ES[U22] Debrief 07/11/2022
Market Overview
It was a rough start to the week for risk assets. All the major indices fell along with 9/11 sectors. Utilities and real estate were the only positive sectors. Bitcoin and Ether dropped while bonds rose.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +1.77%
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: -1.14%
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: 3901.25
Daily Change: -1.14%
ES’ string of four consecutive OTFU days was broken today.
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, 3922
Lows: 3808.75, 3744, 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: 3916
ETH VPOC: 3858
ETH VAL: 3830.50
ES RTH Volume Profile (today)
RTH VAH: 3866
RTH VPOC: 3858
RTH VAL: 3853.50
Prior Day RTH High and Low
T+2 High (for next RTH session): 3922
T+2 Low (for next RTH session): 3871.50
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 3863.75.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was slightly long. The ONO was inside of the previous day’s value area. Inventory during Globex was entirely short. It sank below the previous day’s value area and low before coming back inside the low. There’s a poor low at 3863.50 where supply shut off.
ONO: 3900
ONH: 3900.75
ONL: 3863.5
ONRange: 36.25
Regular Trading Hours (RTH)
US Session:
The RTH open was several points inside the previous day’s low and below the value area. It was also inside the T+2 low. There was a strong push after the RTH opening bell which failed to get into the ON single prints. This was an indicator of trapped longs and overhead sellers. ES then reversed as supply moved ES beneath the previous day’s low, T+2 low and ONL. ES fell and put it a poor low at 3851.25 before supply shut off and short covering stabilized ES. Longs lifted ES as it rotated back above VWAP, the ON range and previous day’s range. Demand dwindled several ticks below the RTH high as supply was met. The auction rotated lower as shorts pushed ES back below the previous day’s range and ON range. Eventually the RTH poor low was erased by a couple of points before supply ran out and ES rotated back long towards VWAP. Trapped shorts and longs kept all price action rotating back and forth in a 35-point range.
O: 3873.50
H: 3884
L: 3850
Range: 34