ESM22 Daily Debrief 06/02/2022
Market Overview
All major indices and 10/11 sectors were green today. Energy was the only sector that closed red. Bond futures and crude oil also joined equities in the green. Investors seem to be waiting for tomorrow’s NFP figures before deciding on a direction.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +1.07%
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: +0.47%
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: +1.86%
ES was positive today and erased yesterday’s high, ending OTFD. Following the rally last week, ES seems to be consolidating now.
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: 4162.25
ETH VPOC: 4128.75
ETH VAL: 4101.75
ES RTH Volume Profile (today)
RTH VAH: 4179
RTH VPOC: 4175
RTH VAL: 4095.50
Prior Day RTH High and Low
T+2 High (for next RTH session): 4165
T+2 Low (for next RTH session): 4071.50
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 4148.
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. Overnight inventory was short initially, but was long for the majority of the Globex session. It began to correct as RTH was approaching, auctioning close the the previous day’s RTH close.
ONO: 4097.75
ONH: 4124.5
ONL: 4083.5
ONRange: 41.00
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area. The RTH open was below the T+2 low. Following a balanced overnight session, there was some volatility in the opening hour. After opening 2 ticks from the previous day’s close, ES had some wild swings in both directions which took out both longs and shorts. Ultimately, shorts pushed ES down near yesterday’s LOD but supply ran out and the auction failed to trade below.
After the IB period, longs consumed the offer and ES rose back into yesterday’s value area. By noon, the auction was challenging the ONH and previous day’s VAH. Once accepted above, buyers lifted ES above and beyond the previous day’s HOD, closing near 4180.
O: 4096.5
H: 4179
L: 4072.25
Range: 106.75