ES[U22] Debrief 07/06/2022
Market Overview
Equities were mostly green today as 8/11 sectors were positive. 3/4 major indices were positive. There seemed to be uncertainty early on with the FOMC meeting minutes release looming. However, upon the release, the morning selling was overcome by a rally to finish the day. Bonds also fell as yields rose. As of this writing, the 2Y10Y yield curve remains inverted.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +1.55%
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: +0.55%
ES is OTFU for three straight weeks. Sellers missed ending this by a few points as they were unable to erase 3741.25.
Prior week’s close: 3827.25
Daily Change: +0.37%
ES gained back all of the early losses and was able to erase the previous day’s high. There wasn’t enough supply to erase the previous day’s low.
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: 3846.75
ETH VPOC: 3830.75
ETH VAL: 3816.25
ES RTH Volume Profile (today)
RTH VAH: 3848.75
RTH VPOC: 3830.75
RTH VAL: 3816.25
Prior Day RTH High and Low
T+2 High (for next RTH session): 3835.75
T+2 Low (for next RTH session): 3744
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 at 3824.50. There was excess above 3870.50 which trapped longs.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was long during the previous day’s close. The ONO was above the previous day’s HOD. Inventory in Globex was ranging between long and short, in and out of the previous day’s price range. All of the price action occurred above the previous day’s value area. Traders were trapped short with the prior day’s late rally.
ONO: 3838
ONH: 3848.75
ONL: 3808.75
ONRange: 40
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up and was above the previous day’s high by one point. It was also above the T+2 high. The opening hour was balanced with back and forth price action in a 30-point range. The ONH was erased by a few points but longs couldn’t follow through. Supply pushed ES lower however there wasn’t enough to erase the ONL. Once supply ran out longs slowly lifted ES. Upon the release of the FOMC meeting minutes the expected volatility ensued. Once the smoke cleared, longs elevated ES on a late rally similar to the previous day. The previous day’s high was erased before supply was encountered at 3875. ES fell 30 points before closing above 3850.
O: 3836.75
H: 3875
L: 3811.50
Range: 63.50