ESM22 Daily Debrief 05/27/2022
Market Overview
Stocks had another positive day on Friday. The major indices ended weeks of consecutive losses with the S&P 500 snapping it’s longest streak since 2001. With the positive gains from the week, the month of May is now green.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +0.68%
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. The rally this past week has flipped the month of May into the green.
Prior month’s close: 4127.5
Weekly Change: +6.57%
ES has broken the streak of 7 straight losing weeks. It has also ended OTFD by erasing the highs of the past two weeks.
Prior week’s close: 3899.5
Daily Change: +2.47%
ES is OTFU the past four sessions. ES has broken out of the trading range and erased the 4095 and 4099 levels.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5,
4099,4095Lows: 3807.5, 3796.25, 3728.5, 3720.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4056.5
ETH VPOC: 3944
ETH VAL: 3872
ES RTH Volume Profile (today)
RTH VAH: 4188
RTH VPOC: 4128.5
RTH VAL: 4086
Prior Day RTH High and Low
T+2 High (for next RTH session): 4073.5
T+2 Low (for next RTH session): 3987.5
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 4123.5. There was plenty of excess below 4107.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At Thursday’s close, wholesale’s position was long. The Friday ONO was inside of the previous day’s value area. Inventory in Globex was almost entirely long. Heading into the NY open, shorts were trapped below 4039.50.
ONO: 4047.5
ONH: 4087.25
ONL: 4041.25
ONRange: 46
Regular Trading Hours (RTH)
US Session:
The Friday RTH open gapped up and was above the previous day’s high. It was also above the T+2 high. In the moments following the opening bell, buyers lifted ES up above 4100. The moments of backfill were brief, a sign that supply was weak and that trapped shorts were abundant. Following the initial push, ES grinded the remainder of the IB period while making new highs for the session and week. The April low and close were both broken, as supply couldn’t fill all the resting bids from trapped shorts.
For several hours after the IB period, ES’s price action was in a 25 point balance area (4108 - 4132). In the final hours of RTH, supply was exhausted and buyers elevated ES past this zone. ES set new session highs and closed RTH at 4168.
O: 4081.5
H: 4168.25
L: 4079.5
Range: 88.75