ESU22 Debrief 06/21/2022
Market Overview
The markets caught a bid today as every S&P sector was positive. The rally was led by Energy, Discretionary and Staples. Of the Big 5, Tesla fared the best gaining nearly 10% on the day. Interest rates also rose as bond futures ticked lower. Crude oil and natural gas also gained for the day.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -8.80%
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: +2.50%
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: 3675.75
Daily Change: +2.50%
ES rallied and broke OTFD today. If the rally continues, 3843 and 3833.25 are the next set of daily highs within reach. Or does ES continue to balance in this zone?
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 3843, 3833.25
Lows: 4055.5, 4029.5, 4029.25, 4021, 4012.5, 3964.5, 3928.75
Performance & Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3766.75
ETH VPOC: 3675.25
ETH VAL: 3644.75
ES RTH Volume Profile (today)
RTH VAH: 3778
RTH VPOC: 3768.50
RTH VAL: 3764
Prior Day RTH High and Low
T+2 High (for next RTH session): 3711.75
T+2 Low (for next RTH session): 3639
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 3768.75. There was plenty of excess below 3756.75. The profile was P-shaped indicating short covering and longs lifted ES as size sold their inventory at higher prices. Shorts were trapped below 3725.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At Friday’s close, wholesale’s position was long. Yesterday, the NYSE was closed. Therefore, Globex encompassed the Sunday evening open and lead into RTH today. The ONO on Sunday was inside of Friday’s value area. Inventory got short then corrected early Monday morning during Globex. Inventory was long ever since. There was a poor high at 3749.
ONO: 3684
ONH: 3749
ONL: 3661.5
ONRange: 87.5
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up and opened above Friday’s HOD. It was also above the T+2 high. Right after the opening bell, longs swarmed the ask and lifted ES as there was no supply. The ONH / poor high was erased. Backfill in the opening hour was relatively short indicating a lack of supply and demand in the order flow. Size traders were selling into buyers are higher prices from last week’s cost basis. ES continued to soar and first encountered supply at 3781.25. Shorts moved the market lower by 25 points before supply ran out and failed to get down to VWAP. ES traded in a range for the remainder of the day. The RTH high was replaced by 3783.75 before correcting to end RTH.
O: 3736.25
H: 3783.75
L: 3735.50
Range: 48.25