Candles & Ticks | Daily Digest 09/16/2022
S&P suffers worst week since June
Market Overview
The S&P 500 has now closed below its 40-week moving average for 24 consecutive weeks, most since the GFC. At the beginning of Covid, the S&P was below the 40-week moving average for 13-weeks and then recovered. All four indices and 9 of 11 sectors were down. The volatility should continue with FOMC next week.
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 had its worst week since mid-June. For the past 3-weeks ES has been in balance.
D/D: ES is OTFD for the past 3-sessions. 3834 and 3820.25 are the last unbroken lows in the 3800 range on the daily chart.
Performance & Metrics
Performance
Metrics
ES Composite Volume Profile (5 days)
ETH VAH: 4126
ETH VPOC: 3967.50
ETH VAL: 3905
Here is a chart of the past five sessions with a composite ETH Volume Profile:
ES RTH Volume Profile (today)
RTH VAH: 3884
RTH VPOC: 3865
RTH VAL: 3860
Here is a chart of the past five sessions with a daily ETH/RTH split Volume Profile:
ES RTH Market Profile (today)
RTH TPOC: 3869
RTH Poor Low/High: n/a
RTH Single Prints: n/a
RTH Excess: 3853 to 3853.50; 3896.75 to 3903.50
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 underneath the prior day’s LOD and price range. Inventory during Globex was 100% short with all price action occurring underneath the prior day’s low. There were 16 TPO periods spent at 3894. Despite some short covering that took ES above VWAP momentarily, ES steadily crept lower throughout the ON session. It regularly traded at the minus 2 and minus 3 standard deviations, hitting new lows just prior to RTH. There was no demand and all supply in the ON.
ONO: 3904
ONH: 3899.75
ONL: 3863
Range: 36.75
Regular Trading Hours (RTH)
US Session:
The RTH open gapped down from 3873.75 to 3905 and was underneath the T+2 low. At the open, buyers had brought the market up but met supply at 3879.25. From there, ES fell 25-points, erasing the ONL. At 3853.50, shorts began to cover. With lack of supply, the demand lifted ES 40-points and above VWAP before the buying stalled. As buyers failed to fill the ON gap, ES rotated back down below VWAP. From there, the price action remained in a 20-point channel for several TPO periods. The buying faded and supply sank ES 20-points to new session lows at 3853. Shorts came and covered and resurrected ES 50-points with no supply. The RTH session ended above 3900 by 10-ticks.
O: 3874.75
H: 3903.50
L: 3853
Range: 50.50