ES[U22] Debrief 08/31/2022
Stocks end the month with a 4-day slide
Market Overview
Stocks ended the month with a 4-day slide. All four indices were red and they were joined by 10/11 sectors. The 10-year yield broke out from consolidation and at one point sat at 3.198%, its highest since June 28th. In other news, Cleveland Fed President Loretta Mester sees rates exceeding 4%, with no cuts at least through 2023.
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: After rallying above the high of the previous 3-months, August has fallen 8% off the high, and 4% M/M. It closed below the midpoint from the prior 3-month range. ES has been balancing from May to August.
W/W: ES has now suffered a second straight week of losses and ended the weekly streak of OTFU.
D/D: ES is OTFD but remains inside the 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, 4018.25
Lows:
3964.50, 3953, 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: 4088
ETH VPOC: 3986.50
ETH VAL: 3954.50
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 3989
RTH VPOC: 3956.50
RTH VAL: 3954.50
Here is a chart of the past five sessions with a daily ETH/RTH split Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 3983.50
RTH Poor Low/High: n/a
RTH Single Prints: n/a
RTH Excess: 3953 to 3954.75; 4002 to 4017
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, right in line with VPOC. Inventory in Globex was mostly long above the prior day’s close, with only a handful of periods where it traded underneath. All price action remained in a 39-point range inside of the prior day’s price range. The auction was rotating through each sides of VWAP and the prior day VAH. Wholesale took the inventory they bought around the prior day’s VPOC and sold it higher around 4000. Most of the single prints from RTH were filled, with only about 2-points remaining unfilled. The ON session had very little excess at the highs and lows.
ONO: 3987.25
ONH: 4018.25
ONL: 3979.25
Range: 39
Regular Trading Hours (RTH)
US Session:
The RTH open was above the prior day’s value area and below the T+2 low. At the open, ES whip-sawed down and up in a 30-point range. Unable to erase the ONH, supply slowly weighed down on ES for most of the morning. Responsive buying was absorbed and lower highs were put in while the ONL was erased. ES was OTFD for the initial four TPO periods until supply ran out at 3971.75 and shorts came in to cover. This caused a near 30-point short covering rally. Once the covering ended, ES dropped 40-points to a new session low and fell beneath the prior day’s RTH LOD. After another temporary short covering rally, ES slipped again to its final LOD.
O: 4004
H: 4017
L: 3953
Range: 64