ES[U22] Debrief 06/30/2022
Market Overview
Stocks slumped again heading into this month’s and quarter’s end. This has been the worst six month start to a year for the S&P 500 since 1970. All major indices fell. Treasury yields were red also as the 10-year dipped below 3%. Bitcoin fell below 19k before rebounding.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -8.27%
ES is going to finish June down 8% and will continue OTFD for four straight months.
Prior month’s close: 4131.25
Weekly Change: -3.24%
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: -0.83%
ES is OTFD for the past three 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: 3893
ETH VPOC: 3825
ETH VAL: 3742
ES RTH Volume Profile (today)
RTH VAH: 3822.75
RTH VPOC: 3789.25
RTH VAL: 3767.25
Prior Day RTH High and Low
T+2 High (for next RTH session): 3840
T+2 Low (for next RTH session): 3801.25
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 3785.25 and there was excess below 3746.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was short. The ONO was inside of the previous day’s value area. Inventory during Globex was 100% short. The poor low / LOD from the prior day was erased. There are two cost basis areas (3755.5 and 3709.25) from the Globex sessions on 6/21/22 and 6/22/22 in which some size traders may be caught short.
ONO: 3822.75
ONH: 3824
ONL: 3760.75
ONRange: 63.25
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down and was below the previous day’s low and T+2 low. ES sold off to begin RTH. It broke the ONL and traded down another 20 points before supply shut off at 3741.25. Longs then lifted ES back into the ON range. Eventually, ES was able to fill the gap with the previous day and get into its value area. Supply near the ONH was strong as the auction failed to reach it. The auction went sideways for several hours ping-ponging back and forth with 15-25 point swings. Supply overwhelmed demand and ES began to trend lower. It fell below the previous day’s value area and LOD and sliced through VWAP in both directions. ES ended RTH below VWAP and slightly above the ON VPOC.
O: 3778
H: 3822.75
L: 3741.25
Range: 81.5