ESU22 Debrief 06/27/2022
Market Overview
Not much action today as equities struggled to begin the week. Three of the four major indices were red to begin the week. Energy, utilities and health care were the only positive sectors today. Crypto’s market cap fell nearly 100 bps today.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -5.51]%
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: -0.32%
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: 3916.25
Daily Change: -0.32%
ES remained in a tight range today relative to several of the most recent sessions. In Globex it looked above the previous week’s high but came back in. During RTH, shorts tried to get down into the 3800s but it was a struggle as longs defended the level each time. Much of the day was spent range bound.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4168.25, 4160, 4144.25, 4030.5
Lows: 3781.25, 3735, 3693.25, 3661.5, 3639, 3596, 3592.25, 3575.25, 3545.5, 3518, 3506.5
Performance & Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 3886.50
ETH VPOC: 3765.50
ETH VAL: 3693.25
ES RTH Volume Profile (today)
RTH VAH: 3915
RTH VPOC: 3905
RTH VAL: 3898
Prior Day RTH High and Low
T+2 High (for next RTH session): 3919.75
T+2 Low (for next RTH session): 3831
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 3909.75 and there’s a double bottom at 3892.50.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
During the previous day’s session, wholesale’s position was long. The ONO was slightly above the previous day’s value area. Inventory during Globex started off short. Then just before midnight US time, inventory got long and remained long for nearly the remainder of Globex. A lack of supply prevented ES from trading and accepting below VWAP. Shorts tried to sell prior to the RTH open but the move down could not erase the 3911.75 swing low hit prior to the London open. The entire Globex session had higher lows.
ONO: 3915
ONH: 3948
ONL: 3895.50
ONRange: 52.50
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up compared to the previous day’s close. It was also above the T+2 high. After the opening bell, supply moved ES lower, crossed VWAP and filled the gap. Shorts continued to pressure the auction downwards and took out every stop on the way down. The ONL was erased and supply dried up at around minus 2 standard deviations. Shorts covered their positions and stabilized price. The short covering produced a slow rally with ES crossing VWAP again. ES made a double top just short of the RTH high from right after the open. Demand dwindled and shorts moved ES beneath VWAP and peeked below 3900. ES balanced in a 20 points channel (3892 to 3912) for the remainder of RTH.
O: 3928.75
H: 3931.75
L: 3892.50
Range: 39.25