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Learning to trade the ES using volume profiling
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Learning to trade the ES using volume profiling

  #401 (permalink)
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5-28 pre-market

Economic data: consumer confidence

ON Profile: If we combine all data from sunday night open we have quite the profile shape. We have 20.5 pts of range and volume of 330k. The hi is currently at the 1664.5 CHVN while the low is at 1642.25.

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ES is set to open OAOR with a gap of some 12 pts higher than friday's close, which featured a ramp into the close. This 1664.5 area is a prominent CHVN on the composite but also a thin area from last weeks big sell off day. Below is a distinct LVN at 1660 and then CHVN at 1656 so a potential rejection off the open would target those levels first. Below that would be 1648 support. Dalton says go with the gap so any failure to get below 1660 would have 1668 and then 1677.25 nvpoc as targets.

Levels Above: 1664.5 CHVN*, 1668 HVN, 1677.25 nvpoc

Levels Below: 1660 CLVN*, 1656 CHVN**, 1648 CLVN, 1639 nvpoc

Hypo#1- ES opens OAOR and responsive sellers step in down to 1660/1656 where buyers enter and grind higher into close.

Hypo#2- ES opens OAOR and buyers push to 1668 but fail and sellers grind lower thru the day.

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  #402 (permalink)
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5-28 trades and recap

1. Long 1668 mid/vwap (below it actually) on 4.75 pt move off hi's. Day has been bullish and vpoc sitting 1669.25 so hoping for a move back up to nvpoc 1677.25. Scaled after 4 min and .25 MA. No second scale...hmmm.

2. Long 1660 CLVN/ 1.5 IB on 2.5 pt move down. Not really liking this trade given the slow trickle down since the hi and the acceptance of price below IBLO but I took it because of confluence. The best trade was short from IBLO. Scratched after 5 min and 1.25 MA vs .25 MF. Would have been loser.

3. Long 1656 CHVN after missing 1655s. This is also 2x IB and 2nd vwap. Bulls really stepping away from this thing and letting it slide. Stopped after 3 min and .5 MF...

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Recap
ES opened OAOR and pushed higher up to 1672 only to reverse and sell off the rest of the day, save for a late day bounce that in turn got sold. Vpoc and value finished markedly higher. Price closed near the lows and volume was better than average at about 1.6 mill. Above 1670 and above 1660 has been rejected as too expensive. Buyers found value around the 1656 CHVN but were not able to accomplish much above it.

Confusing opened for me, I guess I should have gotten long the open as it opened out of range and above the 1st vwap? Be interesting to see PB's recap today to see if he got long off the open or ended up going short above. I think all my trades were legit today but I am most disappointed about the one trade I didn't do. The short from the IBLO was money but I didnt know where to get in. We had a pretty poor low and good acceptance below the IB but three times it went down there and wouldn't take out lows. So I thought the market was too short and they would have to take it higher first to shake some people out and thought a trip up to the mid was in order and where I was queued but it 1 ticked the double top just above the IBLO and then dropped. I was expecting the double top above IBLO to really cause a spike but when it only 1 ticked and 1900 traded on the offer I guess that was my clue that shorts were still in control. Tomorrow is another day...

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  #403 (permalink)
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Profiler View Post
You will see that on the volume profile chart that nothing really sticks out. However, often times it seems as there will be confluence between the two as an LVN will be left behind.

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What a great answer and concept! Thanks for the time and the charts.

As I was researching your thread for the term 'MP single' I came across almost 2 pages of examples where you had leaned on this idea. Generally you use for pre-market levels of interest, and then you take quite a few trades using MP singles.

A bit of a technicality - how do you physically implement this cross chart reading? Here is me guessing:

During your live trading - all your MP single prints are marked already with a line on you chart ?? because in the example below I don't know how else you could do it ?

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OR you are looking for 'minimal prints' on the volume profile histogram, instead of referring to an MP chart prior to trading ?

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In the great majority of your 'MP singles' trades entries,there weren't 'toothed out' pieces of the VP histogram, just in a couple I did see it, hence my question,

thanks and all best,

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  #404 (permalink)
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para6ut View Post
What a great answer and concept! Thanks for the time and the charts.

As I was researching your thread for the term 'MP single' I came across almost 2 pages of examples where you had leaned on this idea. Generally you use for pre-market levels of interest, and then you take quite a few trades using MP singles.

A bit of a technicality - how do you physically implement this cross chart reading? Here is me guessing:

During your live trading - all your MP single prints are marked already with a line on you chart ?? because in the example below I don't know how else you could do it ?

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OR you are looking for 'minimal prints' on the volume profile histogram, instead of referring to an MP chart prior to trading ?

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In the great majority of your 'MP singles' trades entries,there weren't 'toothed out' pieces of the VP histogram, just in a couple I did see it, hence my question,

thanks and all best,

Im not seeing the charts you posted so please repost them again and I will take a look. As for how I actually mark them, first I look over the day's MP chart to see if there were any and then I mark them on my MP chart so I can keep track of them in the future until they are filled in. When I was using IRT for charts, you could check a box and singles would automatically have a line extend from them so it required no effort at all and that was nice. I've always got an MP and VP chart up on my screen when I am trading.

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  #405 (permalink)
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Profiler View Post
first I look over the day's MP chart to see if there were any and then I mark them on my MP chart
I've always got an MP and VP chart up on my screen when I am trading.

Profiler, thanks again, great help indeed!

Please see the charts, hopefully these are fine this time.

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In your reply - you did not mean you mark them on your VP chart , did you? ready to trade off of, or MP chart?

I personally find it helpful to mark levels before hand ( using physical lines on my chart) , as sometimes the sheer number of levels to keep a mental track of can be overwhelming for my simple mind.

Have a great day in Rio, I am sure it does wonders for your trading !!

( my gosh properties are expensive there)

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  #406 (permalink)
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5-29 pre-market

Economic data: none

ON Profile: Another wide 16 pt range overnight with most of the trade occurring below yesterdays low. Volume is heavier than normal at 280k. Vpoc is currently 1645.25. Shape is kind of double distribution-like with a distinct LVN at 1650.25. Yesterday's vpoc capped the upside almost to the tick.

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Yesterdays action raised the mc vpoc up to 1656.50 from 1626.5. We rejected that level overnight (along with yesterdays vpoc) and searched lower for buyers and found them in the low 1640s. We are set for an OAOR open with a gap down below pLo right around the 1648 CHVN. I anticipate responsive buyers to make the first move and if it can break into pRange and find acceptance then 1656.5 is the natural target and then the 1660 CLVN being the other side of balance. If it is rejected then it would seem a test of 1633.75 is in order. Longer time frames are incredibly bullish and daily time frame is balancing. I don't really care about bonds much but the 10 yr yield is at its highest level in many months so maybe we have some trend changes happening..

Levels Above: 1652.75 pLo, 1656.5 CHVN/1657.5 nvpoc**, 1661.5 MP single/LVN**, 1664.5 CHVN

Levels Below: 1648 CHVN, 1639 nvpoc, 1633.75 BO area**, 1629 nvpoc, 1626.5 CHVN***

Hypo#1- ES opens OAOR and pushes higher into pRange and builds acceptance then grinds higher to 1662.

Hypo#2- ES opens OAOR and pushes higher but fails at pLo then grinds lower thru the day to 1633.75 where it bounces.

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  #407 (permalink)
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5-29 trades and recap

1. Sold 1647.75 eth vwap after potential OD open with small push up followed by aggressive 4 pt move down. Stopped after 3 min and 1.5 MF... Not an OD.

2. Long 1639 nvpoc on 3.75 pt move down. Definitely a fade trade as market is working its way lower. Profile also very thin and blocky indicating no agreement on fair value which works against this. Scaled after 12 min and 1.0 MA. Second scale given.

3. Sold 1644 IBLO/ledge on 4 pt move. Nice bounce off lows so not sure if I should have taken this but vpoc did shift below IBLO so there was acceptance down there and the rotation is good. Vwap/mid above at 1644.75 for also possible resistance help. Scaled after 8 min and .75 MA. No second scale.

4. Sold 1649 1st vwap on 4.75 pt move up. Day has gone rotational and low does look good while hi not so much but I took the trade as it is above dVAH and rotation is big and vpoc is below at 1645. Stopped after 12 min and 1.25 MF... Not a good trade I dont think.

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Recap
Im not sure what type of open today was, OAOR or ORR? It wasn't a weird variation of OD which I thought it might be at first. ES put in a very rotational day today with lower value and vpoc. Price finished down incrementally and inside value on better than average volume coming in at around 1.7 mill. Overall profile shape is kind of flat and long like yesterday. Bigger picture, today filled in around the 1648 CHVN.

I'm content with 3 out of the 4 trades I made today. First one I took a chance on an OD and went with it, didnt work, so be it. Second two trades were good though the IBLO short only gave one scale and if I was trading size I'm guessing I would have stayed in the long from 1639 and therefore would not have taken the IB short but who knows. Last trade, it seemed decent at the time but after thinking about it it doesn't make sense. For one, my entry gave me a fixed stop at 1651 which doesnt make sense because that is a good place to short and therefore doesn't make me wrong. I should have waited and taken a trade that gave me a stop inside pRange a few ticks where I would know I was wrong for sure. Market is moving though and thats good, no more sitting in a trade for 90 minutes to get a 6 tick scale.

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  #408 (permalink)
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5-30 pre-market

Economic data: claims, gdp, home sales

ON Profile: The last few days have been examples of blocky profiles and last nights profile continues that trend. ES explored both below pVAL and pVAH and is currently trading above pHi. Vpoc sitting at 1652.25 which looks like buyers might be trying to support it around pHi. Volume is heavier than normal at around 300k so potential for a more volatile day again.

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ES has been balancing the last few days between the mid 1630's and the mid 1650's with 1648 being vpoc. We are currently set to open in range right just above 1648 indicating market still in balance and should look to fade the edges. Acceptance above pHi would target 1657.5 and then 1661.5 and potentially higher. Rejection from pHi would have targets of 1646.75 nvpoc and 1633.75 BO area. My bias is to the long side given longer term time frames are very bullish so if the opening range gives indications of upside I will try and jump on.

Levels Above: 1656 mc vpoc/ 1657.5 nvpoc*, 1661.5 MP single/LVN*, 1664.5 CHVN

Levels Below: 1646.75 nvpoc, 1643.75 LVN/pVAL, 1638 pLo, 1633.75 BO area**

Hypo#1- ES opens OAIR around pVAH and responsive sellers make push to 1643.75 to pick up buyers then grind higher to 1661.5 or higher.

Hypo#2- ES opens OAIR and pushes higher but fails around 1657.5/1661.5 then auctions lower thru the day.

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  #409 (permalink)
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5-30 trades and recap

1. Sold 1657.5 nvpoc on strong move up after a little 1.5 pt re-trace and then only 2 ticked it so I jumped in. Market is looking strong so really not sure if it makes sense to take this or wait for 1661.5. Dang there is a 9am number in 3 min....only 1 lot so will let it ride. Vpoc shifted to 1657 which I dont think I like. Scaled after 10 min and 1.0 MA. Second scale given.

2. Long 1653.5 after pHi held a few times and we have vpoc and decent range extension above it. Scaled after 13 min and .5 MA. Second scale given.

3. Long 1653 dVAL/pHi/ on 2.75 pt move after mid printed weakly. We have a market in balance at the moment with value established higher so I took the long due to the confluence. This is the second time down here though. Scaled after 9 min and 0 MA. Second scale given.

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Recap
ES opened OAIR and made only the tiniest of efforts to push lower before buyers stepped in and aggressively auctioned it higher thru pHi and up to the nvpoc and then spent the rest of the day balancing around the 1656 CHVN. Vpoc and value shifted higher. Price closed higher inside value and right around vpoc on average volume of about 1.4 mill. Very interesting profile shape and clearly 1652.75, the hi from yesterday as well as the low from the day before that, played a very instrumental role in the auction today. Talk about a ledge! It will definitely be a reference point for tomorrow.

Really happy with my trading today and only wish it could have gone a few ticks higher and given me the short at 1661.5 to finish the day. Obviously a long off of yesterdays vpoc was the trade of the day but what would have been the logic behind it? We opened up inside value indicating no change and while we have been balancing the last few days I really didn't think the market was coiling and ready for a balance breakout higher, though I did have an upside bias. Did anyone take a long off 1647, if so why? Pretty incredible how strongly buyers defended 1652.75, its been awhile since I have seen a ledge like that. Lets hope I can continue this momentum I have had over the last week and finish the month strong.

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  #410 (permalink)
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5-31 pre-market


Economic data: income, spending, PMI, michigan

ON Profile: ES has a double distribution profile with a very long thin area between the two distributions. Range is wide at nearly 16 handles but volume isn't really heavy at 230k. The low is right around the ledge from wednesday's profile and the hi is in the middle of the HVN area yesterday. Vpoc sitting at 1644.75.

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I wasn't really expecting to see ES down 8-10 handles when I woke up this morning after the way buyers defended 1652.75 yesterday but thats the market. So we are set for an OAOR, possibly an OAIR below value if it can sneak up a bit higher before the bell. Given what happened yesterday and that volume is not that great, I am anticipating responsive buyers to make the first push today and 1652.75 to be a key level once again. If it can build acceptance above that level then 1661.75 is the target, potentially 1664.5 CHVN. However, if it is rejected, either from 62.75 or pLo 1646.75 then we must look towards that 1633.75 breakout level again.

Levels Above: 1646.75 pLo*, 1652.75 ledge***, 1661.5 MP single/LVN, 1664.5 CHVN

Levels Below: 1638 ONLO, 1633.75 BO area**, 1629 nvpoc, 1626 CHVN***

Hypo#1- ES opens OAOR and responsive buyers make first push into pRange and hold, then battle 1652.75, if successful continue higher to 1661.5, if not rotate down to ONLO.

Hypo#2- ES opens OAOR and fails are pLo and initiative sellers push down to 1633.75 to find buyers.

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