Candles & Ticks | Daily Digest 09/13/2022
Markets nosedive after being caught off guard by August CPI increase
Market Overview
August CPI rose 0.1% M/M and 8.3% Y/Y, higher than the expected 8.1% Y/Y number. With the recent rally in the market, this CPI print caught everyone off guard. All four indices tanked as the S&P 500 had it’s worst day since June 2020. Every single stock in the Nasdaq-100 was red for the day. The 2-year Treasury ended at 3.758%.
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 ended OTFU with a bang. The gains from the past 3-days have all been erased. ES is in the late August / early September balance zone from 3883.5 to 4019.25.
Performance & Metrics
Performance
Metrics
ES Composite Volume Profile (5 days)
ETH VAH: 4027.50
ETH VPOC: 3980
ETH VAL: 3897
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 3998
RTH VPOC: 3932.5
RTH VAL: 3920
Here is a chart of the past five sessions with a daily ETH/RTH split Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 3984
RTH Poor Low/High: n/a
RTH Single Prints: 3939.75 to 3942; 3944.25 to 3956; 3961.75 to 3971.5; 3974.75 to 3976.5; 4005.25 to 4008.5
RTH Excess: 3919.75 to 3930.5; 4011.5 to 4032
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 inside the prior day’s HOD by 1-tick. Inventory in Globex was rotational and 52% long. ES was short below the prior day’s close and current VWAP to begin the session before rotating long just before the London open. There wasn’t enough supply to bring ES down beneath the prior day’s VPOC. Buyers front ran the area and the offer was lifted. ES rose to new session highs while accepting above the prior day’s HOD. ES hit a high of 4164.75 right as the new CPI data was released. With the number coming in higher than expected, ES whipped up to 4175 before erasing all the ON gains and dropping more than 120-points within minutes. There was a gap left at 4106.25 to 4108.75.
ONO: 4137.50
ONH: 4175
ONL: 4030.5
Range: 144.50
Regular Trading Hours (RTH)
US Session:
The RTH session opened with a gap down stemming from the huge selloff post-CPI print and was beneath the T+2 low. The first 5-TPO periods all slowly OTFD before temporarily bottoming at 3995.75. Shorts then covered to stall the decline. After the short covering ended at 4016.5, ES continued to decline further. It OTFD for 5-TPO periods, bottoming at 3938.5 before shorts stabilized the auction. ES closed RTH at 3955.25.
O: 4038.25
H: 4051.25
L: 3938.50
Range: 112.75