ESU22 Debrief 06/14/2022
Market Overview
Three out of the four major indexes slid a little today. Technology and energy were the only sectors to end the day in positive territory. The markets were more cautious today ahead of tomorrow’s rate hike announcement and Fed commentary. Treasury yields rose again.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -9.55%
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: -4.20%
ES is now OTFD for two consecutive weeks. Unless there’s a strong rally after the Fed’s rate hike announcement and 4168.25 is erased, this trend will continue.
Prior week’s close: 3900.5
Daily Change: -0.37%
ES hit another 2022 low and finished slightly below the previous day’s close. ES is now OTFD for 8 consecutive sessions.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4183
Lows:
3728.5,3720.5, 3656.5, 3652.5
Performance & Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3943.75
ETH VPOC: 3740.25
ETH VAL: 3708.5
ES RTH Volume Profile (today)
RTH VAH: 3757.25
RTH VPOC: 3740.25
RTH VAL: 3732.25
Prior Day RTH High and Low
T+2 High (for next RTH session): 3819.5
T+2 Low (for next RTH session): 3735.25
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 3742.50 and plenty of excess below 3722.5.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was extremely short. The ONO was inside of the previous day’s value area. Inventory in Globex was mostly long above the previous day’s close. ES was hugging VWAP at the start of Globex before it moved above and corrected back underneath. Almost all of Globex was spent inside the previous day’s value area.
ONO: 3760.75
ONH: 3807.5
ONL: 3754.5
ONRange: 53
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area and below the T+2 low. ES also opened up above the previous day’s close. After the opening bell, supply pushed ES down and below the previous day’s VAL before it ran out once buyers came in. Longs tried to bid ES up above the previous day’s RTH 50% mark and it looked above and failed. Buyers failed to take out the offers from trapped longs at 3782. Supply then moved ES lower for the remainder of the morning and took out the previous day’s LOD during the lunch hour. Shorts covered here and ES bounced 30 points off the new low. Once the buying stopped, ES came down and retested the session low. It failed to take it out initially and in the final 90 minutes of NYSE trading, supply slammed the auction. ES erased the low and fell another 20 minutes to a new yearly low at 3708.50. Heavy short covering ensued to stabilize and lift ES but it still closed below yesterday’s closing price.
O: 3770.75
H: 3782
L: 3708.5
Range: 73.5