ES[U22] Debrief 07/13/2022
Market Overview
CPI came in hotter than expected at 9.1% YoY. Combine that with the strong labor numbers last week and it’s expected that the Fed will continue to aggresively raise rates to tame inflation. Another 75 bps rate hike in a few weeks is all but guaranteed with a 100 bps hike a possibility as well. All 4 major indices fell today. The yield curve inversion got deeper as a result of today’s inflation print.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +0.40%
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: -2.48%
Last week, 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, ES also couldn’t trade above 3950 as trapped longs’ offers held the market down. WoW it was an inside week last week.
Prior week’s close: 3901.25
Daily Change: -0.50%
In a wild trading day, ES failed to take out the previous day’s high and is now OTFD for four straight sessions.
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, 3900.75, 3876.5, 3834.75
Lows: 3760.5, 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: 3916.25
ETH VPOC: 3856.25
ETH VAL: 3827.75
ES RTH Volume Profile (today)
RTH VAH: 3832.50
RTH VPOC: 3808
RTH VAL: 3794.50
Prior Day RTH High and Low
T+2 High (for next RTH session): 3876.50
T+2 Low (for next RTH session): 3804.75
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 3816.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was short. The ONO was inside of the previous day’s price range but below the value area. Inventory during Globex was mostly long in a smaller range. All of the ON price action was inside of yesterday’s RTH range where the middle set of single prints resided. The upper and lower singles were still untouched and size would be needed to break into those zones where traders are trapped. The CPI number at 8:30am EST came out hotter than anticipated and ES reacted violently. It quickly trapped longs by accelerating up and erased the ONH. It then sold off more than 100-points in a hurry before stabilizing.
ONO: 3825
ONH: 3873
ONL: 3752
ONRange: 121
Below is the 2 min candle after the 8:30am CPI announcement showing the move down where there were 0 trades on the bid and offer.
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down below the previous day’s low and below the T+2 low. After the open, shorts tried to sell the market down but ran out of supply and failed to get anywhere near the ONL. ES rotated up towards VWAP and buyers were eventually able to get it up and over. Eventually they got the auction back into the previous day’s range but failed to get into the value area. Longs are trapped above and there wasn’t enough demand to erase their offers. It traded sideways underneath the previous day’s VAL and current day’s VWAP for several time periods. Eventually demand weaned off and shorts pushed ES beneath the previous day’s low and underneath VWAP where ES closed RTH.
O: 3765.25
H: 3834.75
L: 3760.50
Range: 74.25