ES[U22] Debrief 07/01/2022
Market Overview
Friday was a positive day for the market. There was plenty of green as all major indices closed positive to begin the new month and quarter. Treasury yields and crypto continued to struggle.
Here are some of Friday’s closing prices.
Top-Down Analysis
Monthly Change: +1.00%
ES has been OTFD for four consecutive months. If longs can’t erase the June high of 4189, then this trend will continue for a fifth straight month.
Prior month’s close: 3789.50
Weekly Change: -2.27%
Despite losing 2% on the week, ES is OTFU for three straight weeks.
Prior week’s close: 3916.25
Daily Change: +1.00%
ES started the new month and quarter in the green, despite dropping on the weekly time frame. ES has spent the last 14 trading sessions between 3639 and 3950.
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: 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: 3845
ETH VPOC: 3825.50
ETH VAL: 3741.50
ES RTH Volume Profile (Friday)
RTH VAH: 3882
RTH VPOC: 3825.50
RTH VAL: 3778.50
Prior Day RTH High and Low
T+2 High (for next RTH session): 3822.75
T+2 Low (for next RTH session): 3741.25
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 Friday’s session with ETH/RTH Market Profile:
The TPOC was 3783.75 and there were single prints underneath 3761.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale’s position during the previous day’s close was short. The ONO was inside of the previous day’s value area. Inventory during Globex was rotational (accumulation/distribution) in a 50 point range. The majority of Globex was short but it’s spent some time distributing long. Traders that went short near the previous day’s low are trapped and held ES up as it was unable to test or erase the PDLOD. Heading into RTH, the auction made a higher low and was long over VWAP and the previous day’s close. All of Globex was inside of the previous day’s range.
ONO: 3782
ONH: 3793.75
ONL: 3744.50
ONRange: 49.25
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area and below the T+2 low. The first hour of RTH was rotational. Longs continued to lift ES and they erased the ONH and got above the T+2 low. They failed to test the previous day’s high before supply was met. Longs disappeared and shorts moved the auction lower and back into the ON range and underneath VWAP. ES got into the minus 2 standard deviation but couldn’t continue lower before supply ran out and preserved the ONL. Longs brought the auction back to VWAP where it balanced for awhile before buyers lifted ES higher. The previous day high was erased and ES closed above 3800.
O: 3791.25
H: 3833.50
L: 3753.50
Range: 80