ESU22 Debrief 06/24/2022
Market Overview
There was barely any red in sight today as the stock market finished off what’s been an already good week with a bang. The S&P finally ended three straight weeks of decline. All the major indices and S&P sectors were green today. Bitcoin and Ether once again caught a bid. Treasury yields rose while most commodities continued to fall.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -5.20%
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: +6.54%
ES broke a three-week streak of losses and ended OTFD. In addition, the gap from last week and the previous week was filled.
Prior week’s close: 3675.75
Daily Change: +3.07%
Ever since ES gapped down to begin the previous week, the past eight sessions have all traded below 3878.5. That is until today when longs lifted ES back into the 3900 range. ES is now OTFU for 5 consecutive sessions.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4183
3843,3833.25Lows: 3596, 3592.25, 3575.25, 3545.5, 3518, 3506.5
Performance & Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3805
ETH VPOC: 3765.50
ETH VAL: 3718
ES RTH Volume Profile (today)
RTH VAH: 3910
RTH VPOC: 3890
RTH VAL: 3875
Prior Day RTH High and Low
T+2 High (for next RTH session): 3805.75
T+2 Low (for next RTH session): 3745.75
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 3886. Plenty of single prints below 3874.75. The 10am sharp move up trapped plenty of shorts (no trades on the bid at all).
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was inside of the previous day’s value area. Inventory in Globex was entirely long. The previous day RTH HOD was erased. The volume profile was P-shaped indicating shorts being trapped and kept the market propped up.
ONO: 3785.25
ONH: 3834.25
ONL: 3781.25
ONRange: 53
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up and was above the previous day’s high and T+2 high. There was very little supply or selling as buyers easily lifted ES into the previous week’s gap. Longs ran into supply just before filling the gap and ES began to stall at 3890. For nearly the remainder of the day, price action compressed and went sideways in a very tight range. With a lack of supply, ES slowly trended upwards creating higher highs and lows until it eventually filled the weekly gap and erased the weekly low from the week of 6/6/22. In the final half hour of NYSE trading, supply shut off and ES broke out of the balance range. The auction moved up 20 points and traded above the 3900 level for the first time in nine sessions. It remained there until the end of RTH and closed around 3915.
O: 3831.75
H: 3919.75
L: 3831
Range: 88.75