ES[U22] Debrief 06/29/2022
Market Overview
It was a rangebound day for the markets. 6/11 S&P sectors were positive and the index fell 7 basis points. The Dow was the only index to finish green. Treasury yields dropped again
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -7.50%
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: -2.43%
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: -0.11%
ES was rangebound in a tight range today. ES has traded inside of 3781.25 and 3950 for four straight sessions.
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: 3898.50
ETH VPOC: 3825
ETH VAL: 3740
ES RTH Volume Profile (today)
RTH VAH: 3829.25
RTH VPOC: 3820.25
RTH VAL: 3810.75
Prior Day RTH High and Low
T+2 High (for next RTH session): 3950
T+2 Low (for next RTH session): 3821.75
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 3820.75. There was a poor low at 3801.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was extremely short. The ONO was inside the prior day’s value area. Overnight inventory was slightly long for the first half of Globex before correcting short. The entire Globex session traded sideways in a very right range. Shorts were trapped below the gap from the previous week. And the previous day’s flush down trapped longs above.
ONO: 3828.25
ONH: 3840
ONL: 3812
ONRange: 28
Regular Trading Hours (RTH)
US Session:
The RTH open was just inside of the previous day’s value area. It was below the T+2 low. The first hour of RTH was rotational and choppy. Initially shorts, sold the market down and closed the gap from last week. After running out of supply at 3801.25, ES rallied and traded back into the previous day’s price range. The rally stalled and failed to take out the ONH at 3840. These ultimately turned out to be the boundaries as ES balanced and rotated inside this 38.75 range for the remainder of RTH. There was a poor low at 3801.25. This was indicative of trapped shorts whose bids were holding the auction up. On the opposite end, there were trapped longs above 3840 from the previous day’s sell-off. Their offers were holding the auction down.
The footprint chart below showing short cover buying into the offers from trapped longs at 3840.
The footprint chart below shows the poor low at 3801.25. Supply selling was shut off here as size traders saw demand in the order flow and dropped their offers. Price was able to move up with a low amount of trades on the offer side. There wasn’t that many trades on the bid size either so there might still be trapped shorts beneath. Shorts were front running when they looked to cover.
O: 3830
H: 3840
L: 3801.25
Range: 38.75