ES[U22] Debrief 08/19/2022
Market Overview
4/4 indices and 9/11 sectors fell today. Four weeks of gains ended for the S&P. Treasury yields were up while the total crypto market cap fell to under $1T for the first time since July 27th. Bitcoin and Ether each lost at least 9% today.
Here are some of today’s closing prices.
Top-Down Analysis
Below are the monthly (5-years), weekly (2-years) and daily (YTD) charts for ES.
MoM: In July, ES couldn’t take out June’s high of 4189 so it’s OTFD for five straight months. July was a positive month and broke the streak of three negative months in a row. It was an inside month failing to erase the high and low from June.
WoW: ES broke the streak of four consecutive weeks with gains by falling 116 bps. The lows of the previous week weren’t touched so ES is OTFU for six weeks now.
DoD: ES is OTFD for three consecutive sessions. The auction briefly dipped below the Fibonacci 50% retracement (YTD) before closing slightly over it. There are plenty of technical indicators in various timeframes that live between 4220 through 4225. The 4202 level is one to watch whether or not ES can remain above it.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4327.50, 4315, 4295.50, 4288
Lows:
4258,4255,4249, 4220.75, 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: 4305
ETH VPOC: 4276
ETH VAL: 4258.50
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 4241.75
RTH VPOC: 4230.75
RTH VAL: 4228.25
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 4236.50. Single prints were left above 4246 (to the RTH high) and below 4223.50 (to the RTH low).
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was long at the previous day’s close. The ONO was inside the previous day’s value area. Inventory during Globex was all short. There was a seller above 4288 and longs couldn’t bring ES above that price. ES fell with supply above and sellers searching to find demand.
ONO: 4287
ONH: 4288
ONL: 4241
ONRange: 47
Regular Trading Hours (RTH)
US Session:
RTH opened on a gap down below the previous day’s low. It was also above the T+2 low. Buyers couldn’t fill the ON gap after the opening bell so sellers moved the auction lower. ES moved below the T+2 low and the ONL. It continued to fall until supply ran out at 4225.50, just shy of the 50% Fibonacci level from the YTD high and low. Short covering brought ES up around 20 points, but it failed to accept inside the ON range. ES began falling again as buying faded and took out the 50% Fib level. Shorts covered and stabilized the auction as it got back above the 50% level to close RTH at 4228.50.
O: 4259
H: 4261.75
L: 4220.75
Range: 41