ES[U22] Debrief 07/29/2022
Market Overview
Another positive day for the markets with all 4 indices finishing green. 9/11 sectors were up as health care and consumer staples fell. Treasury yields fell while Bitcoin and Ether continue to rise.
Here are some of Friday’s closing prices.
Top-Down Analysis
Monthly Change: +9.08%
ES couldn’t take out June’s high of 4189 so it’s OTFD for 5 straight months. However, ES finished up 9% MoM. July was an inside month failing to erase the high and low from June.
Prior month’s close: 3789.50
Weekly Change: +4.25%
ES is OTFU for 3 straight weeks with 2 consecutive weeks in the green.
Prior week’s close: 3965
Daily Change: +1.47%
ES has had three straight green sessions and four sessions of OTFU. It’s now been accepted back in the 4070 to 4200 balance area from early June.
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, 4144,
4111Lows: 4051, 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: 4054.50
ETH VPOC: 3969
ETH VAL: 3913.50
ES RTH Volume Profile (Friday)
RTH VAH: 4142.25
RTH VPOC: 4133.75
RTH VAL: 4108.75
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 Friday’s session with ETH/RTH Market Profile:
The TPOC was 4107.75. There was excess below 4093.25 and above 4140.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was extremely long. The ONO was above the previous day’s value area but inside the HOD. Inventory during Globex was flat and balanced underneath the previous day’s close. All single prints from the bullish move upwards at the end of the day were filled in Globex. The costs basis from the previous day was the 4073.5 and 4053.25 distributions. Shorts got trapped on the move up.
ONO: 4105
ONH: 4108.75
ONL: 4085
ONRange: 23.75
Regular Trading Hours (RTH)
US Session:
The RTH open was above the previous day’s value area and inside the HOD. It was also above the T+2 high. Shorts pressured the market down at the RTH open but supply ran out just before the previous day’s VPOC. From there, buyers lifted ES above VWAP and the ONH. Inventory corrected briefly before running out of supply around 4093.50. Buyers lifted the auction from then on out as ES OTFU and set new session highs for the remainder of RTH. It got up to 4140 for the first time since the 9th of June.
O: 4101.25
H: 4144
L: 4081
Range: 63