ESM22 Daily Debrief 05/25/2022
Market Overview
Three of the four major indices finished positive today. The S&P was range bound for much of the day with uncertainty until the release of the FOMC minutes in the afternoon. 9/11 sectors were green today. Health care and utilities were the only laggards.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -3.65%
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: +1.98%
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: +0.92%
ES is OTFU the past two sessions. ES has been trading between 3807.5 and 3982.25 the four days prior to today. It’s been making higher lows in that time and it broke through and reached a high of 3997.75.
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: 3958
ETH VPOC: 3900
ETH VAL: 3877
ES RTH Volume Profile (today)
RTH VAH: 3974.50
RTH VPOC: 3945
RTH VAL: 3939.50
Prior Day RTH High and Low
T+2 High (for next RTH session): 3954.5
T+2 Low (for next RTH session): 3872
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 3966.75 with excess below 3928.25 and above 3994.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At yesterday’s close, wholesale’s position was above VWAP but still short relative to the prior day’s RTH close. The ONO was inside of the previous day’s price range and well above the value area. Inventory in Globex was mostly long for the first few hours. ES tested above the previous day’s range before supply moved ES back in yesterday’s range. After London opened up, inventory began correcting and got short. Supply continue to sink the auction and yesterday’s VAH was tested.
ONO: 3950
ONH: 3969
ONL: 3913.50
ONRange: 55.5
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of yesterday’s price range and 1 point above the VAH. The RTH open was also inside the T+2 high and low. At the opening bell, shorts tried to sell the market down but supply got shut off. Buyers lifted the auction 30 points in 15 minutes. Size traders back filled and ES traded in a 20 point range for the next 30 minutes. Longs further elevated ES in the last 10 minutes of the opening hour and tested the ONH.
Immediately after the NYSE opening hour, buyers kept gobbling the offers and ES hit a new HOD @ 3977.50. Heavy supply was met at this area and it weighed the auction down, sinking 40 points over the next 2 hours. ES remained in a 20 point range from here until the FOMC meeting minutes were released at 2pm. At this time, volatility increased as ES ripped 20 points to the upside, followed by 40 points down. Price stabilized as supply dried up and buyers slowly bid ES up to several new HOD’s. At 3997.75, inventory appeared again. In the final hour of NYSE trading, ES backfilled 30 points. It balanced for the remainder of RTH to end the day positive.
O: 3925
H: 3997.75
L: 3921.5
Range: 76.25