ESM22 Daily Debrief 06/06/2022
Market Overview
The market began the week on a positive note. All major indices were green for the day. Real estate and energy were the only two sectors which were not green.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -0.26%
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: +0.33%
ES is now OTFU for three consecutive weeks. If it can hold 4071.5, this will continue for a fourth week.
Prior week’s close: 4107
Daily Change: +0.33%
ES started this new week with an inside candle as all the price action was contained inside Friday’s high and low. The balance zone from last week is still in tact.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4183
Lows: 4071.5, 4045, 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: 4151
ETH VPOC: 4119
ETH VAL: 4098.50
ES RTH Volume Profile (today)
RTH VAH: 4143.50
RTH VPOC: 4119
RTH VAL: 4108.50
Prior Day RTH High and Low
T+2 High (for next RTH session): 4142.25
T+2 Low (for next RTH session): 4096.75
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 4120 and a poor low at 4107.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At Friday’s close, wholesale’s position was short. The ONO was inside of the previous day’s value area. Inventory in Globex was flat for the first 5 time periods after which it got long over VWAP and the prior day’s RTH close. ES went above Friday’s HOD where it remained in balance.
ONO: 4110.50
ONH: 4159
ONL: 4104.50
ONRange: 54.5
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up above the previous day’s high. The RTH open was also inside the T+2 high and low. After the opening bell, ES was traded back and forth, but was steadily sinking as it filled the gap. At 4138.75, near VWAP, supply ran out and longs took ES above the ONH, an indication of trapped shorts and lack of supply. For the remainder of the opening hour, ES balanced above 4150.
Shortly after, demand dried up and supply came and squashed the bid. For the next few hours, sellers took the market down to 4110 before buyers came and stabilized the auction. There was one more rally as buyers lifted ES 30 points to VWAP at 4140 before inventory prevented any prints higher. ES descended to new RTH lows before shorts covered and the RTH session ended at 4120.75.
O: 4150
H: 4168.25
L: 4107.25
Range: 61