ES[U22] Debrief 08/23/2022
Market Overview
It was an uneventful day. There was some economic housing and retail insight that came out today but the markets overall were blah. The S&P and Dow were slightly negative, the Nasdaq unchanged while the Russell was slightly positive. Treasury yields rose again. Bitcoin and Ether caught a little bounce.
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’ dive continues as it has been OTFD for five sessions. The descent has slowed as the market appears to wait until Fed Chair Powell’s Friday commentary before revealing its direction.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4327.50, 4315, 4295.50, 4288, 4221.50, 4147
Lows:
4131.50, 4118, 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: 4158
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 4143.25
RTH VPOC: 4136.25
RTH VAL: 4128.75
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 4137.50. There was a poor low at 4125 and single prints above 4157.25.
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale’s position was short at the previous day’s close. The ONO was inside the previous day’s value area. Inventory during Globex was balanced and ranging back and forth between being long and short over the prior close. Initially, the auction was hugged on VWAP before falling below. Then it corrected above as large traders sold their positions.
ONO: 4147
ONH: 4157
ONL: 4118
ONRange: 39
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the previous day’s value area. It was also below the T+2 low again. There wasn’t much excitement in RTH. It opened below the previous day’s close and longs took ES over VWAP. The ONH was punched out but demand fizzled four ticks above the previous day’s VAH. Supply pressured ES lower and it eventually slipped beneath VWAP and the previous day’s LOD. There was a strong bid holding the market up with not enough supply as a poor low was created at 4125. From then, short covering lifted ES and it traded sideways right underneath VWAP in a 15 to 20-point range for the rest of RTH.
O: 4137
H: 4161.75
L: 4125
Range: 36.75