ES[U22] Debrief 06/28/2022
Market Overview
All risk assets fell today from stocks to crypto. Every stock index was red. The only sector that registered a gain was energy. Many other commodity futures rose as uncertainty in the macro environment continues to prevent rallies from following through.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -7.40%
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: -2.32%
ES broke a three-week streak of losses and ended OTFD. In addition, the gap from last week and the previous week was filled.
Daily Change: -2.00%
ES jumped at the open, then fell with no bid in sight. ES is beginning to consolidate into a sideways channel.
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: 3950
ETH VPOC: 3908
ETH VAL: 3785.50
ES RTH Volume Profile (today)
RTH VAH: 3897.50
RTH VPOC: 3825
RTH VAL: 3822
Prior Day RTH High and Low
T+2 High (for next RTH session): 3931.75
T+2 Low (for next RTH session): 3892.5
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 3828.50. The market profile for RTH was long and thin, not spending more than 5 time periods in any one spot.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale’s position at the previous day’s close was short. The ONO was inside of the previous day’s value area. Inventory in Globex was ranging. It was short initially and looked below the previous day’s VAL but failed. ES then got long leading up to the London open. It remained long for much of the remainder of Globex. Shorts were trapped prior to RTH.
ONO: 3911.25
ONH: 3937.75
ONL: 3885.75
ONRange: 52
Regular Trading Hours (RTH)
US Session:
The RTH open was above the previous day’s value area but inside the RTH high. It was also a couple of ticks above the T+2 high. At the open, size traders dropped their offers once they saw demand. This led to a stop run in the first few minutes of RTH with buyers lifting ES 30 points. Trapped shorts were forced to cover at higher prices. Once demand fizzled and short covering ended at 3950, the RTH HOD, supply was met and the auction fell. There was little responsive buying as shorts moved ES lower and lower for the entire RTH session. Peak to trough it was almost a 130 point move down. The auction traded in a 20 point range for the final 2 hours and was able to accept inside the gap from 3805.75 to 3831 by a few points.
O: 3920.25
H: 3950
L: 3821.75
Range: 128.25