ES[U22] Debrief 08/24/2022
Market Overview
Another lackluster day for the markets. 4/4 major indices and 11/11 sectors finished positive for the day. Yield on the 10-year Treasury rose for the 4th day in a row.
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: By failing to surpass the previous day’s high, ES is now OTFD for six straight sessions. The past two sessions have been in balance with all price action between 4110.75 and 4161.75.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4327.50, 4315, 4295.50, 4288, 4221.50, 4161.75, 4158.50
Lows:
4118,4113.75,4113, 4110.75, 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: 4235
ETH VPOC: 4140
ETH VAL: 4111
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 4151
RTH VPOC: 4140
RTH VAL: 4132.50
Here is a chart of the past five sessions with a daily ETH/RTH Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 4140.5
Poor Low/High: n/a
Single Prints: 4121.25 to 4125.75, 4157.25 to 4158.5
Here’s a TPO chart of today’s session with ETH/RTH Market Profile:
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
At the previous day’s close, wholesale was short. The ONO was just below the prior day’s VAL. Inventory during Globex was balanced. It spent roughly as much time short below the previous day’s close as it did above. For the first half of Globex, ES was short and went beneath VWAP and the previous day’s LOD. After London opened and a few time periods went by, buyers took ES above VWAP and back into the prior day’s price range.
ONO: 4128.25
ONH: 4142
ONL: 4110.75
ONRange: 31.25
Regular Trading Hours (RTH)
US Session:
The RTH open was one tick below the previous day’s value area and beneath the T+2 low. At the open, ES fell down outside the prior day’s low momentarily. Lack of supply resulted in no follow through so short covering was able to lift ES through the ONH and prior day’s value area. This rise came a couple of points short of the prior day’s high before demand faded. ES fell back into the PDVA and ON range as sellers searched for the bid. Supply ran out underneath VWAP / several points above the prior day’s VAL. The auction rose again amid short covering and wholesale distributing above VWAP. Overall, RTH was rotational within a small range.
O: 4128.50
H: 4158.50
L: 4121.25
Range: 37.25