ESM22 Daily Debrief 06/07/2022
Market Overview
Stock futures were down in the overnight session. However, during RTH the market rallied. All major indices registered modest gains. Consumer discretionary was the only index to finish in the red due to Target’s updated guidance. Crude also had a positive day as it looks to break over 121.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +0.67%
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: +1.26%
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: +0.93%
ES broke below yesterday’s low momentarily so today was not another inside candle. However, the price action for the past six sessions has been contained inside of a range from 4071.50 to 4202.25.
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: 4141
ETH VPOC: 4119
ETH VAL: 4083.50
ES RTH Volume Profile (today)
RTH VAH: 4163.5
RTH VPOC: 4159
RTH VAL: 4115.50
Prior Day RTH High and Low
T+2 High (for next RTH session): 4168.25
T+2 Low (for next RTH session): 4107.25
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 today’s session with ETH/RTH Market Profile:
The TPOC was 4135. There was excess below 4090.5. Single prints are also between 4107 and 4108. There are shorts trapped here as this was a poor high for a moment before supply was pulled and buyers took the market higher with 0 bids being executed in this range.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale’s position at the previous day’s close was below VWAP but slightly long. The ONO was inside of the previous day’s value area. Inventory in Globex was almost entirely short.
ONO: 4122
ONH: 4124
ONL: 4076
ONRange: 48
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down and was below the previous day’s low. It was also below the T+2 low. After the opening bell, supply was shut off and buyers lifted ES to fill the T+2 low gap. Longs attempted to fill the gap with the prior day’s low but was stopped 1 tick short. At 4107, a poor high was created and corrected moments before the end of the IB period.
Once in yesterday’s price range and value area, buyers continued lifting the auction. After buyers failed to reach yesterday’s VAH, ES fell. However, a lack of supply couldn’t move ES completely out of yesterday’s price range. Longs were there to defend the previous day’s low and elevated ES again. This time, ES made it above the prior day’s VAH. Longs attempted to get to yesterday’s high. However, with a lack of follow through buying, they couldn’t take out the overhead supply. At 4164, ES sank and closed RTH at 4150.75.
O: 4082.5
H: 4164
L: 4077.75
Range: 86.25