ESU22 Debrief 06/13/2022
Market Overview
The crypto markets sank all weekend and equity futures opened gap down. Risk assets all fell on Monday, as the S&P 500 set a new low for 2022 and officially closed in bear territory. Also, the 2-yr and 10-yr treasury yields briefly inverted for the first time since April, a leading recession indicator. All eyes will be on the Fed this week as they announce their rate hike on Wednesday.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -9.22%
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: -3.85%
ES is now OTFD for two consecutive weeks. The 3872 weekly low from two weeks ago is close by.
Prior week’s close: 3900.5
Daily Change: -3.81%
The selling that happened on Friday continued into today. Globex opened Sunday night with a gap down and and RTH did also. Rolling over to the September contract and ES is OTFD for 7 sessions.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4183
Lows:
3872,3807.5,3796.25, 3728.5, 3720.5
Performance & Technicals
Performance and Technical numbers are based on the ES June contract.
All other ES figures beyond this point are based off the September contract.
ES Composite Volume Profile (5 days)
ETH VAH: 4166.50
ETH VPOC: 4117.50
ETH VAL: 3840.50
ES RTH Volume Profile (today)
RTH VAH: 3806
RTH VPOC: 3779
RTH VAL: 3758
Prior Day RTH High and Low
T+2 High (for next RTH session): 3959.50
T+2 Low (for next RTH session): 3896.50
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 is 3781.25 and there’s excess below 3744.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was short. The ONO gapped down and was below the previous day’s LOD. Inventory in Globex was 100% short. There was virtually no buying except short covering. A new 2022 low was made during this Globex period.
ONO: 3877.25
ONH: 3878.50
ONL: 3798.25
ONRange: 80.25
Regular Trading Hours (RTH)
US Session:
The RTH open made a huge gap down from the previous day’s low and the T+2 low. Immediately after the NYSE opening bell, there was some short covering. Around 3820, short covering ran out and supply wouldn’t let ES trade any higher. The market came down rather rapidly, took out the ONL, but there were shorts covering above 3792.75. ES balanced above this level for about 20-30 minutes before the short covering stopped and ES fell 40 points down to 3750.5 moments after 11am. Supply shut off here and shorts covered again, which caused a 65 point bounce in ES. During the lunch hour, ES hit 3815.5, and buying dwindled. ES fell, traded in a range and made lower highs for the next few hours. Sellers searched for a bid and supply was shut off and turned on as the buyers were detected. In the NYSE’s final hour, supply broke down through the afternoon range and hit a new LOD at 3735.25 before shorts came, covered and stabilized the auction to the end of RTH.
O: 3799
H: 3819.5
L: 3735.25
Range: 84.25