ES[U22] Debrief 08/01/2022
Market Overview
Equities couldn’t start the month of August the way it ended July. All 4 indices fell as did 7/11 S&P sectors. Bitcoin and Ether dropped as well. Bond futures, /ZB and /ZN, rose for 5 straight sessions.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: -0.31%
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: 4133.50
Weekly Change: -0.31%
ES is OTFU for 3 straight weeks with 2 consecutive weeks in the green.
Prior week’s close: 4133.50
Daily Change: -0.31%
The previous day’s low held up and ES is not OTFU for 5 consecutive sessions despite losing 31 bps today.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4168.25, 4160, 4147.25,
4144.25,4144Lows: 4097, 4081, 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: 4147
ETH VPOC: 4120
ETH VAL: 3994.50
ES RTH Volume Profile (today)
RTH VAH: 4139
RTH VPOC: 4120
RTH VAL: 4114.50
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 today’s session with ETH/RTH Market Profile:
The TPOC was 4127.75 and there was excess below 4103.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was inside the previous day’s value area. Inventory in Globex was entirely short in a small range. There were several short positions where traders got trapped on the previous days’ upside moves. Leading into RTH, shorts sold the market off below VWAP and inside the T+2 high.
ONO: 4137.50
ONH: 4134
ONL: 4100
ONRange: 34
Regular Trading Hours (RTH)
US Session:
The RTH open was below the previous day’s VAL, but inside the LOD. Shorts tried to sell the market lower but supply ran out beneath 4100. Shorts covered and buyers lifted ES above the T+2 high and ultimately above VWAP. Inventory corrected but supply ran out just below VWAP. The buying continued with ES rising above the previous day’s RTH close. At 4147.25, demand faded and sellers pushed the auction lower and underneath VWAP. Supply ran out just above 4100 as shorts came and covered at 4103.50. This caused a 30-point bounce and ES closed just below VWAP and roughly 10-points beneath the previous day.
O: 4105
H: 4147.25
L: 4097
Range: 50.25