ESU22 Debrief 06/17/2022
Market Overview
The S&P just finished the worst week since 2020 on a positive note. The market was a mixed bag on Friday. Three of four indexes were positive. Six of the eleven S&P sectors were up to end the day. The Big 5 mega caps all registered gains. Bitcoin and Ethereum fell again.
Here are some of Friday’s closing prices.
Top-Down Analysis
Monthly Change: -11.03%
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: -5.76%
ES has now been OTFD for three consecutive weeks. There was also a gap left unfilled on a weekly time frame from 3878.5 to 3896.5.
Prior week’s close: 3900.5
Daily Change: +0.12%
ES has been OTFD for three trading days. Friday’s session set a new low for the week, month and year again.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4183
Lows: 3596, 3592.25, 3575.25, 3545.5, 3518, 3506.5
Performance & Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3772.75
ETH VPOC: 3675.25
ETH VAL: 3644.25
ES RTH Volume Profile (Friday)
RTH VAH: 3699.75
RTH VPOC: 3675.25
RTH VAL: 3669.75
Prior Day RTH High and Low
T+2 High (for next RTH session): 3711.75
T+2 Low (for next RTH session): 3642
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:
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale’s position at the previous day’s close was extremely short. The ONO was inside of the previous day’s value area. Inventory during Globex was almost entirely long. Shorts were trapped from Thursday’s leg down as ES couldn’t sustain any attempts to trade below the previous day’s VPOC. Size traders were selling inventory that was acquired at lower prices above the current day’s VWAP. ES tried several times to look above the previous day’s HOD, but failed to take out the seller in that area. Heading into the RTH open, inventory began to correct as it crossed VWAP to the downside.
ONO: 3680.5
ONH: 3713.50
ONL: 3668.50
ONRange: 45
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area and below the T+2 low. Buyers scooped the offers right after the opening bell and ES bounced off the -2 standard deviation, sliced through VWAP and tested the ONH. It failed to take it out as a seller at 3711.75 absorbed all the demand. Buyers got weaker and ES began melting with supply above it. Eventually the ONL and previous day’s LOD were broken before shorts gave ES a bid. ES slowly trended upwards. It eventually crossed VWAP again and put in several attempts to erase the RTH high but failed. ES was rangebound for the rest of the session and finished a few points above the prior day’s close.
O: 3672.75
H: 3711.75
L: 3639
Range: 72.75