ES[U22] Debrief 07/26/2022
Market Overview
Risk assets fell ahead of tomorrow’s Fed funds target rate announcement. Treasury yields also fell as bonds rose. All 4 major indices ended the day with losses as did 8/11 sectors. Utilities, health care and real estate were the only sectors to register gains.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +3.53%
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: -1.05%
ES is OTFU for the past two weeks. 3820.25 will need to get erased to end OTFU.
Prior week’s close: 3965
Daily Change: -1.18%
ES’ drop today ended the string of OTFU.
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, 4016.25, 3988.75
Lows:
3946,3941.5,3930.25,3922.25, 3834, 3820.25, 3780.25, 3723.75, 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: 3977.50
ETH VPOC: 3957
ETH VAL: 3932.50
ES RTH Volume Profile (today)
RTH VAH: 3939.25
RTH VPOC: 3924.25
RTH VAL: 3918.25
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 3936.50. There were single prints above 3952 and below 3914.50.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was just short. The ONO was at the value area low and inside of the previous day’s trading range. Inventory during Globex was nearly all short in a very consolidated range. Trapped longs kept the auction from hitting the previous day’s VPOC. ES looked below the previous day’s low by a couple of ticks heading into RTH but couldn’t accept below it.
ONO: 3959
ONH: 3964.50
ONL: 3945.25
ONRange: 19.25
Regular Trading Hours (RTH)
US Session:
The RTH open was below the previous day’s value area but inside the price range. It was also inside the T+2 low. After the opening bell, there was little to no demand. Shorts pressured ES beneath the previous day’s low and T+2 low within the first hour. At 3917.50, supply shut off and shorts covered. The auction rotated up to 3937.75, failing to recapture the previous day’s low and T+2 low. Buyers faded and shorts pressured ES to a new LOD at 3913.25 before supply ran out again and shorts covered through the end of RTH. ES bounced about 25 points to end the session still underneath the previous day’s low and T+2 low.
O: 3952.75
H: 3955
L: 3913.25
Range: 41.75