ES[U22] Debrief 07/28/2022
Market Overview
GDP fell 0.9% for the second straight quarter, technically signaling a recession is here. Equities were unbothered as all 4 indices were green for the day. 10/11 sectors were positive with communications the only loser. Apple and Amazon both reported positive earnings after-hours which coincided with a strong bullish move past 4100 for S&P futures. Bitcoin and Ether continued on their run as well.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +7.49%
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: +2.74%
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: +1.22%
ES has been OTFU for three 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, 4111
Lows: 3994.50, 3938.75, 3913.25, 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: 4004.50
ETH VPOC: 3969
ETH VAL: 3916.50
ES RTH Volume Profile (today)
RTH VAH: 4088
RTH VPOC: 4073.50
RTH VAL: 4028
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 4071.25. There excess above 4088.25 where shorts are trapped beneath.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was above the previous day’s value area but inside the HOD. Inventory during Globex was mostly short. Once the GDP figure was released, ES sold off then buyers lifted the auction long and above VWAP. ES still remained inside the previous day’s HOD.
ONO: 4022
ONH: 4032.75
ONL: 4003.50
ONRange: 29.25
Regular Trading Hours (RTH)
US Session:
The RTH open was above the previous day’s value area but inside the price range. It was also above the T+2 high. At the opening bell, ES peeked above the ONH before correcting. Supply pressured ES to sell and get down below VWAP. Sellers continued to push ES lower as it erased the ONL and looked below 4000. Trapped shorts covered and there wasn’t enough supply to completely fill the single prints from the previous session. ES stabilized and did not accept below 4000 as supply ran out. From then on buyers lifted the auction and was OTFU for most of the day. After spending some time consolidating in the 4050 area, it continued upwards. It eventually broke through 4100 after the NYSE closing bell and ended RTH at 4105.25.
O: 4032
H: 4111
L: 3994.50
Range: 116.50