ESU22 Debrief 06/15/2022
Market Overview
The Federal Reserve announced a rate hike of 0.75, the highest increase since ‘94. Markets were up leading into the announcement and they rallied more afterwards. 10 of 11 S&P sectors were positive, while Energy fell. Bitcoin and Ethereum even caught a bid, while US Treasury yields finally gave up some gains.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -8.28%
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: -2.85%
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: +1.40%
ES was long for most of the Globex session and erased the previous day’s high in the opening hour of NYSE trading. OTFD ended as a result. In May’s rate hike announcement, markets rallied on the news also. Then the following two days, they were crushed. Will today’s rally last for the next few days?
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: 3810.5
ETH VPOC: 3775
ETH VAL: 3733.50
ES RTH Volume Profile (today)
RTH VAH: 3799
RTH VPOC: 3794
RTH VAL: 3764
Prior Day RTH High and Low
T+2 High (for next RTH session): 3782
T+2 Low (for next RTH session): 3708.5
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 3788.25 with excess above 3830.5 and below 3739.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was short. The ONO was inside the previous day’s value area. Inventory in Globex was almost 100% long. Shorts covered and held ES up above 3739.50, near the previous day’s VPOC.
ONO: 3743.5
ONH: 3782.75
ONL: 3739.50
ONRange: 43.25
Regular Trading Hours (RTH)
US Session:
The RTH open was above the previous day’s VAH, but inside the price range. It was also inside of the T+2 high and low. After the opening bell, ES was going back and forth in 10 point swings while trending lower. At 3769.5, supply shut off and it bounced off VWAP to the upside. It went on to erase the ONH and eventually the previous day’s RTH high. Inventory began to correct towards the end of IB period and continued to do so following. Supply sent ES on a descent which erased the IBL and cut through VWAP. ES then rotated around VWAP and between the plus and minus 1 standard deviation levels for the remainder of the morning and into the afternoon heading into FOMC. After the announcement of the interest rate hike, ES whipsawed back and forth in an 80 point range. As Fed Chair Powell spoke to the press, supply moved ES lower and erased the IBL. At 3723.5, supply shut off and ES gradually trended upwards. Longs lifted ES nearly 120 points off the low, above the previous day’s and T+2 high before supply was met. The move upwards partially filled the gap from Friday to Monday, leaving 50 points unfilled. ES ended RTH slightly below 3800.
O: 3776.25
H: 3843
L: 3723.5
Range: 119.50