ES[U22] Debrief 08/26/2022
Market Overview
Lots happened today. The Core PCE index rose 4.6% Y/Y and 0.1% M/M, slightly lower than anticipated. At Jackson Hole, Fed Chair Powell’s remarks echoed past statements. But now, he was more blunt and direct. The Fed will do whatever is necessary to ensure that persistently high inflation is no more, even if it causes pain and hardship to individuals and businesses. Stocks got crushed today in response to the comments as $1.25T was lost. All indices and sectors bled. The S&P fell 3.37%, the largest daily loss in two months.
Here are some of today’s closing prices.
Top-Down Analysis
Below are the monthly (5-years), weekly (2-years) and daily (6-months) charts for ES.
M/M: August has erased July’s high, thus ending OTFD at five months. The last four months have been trading sideways in a range from 3639 to 4327.50.
W/W: ES has now suffered a second straight week of losses and ended the weekly streak of OTFU.
D/D: ES crashed through the previously held lows of this week. It took out the 4080.5 bottom of the 8-day balance zone from July 29 through August 9th.
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4327.50, 4315, 4295.50, 4288, 4221.50, 4217.25,
4202.75Lows:
4143,4110.75,4103.75,4084.5,4080.5, 4042.75, 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
5-Day Performance
Technicals
ES Composite Volume Profile (5 days)
ETH VAH: 4180
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: 4133
RTH VPOC: 4059.50
RTH VAL: 4051.50
Here is a chart of the past five sessions with a daily ETH/RTH Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 4106.25
RTH Poor Low/High: n/a
RTH Single Prints: 4059.5 to 4072.5; 4135 to 4150; 4155.5 to 4186.75
RTH Excess: below 4049 and above 4202.5
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 above the prior day’s value area but inside the high. Inventory during Globex was balanced and contained inside a small price range. The first half of Globex was slightly long with price slightly above the previous close and VWAP. Up until the Core PCE announcement, the latter part of Globex was slightly short below the prior day’s close and VWAP. When the Core PCE figure was announced, ES rose sharply over VWAP to the 2nd standard deviation before correcting and backfilling. Most of the Globex period was spent in between the previous day’s VAH and HOD. Right before RTH, a stop run occurred, taking out the PDHOD by 15-points before correcting back down.
ONO: 4198.25
ONH: 4217.25
ONL: 4180
Range: 37.25
Regular Trading Hours (RTH)
US Session:
The RTH open was above the previous day’s value area. It was inside the prior day’s high by a few points and above the T+2 high. There was some indecision at the opening bell between market participants. However, once Fed Chair Powell began to make his Jackson Hole comments, volatility picked up. ES quickly fell 50-points after initially rising above the PDHOD. This was just the beginning of the selloff. The bid was nowhere to be found as supply pushed the market further. The PDLOD, T+2 low and 4100 level were all taken out as ES experienced heavy selling the entire RTH session from OTF sellers. Many longs were trapped today.
O: 4200.75
H: 4206.25
L: 4043.25
Range: 163