ESM22 Daily Debrief 05/17/2022
Market Overview
Stocks had a strong performance today. All four major indices closed green. Bonds and crude oil futures fell.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -1.04%
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: +1.62%
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: +2.00%
ES is now OTFU for the past four trading sessions. If longs can hold 4000.5, this can continue to a fourth session.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4099,
4043.5Lows: 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: 4080.5
ETH VPOC: 4015
ETH VAL: 3947
ES RTH Volume Profile (today)
RTH VAH: 4086.5
RTH VPOC: 4083
RTH VAL: 4055.5
Prior Day RTH High and Low
T+2 High (for next RTH session): 4043.5
T+2 Low (for next RTH session): 3979.5
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:
Today’s TPOC was 4060.75. There were single prints from 4038.75, down to 4029.75. There was also a poor low at 4091.5.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close, wholesale’s position was short. The ONO was inside of the previous day’s value area. Globex inventory was long for the entire session.
ONO: 4002
ONH: 4083.75
ONL: 4000.50
ONRange: 83.25
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open gapped up and was above the previous day’s price range. It was also above the T+2 high. The US open was filled with relatively balanced, back and forth price action. Although it trended downwards for the whole opening hour making lower highs and unable to hit a lower low until the final minute. In the first 30 minutes after the bell, ES came down and tried to fill the gap before supply cut off at 4047.75, nearly 4 points away from yesterday’s HOD. It stayed above this level while trending lower and crossing beneath VWAP. It broke the low in the final 2 minutes and made a new IBL at 4045.
IBO: 4069.5
IBH: 4070
IBL: 4045
IBRange: 25
Remaining Session:
Immediately following the IB period, short traders moved the auction lower, closing the gap with the previous day. ES erased the IBL and hit a new RTH low at 4029.75 where supply cut out. Buyers came and hit the offer before ES could get into the previous day’s value area. Over the next 2.5 hours, they lifted the auction up over VWAP and eliminated the IBH. After reaching 4075.5, ES remained in balance for an hour or so. Once Fed Chair Powell spoke, ES got schizophrenic. ES initially popped 10 points before dropping 40 and underneath VWAP. At 4039, supply got killed and longs took ES up to new HODs over the next hour. After making a new HOD, ES balanced then sold off 20 points and regained most of it prior to the NYSE closing bell. After the close of the NYSE, longs took ES to a new RTH high at 4091.50.