Debrief · 24 June 2022 · Breakout from three-day balance, settling on the high

Profile correctionFriday's high was 3919.75, NOT 3911.

OvernightInto Friday's RTH, the auction had failed to break below stubborn support above the VPOC at 3780, leaving an NVPOC, before squeezing into the open. Support followed the reopen, then a squeeze higher, and the auction was unable to create a single lower low for 8 hours into the open. Buyers showed incredible resolve, absorbing all supply at higher levels into the open. It felt like sellers had been taken by surprise as we broke above the prior three days' balance (the 21-23 June auction).

The openShorts into the open were hoping for a readjustment lower. That hope failed 75 seconds after the open, when an impulse higher set off a mini panic to trade above the prior week's high, ending the weekly OTFD above 3843. The upper resistance was the trigger on the open: RTH open stops released above the prior week's highs, 3843. Open gap n' go.

A series of stops drove the ES futures contract quickly and mercilessly higher. It briefly consolidated in a tight cluster at 3855 before screaming towards 3899, where the IB high formed.

The ES futures contract was up over 2.3% from the previous close, with the IB still unbroken. As I mentioned in a tweet on Friday, the probability of a move higher was high (the IB is broken 97% of days), but given the size of the moves already, it would be challenging to take on risk for limited upside: the IB range was almost 50 points. In other words, the day's best opportunity had passed, and given it was Friday, it was an excellent idea to turn it off.

Into the closeThe auction then flagged higher in low volume for 6 hours, holding near the century, much like the price action into the open (see the chart), until it broke 3902 into the close and created another stop run, a final push into the close, to settle at the day's high, 3919. This indicates unfinished business!

This setup was in line with Friday's scenario setups: it was scenario C. My prep was written 3-4 hours pre-open, and I tried to alert followers that my thinking was moving towards an open drive, given the way the ON auction was holding. The auction's inability to move lower into the open was ominous for shorts trapped out of the 3-day balance. Please look at the price action.

Day typeTrend, breakout higher day, daily imbalance, OTFU.

OvernightON saw another strong push higher, following multiple attempts to break below 3895 after an initial strong impulse on the open. Shorts squeezed higher to encroach into the spike highs left from the 10th June auction.

04.30 CT: a small clue is the recent pull-back from 3948 to 3930. It was a lot deeper than Friday's, showing we may run into supply up here. Still too early to make bigger plans.

MonitoringON H 3948? ON L 3895, prior week's settle 3919. Expected to open out of range again: I will use a similar plan to Friday's. Will update.

Trade plan

1. A) ON inventory long: a readjustment into the open, or on the open, looking to test the prior settle, 3919 (PCL). A weak test to go long.
2. B) A stronger push back on the open, trading back through Friday's high to test the ON low at 3895 and Friday's VPOC at 3890.
3. C) Gap and go: an impulse from the open to break above the prior week's high.

I will update if I have time. I won't be able to trade much today.