ES[U22] Debrief 08/30/2022
Day 3 of market selloff
Market Overview
Stocks fell for a 3rd straight day as the market adjusts to the hawkish Fed commentary of late. All indices and sectors dropped today. The S&P 500 is now down 5% since Fed Chair Powell’s Jackson Hole remarks. The 10-year yield was flat on the day.
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 traded above the prior day’s HOD momentarily but failed to stay. ES fell through the 4000 level and returned to a prior 6-day balance zone from July 20th to July 27th (3913.25 to 4042.75).
Unbroken Levels (M, W, D)
Highs: 4631, 4588.75, 4519.75, 4509, 4393.25, 4327.50, 4315, 4295.50, 4288, 4221.50, 4217.25, 4072.75,
4064Lows:
4006.75,3994.50, 3964.50, 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 & Metrics
Performance
Metrics
ES Composite Volume Profile (5 days)
ETH VAH: 4140
ETH VPOC: 3986.50
ETH VAL: 3968
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 3996.50
RTH VPOC: 3986.50
RTH VAL: 3974.50
Here is a chart of the past five sessions with a daily ETH/RTH split Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 3988.25
RTH Poor Low/High: none
RTH Single Prints: 4008 to 4020.25
RTH Excess: 3964.50 to 3968.50; 4029 to 4041.75
Here’s a TPO chart of today’s session with ETH/RTH split Market Profile:
Session Recap
Electronic Trading Hours (ETH)
Globex Session:
Wholesale was short at the prior day’s close. The ONO was inside the previous day’s value area, slightly above the 4031.5 VPOC. Inventory was flat to begin Globex. After 10 time periods, large traders moved ES higher to distribute their position above VWAP. Buyers took the offer and raised ES above the prior day’s value area and HOD. Roughly six TPO periods were spent trading near or above the prior day’s HOD before buyers faded. A poor high was left at 4072.75. ES corrected and fell back into the prior day’s value area and below VWAP. Longs are still trapped from Friday’s selloff which is resulting in sellers above. ES was unable to get into the composite 5-day value area before reversing to the downside.
ONO: 4035.75
ONH: 4072.75
ONL: 4026.75
Range: 46
Regular Trading Hours (RTH)
US Session:
The RTH open was inside of the prior day’s value area, between VPOC and the VAH. It was also above the T+2 low by 1-point. The lack of buying towards the end of Globex continued through the NY open. Supply with no demand led to ES falling below the T+2 low, ONL and the prior day’s ETH and RTH lows. ES continued to fall until shorts came and covered at 3968.50 to stabilize the auction. After a few hours, short covering ended and ES put in a LOD at 3964.50. Shorts covered again as ES bounced 30-points but failed to get over VWAP. RTH ended 13.5-points below 4000.
O: 4043.75
H: 4046.50
L: 3964.50
Range: 82