ESM22 Daily Debrief 06/01/2022
Market Overview
10/11 sectors dropped today. Every major index fell amid uncertain macro conditions. US treasury futures also sank in sympathy with equities as interest rates rose. On the crypto side, Solana lost 12% as the platform suffered its 2nd outage in a month.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -0.78%
ES is OTFD the past 3 months. The auction needs to erase the 4303 May high to end the streak.
Prior month’s close: 4131.25
Weekly Change: -1.37%
ES has broken the streak of 7 straight losing weeks. It has also ended OTFD by erasing the highs of the past two weeks. If ES can maintain 3872, ES will be OTFU for three consecutive weeks.
Prior week’s close: 4155.75
Daily Change: -0.78%
ES sank for the 2nd straight session, erasing yesterday’s low to break a OTFU streak. ES was unable to take out the previous day’s high and is now OTFD.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303
Lows: 4041.25, 3960.5, 3913.5, 3872, 3807.5, 3796.25, 3728.5, 3720.5
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4167.75
ETH VPOC: 4128.75
ETH VAL: 4082.75
ES RTH Volume Profile (today)
RTH VAH: 4125.75
RTH VPOC: 4102.75
RTH VAL: 4084.75
Prior Day RTH High and Low
T+2 High (for next RTH session): 4167.75
T+2 Low (for next RTH session): 4102.75
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 4099. There were single prints above 4155.25 and between 4128 - 4141.75.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At yesterday’s close, wholesale’s position was short. The ONO was inside of the previous day’s value area. Inventory in Globex was ranging in a 30 point zone and mostly long above yesterday’s close. It also failed to move outside of the previous day’s value area. ES looked above the PDVAH and failed. Buyers front ran every attempt to challenge the VAL, a sign of trapped shorts.
ONO: 4138.50
ONH: 4156.75
ONL: 4125.75
ONRange: 31
Regular Trading Hours (RTH)
US Session:
The RTH open was a tick inside the previous day’s value area. A few minutes after the opening bell, buyers lifted the auction above the ONH. Buying diminished at 4165 as supply came and slammed longs. ES was directionless until the release of the JOLTS numbers at 10am. Buyers disappeared and supply drowned the auction, which eventually fell below the PDL. Supply weakened at 4071.5 and shorts covered and carried ES back into yesterday’s value area. ES took a peek inside but was not accepted as short traders dropped ES below yesterday’s price range again. ES ended RTH below 4100.
O: 4154.25
H: 4165
L: 4071.5
Range: 93.50