ES[U22] Debrief 08/05/2022
Market Overview
Non-farm payrolls added 528k jobs in July, more than double what was anticipated. Equities were mixed in their reaction to the news. Futures sold off immediately after. However, during the trading day, most of the losses were mostly gained back. Nasdaq and S&P fell, while the Dow and Russell were up for the day. Treasury yields gained as the market may be anticipating continued aggression in the Fed’s fight against inflation with the labor market still displaying signs of strength.
Here are some of Friday’s closing prices.
Top-Down Analysis
Monthly Change: +0.32%
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: +0.32%
ES is OTFU for 4 straight weeks with 3 consecutive weeks in the green.
Prior week’s close: 4133.50
Daily Change: -0.13%
ES spent each session this week between 4080.5 and 4173.25. It was a range bound week of consolidation following last week’s upside move. 4202.25 remains a key level as long as ES is in this area.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4202.25, 4189, 4173.25, 4166.25
Lows:
4136, 4103.75, 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: 4163.5
ETH VPOC: 4155
ETH VAL: 4116
ES RTH Volume Profile (Friday)
RTH VAH: 4147
RTH VPOC: 4141
RTH VAL: 4125.5
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 4136.50 with excess at the top and bottom of the profile.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was slightly short. The ONO was inside the previous day’s value area. Inventory during Globex was mostly long. When the NFP figures were released at 8:30am, ES fell 60-points to erase the previous day’s LOD and T+2 low.
ONO: 4152
ONH: 4166.25
ONL: 4103.75
ONRange: 62.50
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down below the previous day’s LOD and T+2 low. Supply had run out as shorts couldn’t push ES below the ONL. Longs filled the ON gap to get back into the previous day’s range and value area. At the previous day’s POC, sellers were met and they pushed ES back down below the previous day’s low. Supply ran out again as ES couldn’t get back down to the RTH open. With a lack of supply, buyers slowly lifted ES back into the previous day’s range but got rejected at the value area. ES closed RTH roughly 10-points lower than the previous day. Longs are trapped above 4146 from the ON move down as ES could not accept above this level during RTH.
O: 4108
H: 4153.25
L: 4107.25
Range: 46