading sessions. If longs can hold 3979.5, this can continue to a fourth session.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4043.5, 4099
Lows: 3979.5, 3855, 3843.25, 3826.25, 3796.25, 3728.5, 3720.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4045
ETH VPOC: 4015
ETH VAL: 3953.5
ES RTH Volume Profile (today)
RTH VAH: 4018
RTH VPOC: 4006.5
RTH VAL: 3989.5
Prior Day RTH High and Low
T+2 High (for next RTH session): 4036
T+2 Low (for next RTH session): 3959.5
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:
There was a poor low indicating abruptly shut off at 3979.50. The TPOC was 4001.75 and the top of the profile had some single prints from 4040.50 to 4043.50.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At Friday’s close, wholesale’s position was long. The ONO was inside of the previous day’s value area. Inventory in the ON was back and forth. For the first few hours it was long above Friday’s close, while hugging VWAP. Then about 2 hours before midnight, supply collected the bids and dropped ES short. It remained short for the majority of Globex including the London open. Several hours after the London open, inventory shut off and ES got long above and around VWAP. Inventory been correcting short heading into RTH.
ONO: 4025
ONH: 4042
ONL: 3981.75
ONRange: 60.25
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The open was inside of the previous day’s value area. The RTH open was above the T+2 high (3961.75). The US open was choppy with plenty of back and forth. In the first six minutes, longs took the market up ten points. Then shorts drove it down 15 points. Longs then bought it back up another another 20 points. VWAP was crossed on each swing. Finally, heavy supply searched for a bid and the auction got sold short. The ONL was erased by a few points. Responsive longs bid the market up 20 points before disappearing in the face of supply again. Shorts sold the market down again. Buyers appeared two ticks before the IBL and supply was turned off. Longs lifted the market 40 points to reach new highs for the US open right before the end of the opening hour.
IBO: 4003.25
IBH: 4022
IBL: 3979.5
IBRange: 42.5
Remaining Session:
Following the opening hour, ES continued to get sold by size traders looking for the bid. ES moved below Friday’s VAL. Buyers appeared nearly 8 points in front of the IBL. Price action for ES was range bound and balanced for the next 45 minutes. Right before noon, supply tightened and longs lifted the auction back into Friday’s value area and above VWAP. At 4024.5, buyers lost steam and supply slowly moved ES down below VWAP / Friday’s VAL for the next hour. At 3997.25, supply diminished again and longs boosted the auction for the following 90 minutes to a new HOD. At 4043.5, supply came and plowed long traders as they were unable to push above this level. After the price action had some backfill, short traders dropped the auction back into Friday’s value area and eventually beneath VWAP. The final hour in NY trading had plenty of back and forth action and ES peeked below 4000 before rising as shorts covered. The range-bound RTH session ended about 20 points below Friday’s close.