ESU22 Debrief 06/23/2022
Market Overview
Equities had another positive session. All the major indices finished up for the day. Even Bitcoin and Ether caught a bid. Yields and commodities continued their fall.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -8.02%
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: +3.37%
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: +0.98%
ES is now OTFU for four consecutive sessions. Today was almost an inside day but it got above the previous day’s high by a tick.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4183 3843, 3833.25
Lows: 3596, 3592.25, 3575.25, 3545.5, 3518, 3506.5
Performance & Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3804
ETH VPOC: 3765.50
ETH VAL: 3702
ES RTH Volume Profile (today)
RTH VAH: 3801.50
RTH VPOC: 3780
RTH VAL: 3769.50
Prior Day RTH High and Low
T+2 High (for next RTH session): 3805.50
T+2 Low (for next RTH session): 3719.25
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 3787.75.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position had gotten short. The ONO was just below the previous day’s VAL, but inside the LOD. Inventory in Globex was range bound. It was mostly short and put it plenty of volume below the previous day’s value area. Then a few hours after London opened, it rotated long. With this move it got into the previous day’s value area, peeked above for a moment and put in a poor high at 3797. The Globex session was 100% inside the previous day’s price range.
ONO: 3761.25
ONH: 3797
ONL: 3735
ONRange: 62
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area and was also at the T+2 high to the tick. It was also right at the 1st standard deviation above VWAP. The initial 30 minutes of RTH were choppy and range bound. ES whipped back and forth running stops in both directions. Shorts tried to sell down below VWAP but buyers came so sellers dropped their offers so ES ascended. The O/N poor high was taken out and sellers defended the 3800 level. ES rotated back and forth in a 50 point range for the remainder of RTH. It met strong supply at 3799.75, a temporary peak. ES then fell and ran out of supply at 3745.75, not enough supply to erase the ONL. The auction then rose to a new RTH high of 3805.75 (one tick above the previous day’s high) before correcting down to 3784.25 to end RTH.
O: 3783.75
H: 3805.75
L: 3745.75
Range: 60