Candles & Ticks | Daily Digest 09/12/2022
Stocks rise for fourth straight day ahead of CPI
Market Overview
Stocks rose for the fourth straight day, punishing shorts and forcing them to cover, on the eve of new CPI data. All 4 indexes and 11/11 sectors were green. Energy and technology led all sectors. The S&P 500 is now up 202-points, or 5.17%, off last Tuesday’s close. US Treasuries, from the 3-month to 30-year, all gained as well.
Events this week:
Sept. 13: CPI
Sept. 14: PPI
Sept. 15: Initial jobless claims, Retail sales, Philadelphia Fed manufacturing index, Empire State manufacturing index, Import price index, Industrial production index, Capacity utilization, Business inventories
Sept. 16: UMich consumer sentiment index, UMich 5-year consumer inflation expectations
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 broken the streak of three straight negative weeks and OTFD. ES is in balance heading into next week’s quadruple witching and CPI print.
D/D: ES is OTFU for the past 4-sessions. The past 2-sessions closed inside the 8-day balance area from late-July / early-August.
Performance & Metrics
Performance
Metrics
ES Composite Volume Profile (5 days)
ETH VAH: 4002
ETH VPOC: 3980
ETH VAL: 3899.5
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 4114
RTH VPOC: 4109.5
RTH VAL: 4099
Here is a chart of the past five sessions with a daily ETH/RTH split Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 4104
RTH Poor Low/High: 4086
RTH Single Prints: n/a
RTH Excess: above 4119.25
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 long at the prior day’s close. The ONO was 1-point above the prior day’s HOD. Inventory during Globex was 84% long. ES rotated from underneath VWAP to above VWAP. Shorts couldn’t lower the auction enough to get beneath the prior day’s value area. There was a poor low at 4080.25. The prior day’s HOD was erased but stalled around the 4115 level. There was some excess above 4112.50.
ONO: 4096
ONH: 4115
ONL: 4080.25
Range: 34.75
Regular Trading Hours (RTH)
US Session:
The RTH open gapped up and opened at 4107.25. It was also above the T+2 high. At the open, sellers tried to move the auction lower but couldn’t get enough follow through to fill the gap. Supply ran out at 4103.75, unable to reach the gap low at 4095. ES rotated upwards on the strength of buyers consuming the offer. The offer continued to lift higher until 4137.75 when supply was met and backfilling ensued. ES came back down to 4105.25 where supply ran out right before the session LOD. ES rotated up again and aside from some backfilling, slowly made higher lows for the remainder of the session.
O: 4107.25
H: 4137.75
L: 4103.75
Range: 34