ES[U22] Debrief 07/14/2022
Market Overview
The new PPI figure was 11.3% as a result of higher energy costs. Risk assets sold off again this morning on the news. The inverted yield curve also steepened. Several Fed officials spoke in the afternoon and signaled that they wouldn’t hike beyond 75 bps at the next meeting. Risk assets rallied but 3/4 indices still finished down on the day.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +0.10%
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: -2.77%
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: -0.30%
ES is OTFD for five consecutive 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: 3918.25
ETH VPOC: 3856.25
ETH VAL: 3795.75
ES RTH Volume Profile (today)
RTH VAH: 3800
RTH VPOC: 3794.25
RTH VAL: 3743.75
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 3757.75. There are single prints 3774.5 to 3785 indicating trapped shorts.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was short. The ONO was just inside the previous day’s value area. Inventory during Globex was short. ES traded below the previous day’s LOD briefly before supply ran out and short covering brought it back in range.
ONO: 3795.75
ONH: 3806.25
ONL: 3742
ONRange: 64.25
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down and opened below the previous day’s RTH low. It was also below the T+2 low. A push long at the opening bell couldn’t quite fill the ON gap before supply took the auction lower. Supply ran out at 3723.75 (-50% Fib level of the previous day’s high and low). Shorts covered and ES stabilized then moved upwards. Longs lifted ES back into the ON range, through VWAP and into the previous day’s range to fill the gap. Eventually ES got into the previous day’s value area but failed to hit the POC.
O: 3749.75
H: 3800
L: 3723.75
Range: 76.25