ES[U22] Debrief 07/07/2022
Market Overview
Equities continued their rally. 4/4 major indices and 10/11 sectors were up. The S&P just notched four days in a row of gains for the first time since March (24-29) when it closed at 4631.61. This was also the peak of that little rally that began in mid-March. All eyes will be on NFP data tomorrow at 8:30am as an indicator of US economic health. 268k jobs added in May is the consensus expectation.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +3.05%
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: +2.03%
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: +1.47%
ES is OTFU for three consecutive days.
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: 3819
ETH VPOC: 3783
ETH VAL: 3745.50
ES RTH Volume Profile (today)
RTH VAH: 3910.25
RTH VPOC: 3904.25
RTH VAL: 3887.25
Prior Day RTH High and Low
T+2 High (for next RTH session): 3875
T+2 Low (for next RTH session): 3811.50
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 is 3889.75. There were single prints on the move up underneath 3875.75, leaving shorts trapped.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale’s position at the previous day’s close was long. The ONO was slightly outside of the previous day’s value area but inside the price range. Inventory during Globex was short initially. The auction fell into the previous day’s value area and ran out of supply and bounced off VPOC. About 90 minutes before the London open inventory became long and rose above the previous day’s value area the VWAP. Short traders are trapped from the previous day’s late rally.
ONO: 3853.75
ONH: 3869.25
ONL: 3832.5
ONRange: 36.75
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s price range and above the value area. It was also above the T+2 high. Buyers lifted the auction 20-25 points right at the open, erasing the ONH and previous day high. There wasn’t much selling other than size traders backfilling demand, an indication of no supply. This was the theme for nearly all of RTH. Buyers would lift ES to new highs for the day. Backfill would then follow. Repeat. ES got as high as 3914.25 before falling back underneath 3900 in the final hour of RTH, after the NYSE close.
O: 386730
H: 3914.25
L: 3866.50
Range: 47.75