ES[U22] Debrief 08/12/2022
Market Overview
All four indices and all eleven S&P sectors were up.
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +3.57%
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: +3.24%
ES is OTFU for five straight weeks with four consecutive weeks in the green.
Prior week’s close: 4146.75
Daily Change: +1.69%
4300.75 is the next unbroken high on a daily timeframe. ES got to within 20 points of this level. ES has been OTFU for three consecutive sessions.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4303.5, 4303, 4300.75, 4282.75,
4260.5Lows: 4208.25, 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: 4269.50
ETH VPOC: 4210
ETH VAL: 4179
ES RTH Volume Profile (today)
RTH VAH: 4282.5
RTH VPOC: 4280
RTH VAL: 4236.50
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 4238.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was flat. The ONO was below the previous day’s VAL by one tick. Inventory during Globex was flat with the first half slightly short and the back half slightly long. Traders were trapped above and below the auction.
ONO: 4219.25
ONH: 4237.50
ONL: 4208.25
ONRange: 29.25
Regular Trading Hours (RTH)
US Session:
The RTH open was inside the previous day’s value area and above the T+2 high. There wasn’t much selling after the opening bell. Shorts attempted but there wasn’t enough supply to get beneath the previous day’s value area. For the whole RTH session, ES was lifted by buyers, OTFU nearly the whole day. The 4300 through 4303 level was a key level from April to May. Buyers started to encounter sellers as they approached this area, unable to get above 4283.
O: 4231
H: 4282.75
L: 4221
Range: 61.75