Market Profile - Daily updates

[Chris_Shaw]

Hi everyone. Relatively new guy on the forums here. I would like to contribute a daily report on the market for those that trade the ES. I usually keep this on a note pad. But feel like sharing the perspective I use to prepare. I base my analysis off of the Market Profile mainly. Hopefully some of you will be able to find these updates useful. I appreciate any criticism and of course, praise that you may have. Its all a never ending learning process. I use alot of Market Profile type terminology so if its confusing point it out please. Ill make it as clear as possible
I'll post an evening report and one in the AM before session open. All references to charts will have the chart attached for review too.

7/10/15 Recap and Prep(for 7/13): Today's lower volume in the ES and attempted direction up, higher value, and the painfully slow and grinding tempo suggests slowing. However we have been one timeframing up on a daily basis 2 days now. Short term trend line to the downside on a daily chart has been breached. Yet still within a 9 day balance area after the gap down from the blow up in Greece last Sunday. If we can close that gap @2086.25 and find acceptance above this level, I would consider that a reordering of market sentiment. Accomplishing this would also confirm an excess low on a weekly basis indicating the end of an auction, as we are still one timeframing lower on a weekly basis. The past 22 some weeks have been in a balancing phase with the top being a pit session high of 2124.5, and a low of 2023. The all time high of 2134 was made on the electronic market. Make a note that we are also one timeframing lower on a monthly basis as well. Several anomalies overhead the market has yet to repair are some poor highs (7/7, 6/25, 6/22), prominent TPO POC's (6/26, 6/25), and the gap mentioned above. Downside - with todays profile being somewhat squat, it left a very prominent TPO POC - considered an anomaly, repaired by being revisited by the market. Anomalies are also areas that stick out on the profile. There a few from yesterdays profile. Should we trade to the downside Monday, these areas may be destinations. Of course, China and Greece mayhem can derail all normal activity.



**************************************Conflicting Info**********************************


Positive
> Poor Highs above
> One timeframing higher on a Daily basis
> Prominent TPO POCs above

Negative
> One timeframing Lower on Weekly and Monthly basis
> Intermediate term trend is down
> A few anomalies to the downside

 

[kent12]

thanks bro

 

[Chris_Shaw]

7/13/15 Morning Report 835Am EST

Overnight a Greece deal was apparently reached. As of this writing there is a 7 handle gap up. From a Market Profile perspective, gaps are measured from the pit session highs or lows. Fridays pit session high is 2074.75. Gap rules are in play; 1.) Go with all gaps that dont fill right away. If it doesnt back off early, it's probably not going to and will move higher. 2.) Large gaps 10+ handles may not fill or fill only partially on the same day. 3.) If the gap fills, and value cannot get to at least overlapping, there will probably be a late day rally in the direction of the gap. Speaking of late day action, I track beginning from J period (I start mine in A) until close, over the past 92 sessions late day liquidations, short covering rallies, and/ or spikes. 66% of the time there has been one. Today would be an opportune time to be alert for something like this. O/N High is 2087.5 well above the gap from 6/29. O/N activity doesnt count as repair. O/N Inventory Im going to call balanced. The profile shows a triple distribution, with the first one right about at unchanged (settle) from Firday. This area is also half back from the O/N session. Lots of volatility- ES volume is >300K. Today will be interesting. Good luck. btw - I had size down my profile to fit it all in one image. Apologies.

 

[Chris_Shaw]

7/13/15 Recap and Prep(for 7/14)

Lower volume (ES) and higher value suggest slowing. Gaps rule 3 played out nicely today; value was no where near overlapping, late day rally materialized. From my perspective, what added to the odds of this rally happening, were sellers selling every little rally and getting less and less for their efforts each period, or, as time went on. Thus getting inventory rather short; in the day timeframe at least. Gap up today - consider it single prints and a form of excess. Consider the poor high discussed in todays prep report (earlier post) repaired along with the anomalies from the 7/9 profile. Two very prominent TPO POC's Friday and today could be destination trades should the market trade to the downside in the near future. Carry it forward. Im considering the weekly high of 2083.25 from week ending 7/4 as the go no/go level for this week. This also is for all intent, the middle of the 22 week balance. If we can hold above this level, destination will be the all time highs, referenced in a previous report in this thread. Interesting today how we took out the very prominent TPO POC from 6/26 @2094.50 by a tick. This happens to be settle for today as well. Lastly, todays very wide profile kept the action painfully rotational. Which should''ve kept expectations limited. Those of you that were expecting and waiting for the late day rally to unfold were most likely paid well for the patience. Of course, any shrapnel from the Greece Circus could foreshadow all of this data.
Thanks

 

[Chris_Shaw]

7/14/15 Morning Update

Nothing but balance overnight. Light volume in the ES. Balance Rules apply:
1) Remain within balance
2) Look above or below balance and fail; on a failure the opposite extreme becomes the destination trade.
3) Look above or below balance and accelerate; these events target directional reference levels- downside mine would be the go no/go level discussed in the recap yesterday 2083.25. Acceptance below that a target could be one of the previous pit highs in the past week. Upside would be the pit high from 6/26 and the poor high from 6/25
https://www.facebook.com/pages/D%C3%B6bler-Derivatives-LLC/294362757431510

 

[Chris_Shaw]

7/14/15 Recap and prep (for 7/15)

Another day of lower volume, and higher value. All we had today below the open was two ticks that were almost immediately rejected, the rest of the day showed conviction to the upside. Im going with the momentum - as today completed the 4th day of one timeframing higher on a daily basis. Higher value as opposed over-lapping to higher value is an indication of a strong trend developing. Keep in mind that the declining volume over the same amount of days doesnt support the moves up. Be prepared should the market begin to cease one timeframing higher. Im carrying forward into tomorrows session that value and the TPO POC both migrated with price today. This is positive for continuation to the upside. Today's profile high has two ticks of excess. Given the fact that this was formed on a low volume day further supports the high as a form of excess. Excess marks the end of an auction. Also note, now we have 3 back to back very prominent TPO POCs below. Whenever you have back to back 'anything' (examples; weak references, poor highs/lows, etc..) it makes them exponential. A very prominent TPO POC is a form of an anomaly. These get repaired by being revisited by the mkt at some point. We held the gap up from yesterday and also remain above the go no/go level of 2083.25 (covered in yesterdays post). I'd like to point out also that in J period we had a break out from the previous periods of balance, and as mentioned in a previous post, I track action from J period to close (N period), and that now is 67% of the time (94 sessions tracked now) there is some form of a rally, liquidation and/ or spike (not necessarily in J period; anytime from J thru M) . Today we had a small rally starting in J. My being prepared for this, along with context surrounding the expectation, netted me a nice last trade of the day. Im still a young trader in terms of years of trading. But ever since Jim Dalton's intensives I have attended, and my locking myself in my office for hours on end trying to adsorb the concepts; my trading, mkt, and self-understanding has grown tremendously. If we come into tomorrow with more upside movement, traders may try for the weekly high of 2122 from week of 6/21 - this is also last months high. Longer term players may show interest around this level too. Opposite that, there are several destinations to the downside. Lastly, the images I had to zoom in on a couple to fit several profiles in.
I want to have a bullish bias coming into tomorrow. But with the volume accompanying the price movement, TPO POCs below, excess high today - Im forcing myself to remain neutral. Or, flexible as Im taught to be mindful of.
*******Conflicting Info******
Positive:
> One T.F. Higher on Daily and Weekly
> Poor highs above
> Acceptance above center of 22 week balance
> Excess low forming on Weekly chart
Negative:
> Very Prominent TPO POCs below
> Light volume; declining past several days
> Excess high today (keep in mind, a new auction could still be to the upside.
Thanks.
https://www.facebook.com/pages/D%C3%B6bler-Derivatives-LLC/294362757431510

 

[Chris_Shaw]

7/15 Morning Update

O/N Profile is relatively balanced. O/N Inventory is somewhat long. Two attempts, one to trade above yesterdays pit high, and the other lower into yesterdays range further; both probes found no acceptance. Balance rules apply for today as did yesterday. Volume again, is very light in the ES; 110K at 0535am PST. O/N Inventory is measured from the settle of the day session. In the graphic, settle is identified by the red asterisk. Hope today plays out well for everyone.
https://www.facebook.com/pages/D%C3%B6bler-Derivatives-LLC/294362757431510

 

[marcusant]

Quality work - thanks for sharing!

 

[n7ekg]

RE: 7/15 Morning Update

O/N Profile is relatively balanced. O/N Inventory is somewhat long. Two attempts, one to trade above yesterdays pit high, and the other lower into yesterdays range further; both probes found no acceptance. Balance rules apply for today as did yesterday. Volume again, is very light in the ES; 110K at 0535am PST. O/N Inventory is measured from the settle of the day session. In the graphic, settle is identified by the red asterisk. Hope today plays out well for everyone.
https://www.facebook.com/pages/D%C3%B6bler-Derivatives-LLC/294362757431510

Still plenty of opportunities for trading. At the open, the market went up a bit, affording an excellent opportunity to make a little cash. Then at 2pm, the market fell 8 points, then recovered - making money on the way down and back up. Even though it was a light day, a buddy of mine still made $2000.

 

[Chris_Shaw]

07/16/15 Morning Update:

As of this post (0520am PST) mkt has a gap up of 5 handles and is out of balance to the upside. Second gap up this week. I see this as an acceleration gap - from Mind Over Markets book these are defined as "Acceleration gap develops within a trend and reaffirms the conviction and strength of the trend's direction". Gap rules apply:
1.) Go with all gaps that dont fill right away. If it doesnt back off early, it's probably not going to and will move higher.
2.) Large gaps 10+ handles may not fill or fill only partially on the same day.
3.) If the gap fills, and value cannot get to at least overlapping, there will probably be a late day rally in the direction of the gap.
Still light volume. Hope today presents everyone several opportunities.

 

[Chris_Shaw]

7/16/15 Recap and Prep (for 7/17/15).

Will the mkt hit all time highs tomorrow? Today's attempted direction was up with lower volume and higher value. This suggests slowing. I reference a table in Mind Over Markets to come to these conclusions regarding volume/ value and directional performance. There was quite a bit more institutional activity on both sides throughout the day as compared to yesterday. Short term uptrend is holding strong. Two gaps up this week and of course the 6 days of one T.F. higher adds strength. Yet, there are now several targets to the downside should this one T.F. stop. Four very prominent TPO POCs. Today left a poor and a weak low. Should the market repair this at some point it's very possible the market could accelerate further to the downside as a result of the single prints left from the gap up today. Single prints offer no real structure for support (or resistance). To the upside last months high @2122 is only a few handles away. There are obvious stops above this level. Should they be run, I would not be surprised if the pit all time high of 2124.50 will be visited. Still low confidence as evidenced by the multiple times the open was revisited today.
The metrics I gather regarding PM session breakouts (either in the form of short covering/ liquidation/ spikes) played out decent in K period today. These events have happened 68% of the time over the last 96 sessions.

 

[Chris_Shaw]

7/17/15 Morning Update

Going with whatever unfolds. Volume in the es this morning is real thin. 91K as of 550am PST. Overnight Inventory is balanced. Range has been inside of yesterday up until this post; mkt has looked above prior pit high by 3 ticks. I wonder how much longer the mkt can hold these highs with the volume not supporting it? Today is weekly options expiry. Option expiration's can add to volatility.

 

[Chris_Shaw]

7/17/15 Recap and prep (for 7/20)

. The word of the day as far as the profile is concerned: BALANCE. Entire day until the last 45 minutes was spend in balance and inside yesterdays small range. Two factors obviously had alot to do with the nothingness; one of the lowest volume days of the year in the ES and the other majors were in complete divergence, until the futile attempt at a rally the last 45 minutes. Participation in the pit was as if it was a holiday. I listen to Futures Cast on Thinkorswims platform. Guy named Ben provides a play by play all day and is pretty helpful to get a bead on whats happening, where it happens. On a weekly level, the excess low from last week is now confirmed. Also, the volume from last week adds evidence to it. Exhaustion volume is a tell tale sign of when all the sellers (on a downside move) or all the buyers (on an upside move) have sold or bought, respectively. The weekly gap up also held. Being that we have a weekly gap, translating into two daily gaps...I wonder if these are actually break-away gaps as opposed to my observation earlier in the week of being an acceleration gap. To quote from Mind Over Markets; "a Break-away gap occurs when the market is in the early stages of a long-term trend. This sort of gap is fueled by new, initiative other timeframe participants possessing strong directional conviction. An Acceleration gap develops within a trend and reaffirms the conviction and strength of the trend's direction." Could the recent pull back in the mkt be 'correction' these analysts have been talking about? I would appreciate opinions on this observation. As stated when I started these recaps, Im relatively new in terms of years trading, being roughly a few. The volume although contradicts these daily moves. Today marks the 7th day of 1TF higher on a daily basis. Mkt is now 1TF higher on a weekly basis as well. The rest of the month should be interesting as we are near all time highs and should that be taken out, mkt would be 1TF higher on a monthly basis as well. All of these are things to keep in mind and carry forward.
***** Conflicting Info *****
Positive
> 1TF higher Daily and Weekly
> Gaps have held
> Excess low on Weekly
Negative
> Low volume
> Several very prominent POCs below
> Still Low Confidence in mkt
Im going on a family vacation next week and will be back 7/27.
I doubt I will be able to post anything. After all, play time is important.
Cheers.

 

[Chris_Shaw]

Back from vacation - 7/28/15 Recap and prep (for 7/29)

Today's action marked the end of 1 T.F. lower on a daily basis. Today's profile is a text book example of a short covering rally. Start with the past week being all down days (inventory getting short day after day), yesterday leaving a 'b' pattern with a poor low, and finally today's profile being extremely elongated leaving multiple anomalies and a 'p' pattern. All of this evidence supports today being not much more than the short covering rally and very emotional. Tomorrow is FOMC day; often very volatile. A couple of final observations; yesterday left the 'b' pattern which provides evidence that selling possibly was being accumulated by a longer timeframe that take home longs overnight or for longer periods of time, as well as day and short term traders getting too short. Today left a 'p' pattern which is evidence of a short covering rally that is not accompanied by new buying. This tied with FOMC day should make for an interesting afternoon session at least. I look forward to tomorrow confirming one of the two thoughts I have; one being that yesterday was in fact more accumulation by longer timeframe participants, and the mkt to continue higher and the other being that it was more of shorter term participants getting too short and today being nothing more than a day of relieving mkt pressure and the recent trend to resume to resume to the downside.
***** Conflicting Info *****
Positive
> 1TF higher Daily
> Value and TPO POC migrated w Price
> Moderately high volume
Negative
> 1 TF lower Weekly and Monthly
> Poor low from 7/27
> 24 Week balancing bracket - no directional conviction

 

[Chris_Shaw]

7/29/15 Morning Update:

Volume is lighter than yesterday at this time, 0540am PST. O/N Inventory is long, but barely. Each attempt to trade below the ledge left by the 'p' formation was rejected. This level is 2084.75, and is also yesterday's TPO POC. Remaining above this level is positive. If the mkt trades below this level, it could accelerate as the structure below this level is very thin and poor. If there is acceptance below this level, the anomalies could become targets for the mkt to repair. O/N high is 2093.75 and O/N low is 2084.50

 

[Chris_Shaw]

7/29/15 Recap and prep (for 7/20)

Attempted direction was up and with lower volume / higher value it suggests slowing. There was only 29 contracts on the low of the day. Bears could not get mkt even close to testing the ledge/ TPO POC from yesterday. Im carrying this forward. I had two observations in yesterdays recap. One of them Im going with. That is 'yesterday (7/27) left the 'b' pattern which provides evidence that selling possibly was being accumulated by a longer timeframe that take home longs overnight or for longer periods of time'. Even though yesterday's profile showed very poor structure, it held and today the market on every attempt could not find acceptance below the open; this is positive for upside continuation. What I find interesting is that the volume POC today is right at the lower distribution from the double distribution day on 7/23. There were some sellers there holding price from finding acceptance above this level. (2101.50). Along with having excess at both the high and low of the day today, I wonder if the mkt will be able to continue the 1 T.F. higher on a daily basis, OR, will balance into a rotational day tomorrow being that the TPO POC is only 1.5 handles above mid range of the day. I never put too much into money flow indicators. They are a minimal data point in my analysis, on a weighted scale they are about 1%. But when I am unsure of certain activity, as I was with the profile of 7/27; was it more accumulation from longer term players or merely short term players getting too short or a combination of both??? With todays confirming action that it is possible that longer term were more present on this day (7/27) in question, I decided to look at the Chaikin Money Flow. I have posted an image of it on the daily chart. This adds another confirming data point that institutional is more than likely in this recent market activity. CMF, shows a smooth transition from negative to positive territory and volume levels are smooth from day to day as well. View the other instances in the image where CMF moves from negative to positive; jagged. The volume and daily bars are as well. I take it all with a grain of salt. Because should the mkt be weak tomorrow, I will change my bias accordingly. Right now, Im more bullish than bearish with these data points Ive covered in todays recap. Stay alert!

 

[Chris_Shaw]

7/30/15 Morning Update:

0540am PST. Moderate volume. O/N inventory has been balanced all night and within yesterdays range. It's very possible today may be balancing and rotational. It often is the closer to the center of the previous session's range that we open. Adjust expectations in these environments. Balance rules in play:
1) Remain within balance.
2) Look above or below balance and fail; on a failure the opposite extreme becomes the destination trade.
3) Look above or below and accelerate.

 

[Chris_Shaw]

7/30/15 Recap and prep (for 7/31)

Inside day today yet value engulfed prior days value area. Lower volume today. Technically a balancing day. However with the attempted direction up, my bias is still bullish but not as much as coming into today. Profile left a poor low today. Profile also has a weak high (weak references are those that come within a tick of a previous reference level) since today's session high is a tick below yesterdays session high. We also have a poor high. Todays profile also has a well defined 'p' pattern. This indicates short timeframe participants getting themselves too long. Again today the 2100-2103 area was met with resistance for upside continuation. The entire pm session was two sided, very slow and grinding. Volume POC is essentially in the same area as yesterday's. But the TPO POC today migrated with price (yesterday's did not), and todays settle is on the high of the session. Lot's of conflicting info to weigh on. Add in monthly option expiration and tomorrow could be pretty volatile.
***** Conflicting Info *****
Positive (reasons for mkt to trade up)
> 1TF higher Daily
> With attempted dir. up; Value, TPO POC and Vol POC migrated w Price
> 2 poor highs
> 1 Weak high
Negative (reasons for mkt to trade down)
> 1 TF lower Weekly and Monthly
> Poor low today and from 7/27
> 24 Week balancing bracket - no directional conviction

 

[Chris_Shaw]

7/31 Morning Update: 0545am PST

Volume is light. O/N profile is balanced, and almost identical to the previous overnight profile. If we open within yesterday's range, we will be in balance and as yesterday, balance rules apply. One thing to note, the weak/poor high left yesterday is only considered repaired by day time trading hours.

APOLOGIZE: I failed to post images of profile here.

 

[Chris_Shaw]

7/31/15 Recap and prep (for 8/3)

Options expiration and the end of the month. Markets attempted direction was down today. Although there were some buyers present that created a difficult time for the bears. Sellers eventually prevailed after considerable chop in the am session. At which time G period broke. Im going into August completely unbiased in the intermediate term. Several pieces of information lends itself to my sentiment. They are:
1) Monthly: July was an outside month to June.
> More time is needed to decide whether we will begin to 1TF
higher or resume 1TF lower on a monthly level.
> Past 5 months have been in balance on a monthly level. Low
confidence.
2) Weekly:
> Still 1TF lower
> 20+ week of balancing
3) Daily/Profile
> 1TF higher.
> Higher volume today. However, up until the last hour of trade
volume was lower than yesterday. I attribute this to options
expiration. From a directional performance and value area
relationship point of view, today's assessment of the mkt is
Moderately Strong.
> There are now 3 poor lows the mkt may contend with, all
created this week; this is negative for upside continuation.
Is the market attempting to shake out weak longs? Are longer term players slowly accumulating long positions?
I would say that if the mkt shows strength coming into Monday, the destination could be the YTD high of 2134.
If weakness is evident, there are several destinations to the downside, listed above (poor lows).
On a final note, if I have missed anything please pipe in. My learning is and will always be never ending.
Thanks.