ES[U22] Debrief 08/18/2022
Market Overview
A positive day for the stock market. All 4 major indices were up, as well as 7/11 sectors. Bitcoin and Ether bounced while Treasury yields fell. Lots of economic data was released today and it was all somewhat of a mixed bag (weekly jobless claims rising, positive Philadelphia Fed regional manufacturing data, slumping existing home sales, etc).
Here are some of today’s closing prices.
Top-Down Analysis
Monthly Change: +3.70%
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: +0.13%
ES is OTFU for five straight weeks with four consecutive weeks in the green.
Prior week’s close: 4281
Daily Change: +0.23%
ES had an inside day today as it was unable to trade beyond the high and low of the prior day.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4327.50, 4315, 4295.50
Lows: 4258, 4255, 4249, 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: 4301
ETH VPOC: 4276
ETH VAL: 4266
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 4288.50
RTH VPOC: 4288
RTH VAL: 4272.50
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 4279.50 with some excess above 4294.50 and below 4266.50.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale’s position was short. The ONO was inside the previous day’s value area. Inventory during Globex was mostly short. Sellers weren’t able to get below the previous day’s low. However, 3.5 hours before the US open, it corrected long and got over VWAP and the previous day’s VAH. Longs and shorts are both trapped from yesterday.
ONO: 4279.50
ONH: 4292.75
ONL: 4258
ONRange: 34.75
Regular Trading Hours (RTH)
US Session:
The RTH open was inside the previous day’s value area and below the T+2 low. In what was a rangebound day for the ES, sellers could not get below the previous day’s VAL. Bids turned ES around at that level and buyers lifted ES through VWAP and the previous day’s VAH. Sellers tried to push the auction down again but couldn’t get down to the prior swing low/PDVAL. Buyers stepped up and carried ES past the prior swing high and ONH before running out of steam well short of the previous day’s high. RTH ended at 4288.25.
O: 4277.5
H: 4295.50
L: 4264
Range: 31.50