ESM22 Daily Debrief 05/19/2022
Market Overview
The markets were mixed today. The Russell was the only gainer of all the indices. Materials, health care and consumer discretionary were the only sectors with positive days. Bond futures were up again as yields fell.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -5.57%
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.
Prior month’s close: 4127.5
Weekly Change: -3.04%
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.
Prior week’s close: 4019.75
Daily Change: -0.64%
Today’s price action ended with ES OTFD the past two trading days. ES nearly took out the 3855 level but there wasn’t enough supply to break it.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4099
Lows: 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: 4089
ETH VPOC: 4015
ETH VAL: 3931
ES RTH Volume Profile (today)
RTH VAH: 3918
RTH VPOC: 3898.5
RTH VAL: 3890
Prior Day RTH High and Low
T+2 High (for next RTH session): 4041.5
T+2 Low (for next RTH session): 3905.5
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:
The TPOC was 3907 with single prints above 3937 and another set below 3880.75.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At yesterday’s close wholesale was short. The ONO was inside of the previous day’s value area. Overnight inventory was long initially. Then during the London open, supply moved the market short, beneath VWAP, where it remained for most of Globex. ES sank below the previous day’s price range during this drop. Heading into RTH, inventory began to correct as supply cut off, but the position returned short as it couldn’t remain over VWAP.
ONO: 3916.5
ONH: 3933.25
ONL: 3856
ONRange: 77.25
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open gapped down and was below the previous day’s price range. It was also below the T+2 low. After the opening bell, buyers jumped on the offer with weak supply. ES rose almost 35 points within the first ten minutes and got inside of yesterday’s price range and value area to close the gap down. The buyers weakened as inventory came in and sank ES below it’s RTH open to 3874. Supply shut off here as more buyers came into the order flow. ES steadily rose over the next half hour to establish a new IBH. Inventory was once again encountered and shorts shoved ES lower for the next ten minutes to close the IB period just shy of 3900. ES crossed VWAP on each downward and upward swing.
IBO: 3888.25
IBH: 3922
IBL: 3874
IBRange: 48
Remaining Session:
Following the IB period, shorts sold the auction down to 3881.2. This would be a swing low that stood the rest of RTH. ES would seesaw back and forth in a range for much of the session. There were moments when supply shut off and long traders would lift the auction 40+ points through VWAP. Then ES would give it all back and fall below VWAP once inventory was encountered. There wasn’t much follow through in either direction. Buyers moved ES past the ONH to a new HOD @ 3943.5 in the final hour of NY trading. Inventory corrected and RTH closed one tick away from where the IB period ended.