ES[U22] Debrief 07/05/2022
Market Overview
The market was able to rally in the afternoon and erase all of the morning and overnight losses. Three of the four major indices finished the day in the green. Bitcoin and Ether were up as well. Crude oil dipped below $100. The 2Y and 10Y treasury yields inverted again as long duration yields all fell.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +1.17%
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: +0.18%
ES is OTFU for three straight weeks. ES went short earlier in today’s session and just missed the previous week’s low by a few points. That would have ended OTFU.
Prior week’s close: 3827.25
Daily Change: +0.18%
ES sold off and trapped shorts early in today’s RTH session. However, supply ran out and RTH closed slightly above Friday’s close. The past three sessions have been going sideways in a range between 3741.25 and 3857.75.
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: 3741.25, 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: 3837.50
ETH VPOC: 3825.50
ETH VAL: 3772
ES RTH Volume Profile (today)
RTH VAH: 3796
RTH VPOC: 3759
RTH VAL: 3745
Prior Day RTH High and Low
T+2 High (for next RTH session): 3833.50
T+2 Low (for next RTH session): 3753.50
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 3772.75. There were single prints between 3796.25 and 3805.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was inside of the previous day’s value area. Overnight inventory during the extended Globex session was ranging. Inventory for much of the July 3-4 ETH / Globex session was short. The NYSE was closed for the US holiday but the auction was in a 35-point range of 3793 to 3828.5 During the Asian open on the evening of July 4th, inventory got long and erased the previous day’s RTH HOD (from July 1). It remained long until just after London opened when it began to sell off. The sell off persisted towards the end of the Globex period and headed into RTH covering a peak to trough range of 85 points.
ONO: 3813.5 (3828.5 Sunday evening)
ONH: 3857.75
ONL: 3773.25
ONRange: 84.5
Regular Trading Hours (RTH)
US Session:
The RTH open was just below the previous day’s VAL, but inside of the price range. It was also above the T+2 low. There was very little demand during the open as the selling continued. The ONL was erased but the T+2 low held up. Shorts began to cover at 3744 which stabilized the auction. ES ping ponged in a 30 point range for several hours before supply shut off. ES rose above VWAP and got back into the previous day’s value area. Longs continued to acquire the offers and ES ascended above the previous day’s close and value area. Supply was encountered here but buyers were able to help ES maintain and close above for a slight gain.
O: 3774
H: 3835.75
L: 3744
Range: 91.75