ES[U22] Debrief 08/25/2022
Market Overview
Markets gained for a 2nd straight day ahead of Fed Chair Powell’s remarks tomorrow at Jackson Hole. All 4 major indices and 11 sectors were positive on the day. The 10-year fell for the first time in 5 days.
Here is today’s S&P 500 heat map.
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 moved above the previous 2-day balance area to inch closer to last week’s close. It has ended six straight sessions of OTFD.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4327.50, 4315, 4295.50, 4288, 4221.50, 4202.75,
4161.75,4158.50Lows: 4143, 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: 4181
ETH VPOC: 4140
ETH VAL: 4127
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 4177.75
RTH VPOC: 4174.25
RTH VAL: 4149.75
Here is a chart of the past five sessions with a daily ETH/RTH Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 4176.50
Poor Low/High: 4202.75 (high)
Single Prints: 4185 to 4194 and underneath 4153
Here’s a TPO chart of today’s session with ETH/RTH Market Profile:
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was long at the prior day’s close. The ONO was a couple of points inside the prior day’s VAH. Inventory during Globex was mostly long. After trading just below the prior day’s high for several time periods, there was a strong 30-point move right before the London open that took out the PDHOD. Wholesalers distributed their position before inventory corrected heading into RTH. Most of the volume traded in Globex was at the PDHOD.
ONO: 4148.75
ONH: 4187.75
ONL: 4143
ONRange: 44.75
Regular Trading Hours (RTH)
US Session:
The ONO gapped up and was above the previous day’s HOD by one tick. It was also inside the T+2 high. Shorts moved ES down into the previous day’s value area at the open but there was no follow through. Supply fizzled out and buyers lifted ES 40-points through the prior day’s range. Unable to erase the ONH, inventory corrected back down into the previous day’s range but couldn’t get back into the PDVA. Short covering lifted ES above the PDH before longs lifted ES through the ONH. With 30 minutes remaining in NYSE trading, buyers took the auction to the 4200 level before backfilling back underneath.
O: 4158.75
H: 4202.75
L: 4147.50
Range: 55.25