ES[U22] Debrief 07/08/2022
Market Overview
The US economy exceeded expectations and added 372k new jobs in June and the unemployment rate remained 3.6%. The news sent stocks and bonds tumbling as yields rose. The positive labor data could be a sign for the Fed to continue with their aggressive tightening policy to combat inflation. All eyes will be on the CPI number coming next Wednesday. Stocks finished flat for the most part as 3/4 major indices were slightly red. Health care and tech were the only sectors that were up today.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +2.95%
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: +1.93%
There wasn’t enough supply to take out the previous week’s low of 3741.25. ES is now OTFU for four consecutive weeks. However, it also couldn’t trade above 3950 as trapped longs’ offers held the market down. WoW it was an inside week.
Prior week’s close: 3827.25
Daily Change: -0.10%
ES is OTFU for four 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, 3950
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: 3918
ETH VPOC: 3905
ETH VAL: 3823
ES RTH Volume Profile (today)
RTH VAH: 3918
RTH VPOC: 3905
RTH VAL: 3893
Prior Day RTH High and Low
T+2 High (for next RTH session): 3914.25
T+2 Low (for next RTH session): 3866.50
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 3905.50. There’s single prints below 3873.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At yesterday’s close, wholesale’s position was long. The ONO was inside of the previous day’s value area. Inventory during Globex was balanced in a 28-point range. It was long in the Asian session, then short in the middle of Globex before correcting long leading up to the NFP data release. There are shorts trapped below 3876.25 from the previous day’s early rally to the upside. The initial reaction to better than expected NFP data was negative. Bond and equity futures both sold off as Treasury yields rose. ES sold off and erased the previous ONL but did not have enough supply to erase the previous day’s low. Inventory was correcting off the low and approached VWAP prior to RTH.
ONO: 3897
ONH: 3909
ONL: 3868
ONRange: 41
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area by one tick. It was also above the T+2 high. Shortly after the US open, shorts moved ES beneath the previous day’s value area but supply ran out around negative 2 standard deviations below VWAP. The ONL was front ran as shorts came and stabilized the market. Buyers then moved ES back into the previous day’s value area and over VWAP. The ONH and previous day’s high were erased before supply was encountered. Shorts weighed the auction down as it consolidated with lower highs and higher lows inside a 40-point range for the remainder of RTH. It closed RTH and the week above 3900 but slightly below the previous day’s settlement.
O: 3887.50
H: 3922
L: 3871.50
Range: 50.5