Debrief · 13 June 2022 · A WSJ story triggers another liquidation through the lows

The weekly pictureA look at the weekly picture post CPI: the auction has broken down and is now OTFD on the weekly, after failing to hold an 8-day balance. Notice how the RTH auction was contained below the prior week's open, 4170, by a single point!

OvernightAn ON open gap at 3878.5 from the previous low/close saw no attempt by buyers to lift from the Sunday re-open: ON gap and go, a huge market imbalance. The auction sliced through all the major references until it found a temporary bottom at the century figure, 3800. The ON auction then continued on a steady path, trending lower into RTH (regular trading hours).

The openWe opened OAOR (open auction out of range) just below 3798, a full 100 points lower than the prior close at 3798.25, and below the year's low at 3809, a key reference. With ON inventory 100% short, participants waited to see whether there would be a reaction from buyers on the open.

Much like Friday's open, the open reversal was weak and failed even to acknowledge the upper distribution of the ON lower node at 3823. From the open swing low at 3792 came an open swing high at 3818, then another slightly higher attempt to 3819.5, giving the shorts a double top to play for a continuation lower. The large gap from the prior low, 3898-3798.5, failed to attract strong buyers off the open.

The grind lowerThe auction ground lower into the opening low in choppy fashion until we broke the opening lows. Prior areas of activity and expected support failed to slow the auction until it found a base at the large HVN on the composite chart, 3750. This was a well-defined HTF target.

Buyers gained some composure to trade back through the IB low at 3767 and back up through the range, but the auction up fell just short of the day's high: a key clue. The PB above the monthly low was quickly reversed.

L periodBuyers and sellers continued to trade blows in the middle of the day's range until, in L period, a WSJ story broke. It triggered another liquidation through the lows, on large volume and negative delta aggression, to find buyers at 3735.25, the composite LVN. A weak PB into the close at 3753.5 left a clear buying tail: a small reversal into the close, with a delta spike.

Buyers will want to protect this spike: it's a crucial reference for tomorrow.

Day typeNormal variation day, liquidation continuation, OTFD daily, weekly and monthly.

ON updateAfter Monday's settlement, buyers stepped up and auctioned higher to test yesterday's VPOC, the 3779 area. A shallow PB followed, holding above 3779, then an impulse higher to 3796 and a grind up to 3807 (2 points below the prior monthly high), the Fed Bullard low of 20/5 at 3809.

The EU futures open saw sellers retake control of the auction (perhaps aided by the weaker ZEW survey), and we have continued to grind back down after a retest above the century figure, where there was a rejection. The YVPOC is now acting as OU. The auction is now testing back down, looking for buyers.

Currently, 3763 is a critical prior swing low, following the initial PB from the VPOC.

6 am CTSo far we are inside yesterday's range: buyers have been found inside yesterday's MP spike base at 3750, and sellers are protecting the prior month's low at 3809. High volume has been established post settlement at the base of today's profile, so I will keep my eye on those lows.

Double distribution, LVN 3780 area (yesterday's POC).

ON: H 3807.5 | L 3744.5 | VPOC 3751.5 | PRIOR SETTLE 3753.25