ES[U22] Debrief 08/11/2022
Market Overview
2/4 indices gained today and 5/11 sectors were green. Bonds sold off and treasuries yields gained.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +1.84%
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: +1.52%
ES is OTFU for 4 straight weeks with 3 consecutive weeks in the green.
Prior week’s close: 4146.75
Daily Change: -0.01%
4300.75 is the next unbroken high on a daily timeframe. ES got halfway there today before sellers pushed the auction back down.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4300.75, 4260.5,
4213.50Lows: 4202.75, 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: 4202.50
ETH VPOC: 4125
ETH VAL: 4113
ES RTH Volume Profile (today)
RTH VAH: 4257
RTH VPOC: 4234
RTH VAL: 4219.50
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 4230.25 and the high volume distribution was 4230.5 through 4235.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was long. The ONO was above the previous day’s value area but inside the high. Inventory in Globex was entirely long. Shorts were trapped beneath 4178.25 and their bids were keeping the auction up.
ONO: 4210.75
ONH: 4247
ONL: 4206.75
ONRange: 40.25
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up and was above the previous day’s high and T+2 high. After the open, sellers tried to take the market down but couldn’t accept below VWAP. Buyers lifted the offer and erased the ONH. At 4260.5, supply was met and demand disappeared. ES fell underneath VWAP and stopped near the VPOC of Globex. It traded there in a sideways 19-point range and made the largest volume node for RTH. In the final hours of RTH, supply pushed the auction below this short-term range. ES eventually fell into the previous day’s range and value area, running out of supply several points below the previous day’s VPOC. Shorts covered and ES closed RTH about 8-points above the previous day.
O: 4240.5
H: 4260.5
L: 4202.75
Range: 57.75