ESM22 Daily Debrief 06/03/2022
Market Overview
The market fell Friday despite the economy adding more jobs in May than anticipated. Energy was the only sector to trade positive. Bond futures fell while yields rose.
Here are some of Friday’s closing prices. Crypto prices as of Saturday (10 pm).
Top-Down Analysis
Monthly Change: -0.59%
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: -1.17%
ES is now OTFU for three consecutive weeks. After testing 4200+ earlier in the week, supply sent ES back beneath where it remained for the remainder of the week. ES was balanced for much of the week. ES lost a little more than 100 basis points and failed to string together two straight positive weeks.
Prior week’s close: 4155.75
Daily Change: -1.63%
ES finished the week with a negative trading session. ES has been trading in a range between 4071.5 and 4202.25 for the past four sessions.
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: 4154
ETH VPOC: 4130
ETH VAL: 4098
ES RTH Volume Profile (Friday)
RTH VAH: 4122
RTH VPOC: 4107
RTH VAL: 4100
Prior Day RTH High and Low
T+2 High (for next RTH session): 4179
T+2 Low (for next RTH session): 4072.25
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 Friday’s session with ETH/RTH Market Profile:
The TPOC was 4112.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At Thursday’s close, wholesale’s position was long. The Friday ONO was just inside the previous day’s value area. Inventory in Globex was flat to begin the session. After the London opening hour, inventory began to correct and remained short. At 8:30am EST, when the NFP figures were released, ES ran stops to the upside. It just touched VWAP and was rejected. Shorts drove the auction down to new ON lows.
ONO: 4177.75
ONH: 4189
ONL: 4125
ONRange: 62.50
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area. The RTH open was also inside of the T+2 high and low. After the opening bell, ES was choppy and directionless. It traded in a 25-30 point range for most of the IB period.
After the opening hour, short traders sold the market down. Like the previous day, it appeared that shorts would try to erase the PDLOD but buyers front ran the move down amid a lack of supply. Shorts covered and buyers stabilized the auction. They took the market up above VWAP momentarily but couldn’t hold above. At 4134.5, supply came and dropped ES below VWAP where it remained the rest of the auction. ES was rangebound for the remainder of the session and tested 4100 again before closing slightly above.
O: 4125.50
H: 4142.25
L: 4096.75
Range: 45.5