ESM22 Debrief 06/08/2022
Market Overview
It was another choppy day for the market as 10/11 sectors fell today. Energy was the only sector to register a gain. The S&P 500 continued to bounce back and forth in a balanced range.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -0.42%
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: +0.17%
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: -1.08%
Price action was again contained inside of the range from 4071.50 to 4202.25. Today was another inside day as today’s range couldn’t take out the high or low from the previous day.
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
ES Composite Volume Profile (5 days)
ETH VAH: 4151.5
ETH VPOC: 4115
ETH VAL: 4101
ES RTH Volume Profile (today)
RTH VAH: 4145
RTH VPOC: 4115
RTH VAL: 4106
Prior Day RTH High and Low
T+2 High (for next RTH session): 4164
T+2 Low (for next RTH session): 4077.75
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 4117 and there was a poor low at 4105.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was inside of the previous day’s value area. Inventory was rangebound in a small price channel. The position was flat to long for the first few hours. It then adjusted underneath VWAP and remained short below the previous day’s RTH close for the majority of the Globex session.
ONO: 4150.75
ONH: 4158.25
ONL: 4133.75
ONRange: 24.5
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area and T+2 low and high. All of Globex was inside of the previous day’s value area. At the opening bell, ES was sold down and took out the ONL before responsive buying came to stabilize the auction. Buyers lifted ES above the ONH but supply and lack of bullish follow through at 4160 protected the previous day’s high. ES remained range bound for the remainder of the opening hour.
ES continued to trade in balance until noon. Shortly after, bids disappeared and ES fell. It fell to a significant breakout area from the previous day where 0 bids were traded. It could not break 4105.25 as trapped shorts bought whenever price approached this area. ES continued to trade in a 20 point range until the end of RTH.
O: 4141
H: 4160
L: 4105.25
Range: 54.75