ESM22 Debrief 05/02/2022
Market Overview
Equities were in line for another rough outing Monday before an end of day rally rescued the major indices from negative territory. Communication, technology, energy and consumer discretionary all gained more than 1% today.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +0.57%
On the first trading day in May, the lows from the past three months were all erased and May has established the new 2022 low.
Nearby Highs: 4631, 4588.75
Nearby Lows: 4056 (current), 4029.5 (May ‘21), 3964.5 (April ‘21)
Weekly Change: +0.57%
Weekly, ES is OTFD for three weeks at the moment.
Nearby Highs: 4588.75, 4509, 4303.5,
Nearby Lows: 4056 (current), 4029.25, 4021, 3928.75
Daily Change: +0.57%
Daily, ES is OTFD for three straight sessions.
Nearby Highs: 4393.25, 4303.5, 4279.75
Nearby Lows: 4056 (current), 4029.25 (5/13/21 LOD), 4021 (4/5/21 LOD), 4012.5 (4/2/21 LOD)
Performance & Technicals
5-Day Performance
Technicals
ES Composite Volume Profile for the past five sessions:
ETH VAH: 4232.5
ETH VPOC: 4214
ETH VAL: 4118
ES RTH Volume Profile for today:
RTH VAH: 4153.50
RTH VPOC: 4110
RTH VAL: 4103
Prior Day RTH High and Low (Tomorrow’s T+2):
T+2 High: 4265.5
T+2 Low: 4119.25
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:
There is excess below 4063 and at the top of the profile above the IBH. The TPOC was around 4120.75 with 8 time periods being spent there.
Session Recap
Electronic Trading Hours (ETH)
Overnight Session:
At the previous day’s close, wholesale’s position was extremely short. The ONO was inside the previous day’s value area. In Japan’s open, ES rapidly sold short and erased the March and April lows. However, in the 2nd time period, inventory got long off the April low and remained so for much of Globex. At the close of London’s opening hour, inventory corrected then remained long again. With two hours to go until the US open, ES inventory finally got short as buying dwindled. Shorts sold the auction down below the previous day’s value area, price range, and established a new session low before supply went dry. ES bounced 25 points from this bottom to get back around VWAP just prior to RTH.
ONO: 4144
ONH: 4158.25
ONL: 4110.75
ONRange: 47.5
Regular Trading Hours (RTH)
Initial Balance (IB) Session / US Open:
The RTH open was inside of the previous day’s value area and below the T+2 low. The IB period was extremely choppy. Moments after the opening bell, ES popped 10 points to 4137.5. Then sellers came and crushed the bid. ES dropped ES 40 points in a matter of 10 minutes and erased the prior day’s low and the Feb low / 2022 low along the way. The look below 4100 didn’t last as supply ran dry. Longs came back to elevate the market nearly 40 points to the upside and back into Friday’s value area (80-90 round trip in the first 15 minutes of NY trading). For the next 40 minutes, ES ranged violently between 4140.25 and 4109.75. In the final 10 minutes of the IB period, long traders gobbled up all the offers. They lifted ES through the top of this channel to new highs for the opening hour, backfilling right before the ONH.
IBO: 4127
IBH: 4156
IBL: 4099.25
IBRange: 56.75
Remaining Session:
Immediately after the IB period, ES peaked and took out the ONH. At 4165.75, heavy supply weighed on ES as it stumbled 50 points in about 30 minutes. It consolidated in a choppy 30 point range for the next two hours with much of the range below VWAP. Around 1pm, short traders sent ES tumbling further below the balance range and underneath the 2022 low again. A near two-hour free fall culminated in the auction testing the LOD from 5/19/2021 where supply ran out 2 ticks from the level. Buyers slammed the ask in the final hour of NY trading as ES rallied 100 points to erase all losses for the session. The auction landed back above VWAP and inside Friday’s price range to settle positive for the day.