ES[U22] Debrief 07/15/2022
Market Overview
The stock market finished the week on a positive note. All 4 indices were green. Treasury yields sank.
Here are some of Friday’s closing prices.
Top-Down Analysis
Monthly Change: +1.99%
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: -0.93%
After selling off earlier in the week, ES recovered a lot of the losses but still finished the week down 93 bps. The past 5 weeks for ES have been going sideways in a range between 3639 to 3950.
Prior week’s close: 3901.25
Daily Change: +1.89%
Friday’s rally broke up OTFD.
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,
3834.75Lows: 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: 3869.75
ETH VPOC: 3856.25
ETH VAL: 3789.75
ES RTH Volume Profile (Friday)
RTH VAH: 3862.5
RTH VPOC: 3857
RTH VAL: 3845.50
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 Friday’s session with ETH/RTH Market Profile:
The TPOC was 3854.75. There were single prints below 3825.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was flat and ended RTH right where the previous session did. The ONO was inside of the previous day’s value area. Inventory in Globex was balanced and rotating (long, short momentarily, long, short for a moment and long again). The auction remained in a 31-point range throughout. Traders are trapped short from the previous day’s rally up. Retail sales data was released at 8:30am. Did a quick stop run to the downside before taking off upwards to new a ONH.
ONO: 3797.75
ONH: 3840.25
ONL: 3780.25
ONRange: 60
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up and was above the previous day’s high and the T+2 high. At the opening bell, there was an initial stop run before shorts sold and were searching for a bid. Supply ran out at 3819.75 as it could not fill the gap. Buyers lifted the auction and ES rose above the ONH. After reaching the 3850 level, ES remained balance for the remainder of RTH. It traded in a channel from 3747 to 3868.
O: 3840
H: 3868.25
L: 3819.75
Range: 48.50