ESM22 Debrief 06/10/2022
Market Overview
The Consumer Price Index (CPI) was announced Friday and indicated that inflation is +8.6% YoY, the highest level in 40 years. This was slightly higher than anticipated and the market reacted with another big selloff. Every index lost more than 2.5%. The big five mega caps all lost more than 3%. US Treasuries of 2, 5, 10 and 30 years are all above 3% yield. This week’s calendar will have the FOMC meeting and quadruple witching so there could be more volatility ahead.
Here are some of Friday’s closing prices.
Top-Down Analysis
Monthly Change: -5.46%
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: -4.91%
ES is now OTFD for two consecutive weeks. The 3872 weekly low from two weeks ago is close by.
Prior week’s close: 4107
Daily Change: -2.76%
Friday was all about supply. Shorts continued to initiate selling following the previous day’s breakdown from the balance area that ES had been trading in. The gap between Friday and the previous day’s RTH session remains in tact. In addition, the sell off immediately after the CPI print also left a gap on the way down.
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: 4160
ETH VPOC: 4115
ETH VAL: 4085
ES RTH Volume Profile (Friday)
RTH VAH: 3921.5
RTH VPOC: 3907.5
RTH VAL: 3898
Prior Day RTH High and Low
T+2 High (for next RTH session): 4118.25
T+2 Low (for next RTH session): 4014.75
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 Friday’s session with ETH/RTH Market Profile:
The TPOC was 3911.25. There was a gap on the fall immediately after the CPI print from 3991.5 to 3999.5.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was very short. The open was just inside of the previous day’s value area. Inventory in Globex was flat to mostly short below the previous day’s close. At 8:30am EST, once the CPI data was released, ES sold off. The sell off was strong and created a gap where 0 contracts were executed. It sank almost 70 points in 30 minutes and kept falling heading into RTH, erasing the 5/26/22 low on the way down.
ONO: 4025.25
ONH: 4029.5
ONL: 3939.5
ONRange: 90
Regular Trading Hours (RTH)
US Session:
The RTH open had a huge gap down and was below the previous day’s low. The RTH open was also below the T+2 low. A brief rally right at the opening bell was immediately hit with inventory. Sellers methodically pushed ES lower. Responsive buying was short lived and lacked follow through. Once buyers finished, sellers would push ES lower, erasing the 5/25/22 low and creating a poor low at 3901.75.
After the opening hour, ES traded in a tight range for most of the session. It repaired the poor low and got beneath 3900 momentarily before the short sellers covered and stabilized the auction. They raised the auction up to VWAP momentarily before the buying faded as it was met with supply. In the final hour of NYSE trading, ES descended to new lows to end the week.
O: 3949.5
H: 3958.25
L: 3895.25
Range: 63