ESM22 Debrief 06/09/2022
Market Overview
With tomorrow’s inflation data pending, the market didn’t wait to make its move. The S&P finally broke out of its trading range of late by shattering through the floor. Every sector fell today. The macro picture continues to look grim with many CEO’s issuing statements of a pending recession.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -2.78%
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: -2.21%
ES has now fallen below 4071.5 to end OTFU. Unless 4202.25 can be erased, this week will begin a new OTFD trend.
Prior week’s close: 4107
Daily Change: -2.38%
Today’s liquidation busted through the bottom of the 4071.50 to 4202.25 balance zone that ES had been ranging in. Does a combination of heavy supply and trapped longs continue to weigh down on ES and test the May levels?
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: 4148
ETH VPOC: 4115
ETH VAL: 4093.5
ES RTH Volume Profile (today)
RTH VAH: 4118
RTH VPOC: 4090
RTH VAL: 4063.5
Prior Day RTH High and Low
T+2 High (for next RTH session): 4160
T+2 Low (for next RTH session): 4105.25
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 4093.75. There was a poor high at the top of the profile and a poor low at the bottom of it. The late afternoon liquidation left many areas with single prints and trapped longs.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was short. The ONO was inside of the previous day’s value area. Inventory in Globex ranged from short, long then back to short. The times where inventory was short, ES dipped below the previous day’s low. Heading into RTH, ES fell below VWAP and sellers searched for buyers.
ONO: 4116
ONH: 4144.25
ONL: 4092.25
ONRange: 52
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down and opened below the previous day’s low. It also opened inside the T+2 high and low. The opening hour ES had plenty of chop. There was back and forth price action with +10 point swings in a matter of minutes. The gap with the previous day was filled moments after the opening bell but ES failed to hold and was rejected. Shorts tried to sell down and it looked like the T+2 low might be under threat, however responsive longs at 4085 stepped out in front to prevent the 4077.75 area from being tested. Once back in the prior day’s range, longs took ES back up to VWAP. Supply was encountered at 4118.25 and buying disappeared as a poor high was placed. Shorts took the market down but couldn’t get to the LOD as they covered and price stabilized.
After the opening hour, shorts continued to cover and when they stopped several points below the weak high, ES dropped. The drop took out the previous low, but there still was not enough supply to get below the T+2 low. ES balanced in a 20-30 point range again for several hours. Later in the afternoon, ES slowly sank to the bottom of this range as sellers looked for a bid. Eventually, new session lows were put in and supply drowned the bids as ES fell below the T+2 low. Once shorts got ES below this level, the liquidation occurred and ES almost 60 more points, erasing the previous week’s low and some daily lows on the way.
O: 4094.5
H: 4118.25
L: 4014.75
Range: 103.5