Candles & Ticks | Daily Digest 09/07/2022
Markets catch a bid momentarily as another 3/4 point rate hike looms
Market Overview
Markets rebounded strong today. All four indices were up and 10/11 sectors were green. The Tuesday/Wednesday post-Labor Day performance lived up to the historical averages (minus yesterday for Russell 2000) according to the table above. The 3-month Treasury yield rose. Longer duration Treasuries fell as the market anticipates another 0.75 bps rate hike later this month.
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 lost 4% M/M. It closed below the midpoint from the prior 3-month range. ES has been balancing from May to August. Unless the month of September can eclipse the 4327.5 August high, ES will be OTFD.
W/W: ES has had three straight negative weeks and has been OTFD. By closing underneath 3950, ES is inside the 5-week balance zone from mid-June to July on the weekly timeframe.
D/D: Two straight days bouncing off the 3885 area and a big rally followed it today. ES is now trading sideways in a balance zone.
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, 4019.25, 3988.75,
3963.25Lows:
3886.75, 3883.5, 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: 3956
ETH VPOC: 3930
ETH VAL: 3900
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 3988.75
RTH VPOC: 3980
RTH VAL: 3932
Here is a chart of the past five sessions with a daily ETH/RTH split Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 3978.25
RTH Poor Low/High: 3988.75
RTH Single Prints: 3957 to 3964.25; 3969 to 3971.25
RTH Excess: 3904.5 to 3909.75
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 prior day’s value area, slightly below VPOC. Inventory in Globex was short at the beginning of the session. The prior day’s LOD was erased by about 3-points. Once London opened, supply ran out (at 3883.5) and the auction got long over the prior day’s close. There was supply above 3923. ES got above the prior day’s VAH by 1-tick before going sideways. About two hours before the NYSE open, inventory corrected short again. Most of the Globex session was inside of the prior day’s value area, except for the brief moments in 3 TPO periods that got below yesterday’s LOD.
ONO: 3907.50
ONH: 3923.25
ONL: 3883.50
Range: 39.75
Regular Trading Hours (RTH)
US Session:
The RTH open was inside the prior day’s value area and 2-ticks above the T+2 low. There wasn’t much supply or selling happening at the open. Outside of backfilling demand, ES was OTFU for most of the RTH session. ES reached 3988.75, several points shy of Friday’s VAH and demand backed off. It backfilled for the remainder of RTH and closed about 10-points lower.
O: 3906.5
H: 3988.75
L: 3904.50
Range: 84.25