ES[U22] Debrief 08/22/2022
Market Overview
Risk assets continued their fall today with every major index falling at least 190 bps. Every S&P sector was negative as the VIX spiked 17%. Treasury yields were up as bonds fell.
Events this week:
Aug. 24: Tesla 3-for-1 stock split after the close
Aug. 25: Real GDP revision
Aug. 26: Fed Chair Jerome Powell to speak at Jackson Hole Symposium, Core PCE and UMich consumer sentiment index
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 continues to slide and is OTFD for four straight sessions. It has broken the 4200 and 50% Fibonacci level. It’s now back in a prior area of balance (4080.5 through 4188).
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4327.50, 4315, 4295.50, 4288, 4221.50
Lows:
4220.75,4208.25,4202.75, 4131.50, 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: 4315
ETH VPOC: 4277
ETH VAL: 4231.50
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 4160.75
RTH VPOC: 4140.75
RTH VAL: 4131.75
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 4157. Single prints were left above 4170.75 with small areas elsewhere on the profile.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale’s position at the previous day’s close was short. The ONO was just inside the previous day’s low by a single tick. Inventory during Globex was 100% short. There was heavy supply in Globex pushing the auction down and getting beneath the 4200 level. A poor high was placed at 4221.25 and there were two sections of single prints (4190 - 4195.75 and 4197.25 - 4202.75). Longs are trapped overhead in conjunction with large sellers thus having the creation of overhead supply.
ONO: 4221
ONH: 4221.25
ONL: 4175.50
ONRange: 45.75
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down and was below the previous day’s low and T+2 low. Today’s RTH session was all supply. Buyers could barely lift the auction to fill any part of the ON gap, which as of right now is between 4180.5 and 4220.75. Sellers pushed the auction lower the entire RTH with some moments of short covering. When the short covering ended ES continued to fall. There were two high volume areas in the RTH session (4154 through 4165 and 4138 through 4144.25).
O: 4178.75
H: 4180.50
L: 4131.50
Range: 49