ESM22 Daily Debrief 05/22/2022
Market Overview
The stock market had a good start to the week. 11/11 sectors were green today and all indices were up.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -3.77%
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: 1.85%
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: 3899.5
Daily Change: 1.85%
ES is OTFU the past two days. It has surpassed the HOD from the past two trading sessions.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4099
Lows: 3807.5, 3796.25, 3728.5, 3720.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3987
ETH VPOC: 3900
ETH VAL: 3837
ES RTH Volume Profile (today)
RTH VAH: 3978.75
RTH VPOC: 3971.25
RTH VAL: 3942.25
Prior Day RTH High and Low
T+2 High (for next RTH session): 3941
T+2 Low (for next RTH session): 3807.50
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 3964.5 with single prints at the bottom of the profile below 3913.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was inside the previous day’s value area and price range. Inventory in Globex was 100% long over the previous day’s RTH close.
ONO: 3910.50
ONH: 3955.5
ONL: 3910.25
ONRange: 43.75
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s price range and above the value area. It was also inside the T+2 high and low. The first couple of minutes after the opening bell had the usual chop. Shorts sold ES down 20 points from the open in the first 10 minutes before buyers bought the inventory. As they did, ES rose 30 points in the following 10 minutes. After a few minutes of back and forth price action, hefty supply came and dropped ES as buying dissipated. Shorts drowned the bid and ES fell 40 points and broke the ONL. There wasn’t quite enough supply to test Friday’s RTH close as buyers stepped in at 3906.5 and supply shut off. For the next 30 minutes, wholesalers sold to the buyers as ES rose above VWAP and regained nearly all of the 40 points that were lost during the previous drop. This ended the opening hour.
After the US open, supply could never come back to test the LOD. Longs were able to consume the offer and moments of backfill through out the remainder of the morning. Higher highs and higher lows were put in up until noon when inventory began to correct. At the new HOD, 3979, inventory began to correct for the next 60-90 minutes. At 3942.75, supply shut off and longs hit the offers again. Over the next hour, a new HOD was made followed by another inventory correction which put in another higher swing low. Sensing demand, wholesalers cut off supply again and longs hit another HOD shortly after the NYSE closing bell.
O: 3931
H: 3982.25
L: 3906.5
Range: 75.75