ES[U22] Debrief 08/04/2022
Market Overview
Today was an uneventful day in the market. 3/4 indices were down with the Nasdaq the only riser. 4/11 S&P sectors were down. Treasury yields, Bitcoin and Ether all fell also. The yield curve inversion between the 2-yr and 10-yr continues to steepen.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +0.45%
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: +0.45%
ES is OTFU for 3 straight weeks with 2 consecutive weeks in the green.
Prior week’s close: 4133.50
Daily Change: -0.10%
ES is OTFU for three straight sessions. Today was nearly an inside day but the previous day’s high was erased by a couple of points.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4173.25,
4170Lows: 4136, 4084.5, 4080.5, 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: 4141
ETH VPOC: 4120
ETH VAL: 4093
ES RTH Volume Profile (today)
RTH VAH: 4157.50
RTH VPOC: 4153.50
RTH VAL: 4147.50
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 4152. There was excess below 4139.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was inside the prior day’s value area. Inventory during Globex was flat and balanced. A few hours after the London open, it bounced off VWAP to get long and took out the previous day’s high by a couple of points. It corrected right before RTH and got near the previous day’s RTH close.
ONO: 4150.25
ONH: 4173.25
ONL: 4148
ONRange: 25.25
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area. It was also above the T+2 high. The RTH session was mostly balanced, back and forth in a small range. Shorts erased the ONL but could not get the auction down below the previous day’s value area due to lack of supply and trapped shorts. Longs above 4189 from several months ago have been applying selling pressure to keep ES from accepting above 4170.
O: 4155.75
H: 4163
L: 4136
Range: 27