ESM22 Daily Debrief 05/20/2022
Market Overview
Equities continued to dip for much of the day on Friday. However, a late afternoon rally helped the Dow and S&P finish the day green. It still wasn’t enough to erase the losses for the week as all major indices notched another red candle. That’s 5 straight for the Russell, 7 for the Nasdaq and S&P and 8 straight red candles for the Dow. It’s the longest weekly losing streak for the S&P since 2001. From January through March, the S&P had 8 straight weekly losses.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +/-[xx]%
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: +/-[xx]%
Last week, ES extended its weekly losing streak to seven. ES is OTFD the past five weeks. 4095 will need to be eclipsed to the upside this week to end OTFD.
Prior week’s close: 4019.75
Daily Change: +/-[xx]%
Despite setting a new 2022 low, Friday’s price action ended with OTFD.
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: 4009
ETH VPOC: 3900
ETH VAL: 3807.5
ES RTH Volume Profile (Friday)
RTH VAH: 3915
RTH VPOC: 3900
RTH VAL: 3830
Prior Day RTH High and Low
T+2 High (for next RTH session): 3943.50
T+2 Low (for next RTH session): 3874
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:
Friday’s TPOC was 3839.25.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At Thursday’s close, wholesale’s position was short. The ONO on Friday was inside of the previous day’s value area. Overnight inventory was long for much of the Globex session. Wholesale was distributing their inventory above VWAP.
ONO: 3900.50
ONH: 3949.5
ONL: 3898.25
ONRange: 50.25
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was inside of Thursday’s price range but above the value area. The RTH open was in between the T+2 high and low. The first 30 minutes of IB period had slow back and forth price action between buyers and sellers within a 20 point range. There was a 15-20 point flush about 35 minutes in. This got ES down near the T+2 low and ONL. After the flush down, the final 20 minutes of IB period was all sideways price action.
IBO: 3935.5
IBH: 3941
IBL: 3901
IBRange: 40
Remaining Session:
After the IB period, ES continued trading sideways near the T+2 low for about 20 minutes. Supply then got heavy as buyers were no longer available at this level. Sellers sold the auction down 40 points in roughly 30 minutes. Bids appeared and supply cut off and ES traded in a 20 point range for about 40 minutes. Supply got heavy in search of a big again as ES sank for 90 minutes. It hit a new 2022 low at 3807.50 before bidders were found. Shorts covered and stabilized ES for the following 90 minutes. In the final hour of NY trading, ES rallied 80 points. After the closing bell, the auction went sideways but ended RTH above 3900.