ESU22 Debrief 06/16/2022
Market Overview
Today followed a pattern similar to the Fed’s rate hike in May. The market rallied after the announcement and proceeded to sell off the next two days. All 11 sectors of the market fell today. This brought the S&P further into bear market territory. Tesla lost 8.5%. Bitcoin and Ethereum each fell more than 8%. Treasury yields dipped for the 2nd day in a row as bonds rose.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -11.13%
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: -5.88%
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: -3.22%
ES is OTFD the past two trading days after setting new lows for the week, month and year. 3737.5 is the halfway point of today’s session. If tomorrow’s session can get to halfback, there’s several upper stops from today’s Globex session with low volume where ES may rotate into. Longs are trapped above this area. If not, lower target might be in play.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4183
Lows:
3656.5,3652.5,3596, 3592.25, 3575.25, 3545.5, 3518, 3506.5
Performance & Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3843
ETH VPOC: 3775
ETH VAL: 3686.50
ES RTH Volume Profile (today)
RTH VAH: 3684
RTH VPOC: 3670
RTH VAL: 3656
Prior Day RTH High and Low
T+2 High (for next RTH session): 3843
T+2 Low (for next RTH session): 3723.5
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 3675.75 and plenty of excess above 3694.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was right at the previous day’s VAH. Inventory in Globex was long at the beginning. Several hours before the London open, inventory began to correct short. This turned out to be drastic selling to the short side with a roughly 140 point drop, peak to trough during Globex. The yearly low was erased during this fall with longs trapped above 3794.
ONO: 3799
ONH: 3833.25
ONL: 3695
ONRange: 138.25
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down and opened below the previous day’s low. The RTH open was also slightly below the T+2 low. At the opening bell, ES took a look above the T+2 low and failed. There was very little buying and follow through other than short covering. Supply continued to push down ES with no bids coming in. ES erased the ONL and set a new temporary swing low at 3658.75. Shorts covered and stabilized the auction at this point with supply shut off. For the next few hours, ES was boxed into a 30-35 point price range. Supply then forced the auction to fall out of this range and took it down another leg lower. A new low was hit at 3642 before shorts covered. ES stabilized and closed 40 points higher.
O: 3707.5
H: 3711.75
L: 3642
Range: 69.75