ES[U22] Debrief 08/10/2022
Market Overview
Inflation eased with the US CPI print at 8.5% YoY, below expectations. Risk assets liked the news of easing inflation. All 4 major indices and 11 S&P sectors were green. Yields on the 3-month and 10-year Treasuries fell. Since the June 17th low, the S&P 500 is now up 15.7%. The Nasdaq-100 is up 21.2% since June 16th. The VIX hit 19 today for the first time since April 21st.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +1.85%
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: +1.53%
ES is OTFU for 4 straight weeks with 3 consecutive weeks in the green.
Prior week’s close: 4146.75
Daily Change: +2.07%
After 8 days of balance, ES is beginning to breakout. It broke through the May 31st high of 4202.25.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4213.50,
4202.25,4189,4188Lows: 4113.75, 4113, 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: 4166
ETH VPOC: 4143
ETH VAL: 4113.50
ES RTH Volume Profile (today)
RTH VAH: 4210.5
RTH VPOC: 4204
RTH VAL: 4196
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 4199. There was excess below 4183.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was short. The ONO was just inside the previous day’s VAH. Inventory during the earlier part of Globex was short. A few hours after the London open, inventory began correcting long. Once the July CPI number was released, ES bounced 70 points and erased the previous day’s high and T+2 high. There was also a gap left between 4151.25 and 4162.75. Traders were trapped short on this move up and ES reached a level were long-term resistance has been.
ONO: 4128.75
ONH: 4201.50
ONL: 4113.75
ONRange: 87.75
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up and was above the previous day’s high and T+2 high. There was a 60-point gap from the previous day’s high. After the opening bell, ES couldn’t accept above 4200 and rotated down 20 points before running out of supply. Buyers lifted ES above the ONH and it traded sideways in about a 20-point range for the remainder of RTH. It did bust through the 4202 high from late May.
O: 4199
H: 4213.50
L: 4178.50
Range: 35