Market Pulse: S&P500 Volume Analysis

the author uses VolFix trading and analytical platform

main methodology – Volume Analysis / Price Action / Market Profile

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In this research review, let’s take a look at the e-mini S&P500 index futures contract.

The summary of quarterly reports from large cap companies confirms the current trend of the S&P500 index. The financial sector, namely the big banks, reported earnings above expectations.

The analysis of the price dynamics over the last 3 months has helped to identify the weak points, i.e: 

 

AAPL –14.7%

ADBE –22.65%

AMD –11.62%

INTC –28.6%

TSLA –31.97%

 

Energy, Finance, Basic Materials – growth leaders:   

 

Energy +14.7%

Financials +7%

Basic Materials +6.95%

 

The earnings of financial giants are one of the most important indicators of the state of the economy when it comes to predicting the future dynamics of the index.  

Few people value the shares and earnings of companies with large numbers of employees. More fundamental information on the state of the stock market is hard to find.  

 

It deserves a detailed article with examples and analysis. In brief, over the past three months, the shares of companies such as Accenture plc, Home Depot, UnitedHealth, United Parcel Service, StarBucks Corp. have fallen very sharply. The list is not complete and these are only companies with more than 300,000 employees. 

Volume Area / RES / SUP / VWAP / Open Interest / Delta Hist. / Volume Hist. 

 

On the slide is the chart of the current contract. 

Until April, the trend was controlled by the buyers, but on the 1st of April, the sellers took control of the trend. Note the overall delta for the day (histogram below the chart). 

 

Analysis and selection of important levels based on the Volume Profile and the Delta Custom Profile for the period 04.04-22.04. The trading session on the 4th of April is one of the most liquid and volatile for the current contract. 

 

Total Volume – 1.613K 

Range – 461 pips

 

A grid of important levels: 

 

          CORE  5240-5268

Resistance 5196-5214 

Resistance 5153-5172 

Resistance 5090-5110 

   Support   5018-5038

 

The increase in volume from the 12th to the 19th came during the peak of the downtrend, but open interest and the total delta imbalance show that the confidence of the sellers is questionable. The index also moved from 5300 to 5000. 

 

There is also no excessive activity on the part of buyers. 

It is to be expected that both bulls and bears will take a break during the quarterly reporting period to gather information and adjust their portfolios. 

 

 VWAP for the current contract period and the VWAP indicator from 04 April to the present day are in volume resistance areas. Give them priority. 

As long as the price remains below these indicators, the downward trend may continue. 

The 5090 to 5110 area could be a strong confirmation of the continuation of the downtrend if the bulls fail to push the price above this area. 

The second slide shows 4 correlation charts of the S&P500 index with BAC, JPM, FESX, NQ. The ES chart is in white. The ES index has deviated from the correlators in recent days. This can be used for short term targets if the stock continues to rise.