INSTITUTIONAL ES TRADING PLAN (ES=F - E-mini S&P 500)

Generated: 2026-09-14 08:35 ET | Model: gemini-2.5-pro | Data: yfinance 5m & daily

---

1. PRE-CALCULATED MARKET METRICS SNAPSHOT

ES (E-mini S&P 500) MARKET METRICS SNAPSHOT

• Ticker / Contract: ES=F
• Timestamp: 2026-09-14 08:35 ET (Pre-RTH)
• Current Price: 7,610.25 pts

6-Month Macro Structure

• 6M Range: 6,353.25 - 7,838.50 (Current: Upper 15% of range (Near 6M Highs))
• 20-day ATR: 66.40 pts
• 50 EMA: 7,623.12 | 20 EMA: 7,672.61 (50 SMA: 7,635.87 | 20 SMA: 7,688.46)
• Major Multi-Month HVNs (Acceptance Nodes): 7,545.00, 7,485.00, 7,440.00, 7,520.00
• Major Multi-Month LVNs (Rejection / Vacuum Nodes): 6,495.00, 7,065.00, 7,315.00
• Volatility Context: 30-day Realized Vol: 10.5% annualized

3-Month Macro Structure (Quarterly Value Profile)

• 3M Range: 7,324.00 - 7,838.50 (Current: 56% percentile of 3M range (Mid-range))
• 3M Value Area (70%): VPOC: 7,545.00 | VAH: 7,700.00 | VAL: 7,415.00
• 3M Volume Nodes: Top HVNs: 7,545.00, 7,485.00, 7,520.00, 7,710.00 | Top LVNs: 7,645.00, 7,615.00, 7,735.00

Prior 24-Hour / Globex Session

• ONH (Overnight High): 7,634.50 | ONL (Overnight Low): 7,593.75 | ON Range: 40.75 pts (61.4% of 20d ATR)
• Overnight VPOC: 7,610.00 (Developing VAH: 7,622.50 | Developing VAL: 7,605.00)
• Overnight Inventory: 100% Net Short
• Overnight Relative Volume (RVOL): 71.3% of Globex baseline
• Overnight Net Delta Trend: 2,426 contracts (Rotational / Neutral)
• Prior Regular Trading Hours (RTH): Settle: 7,660.00 | Value Area High (VAH): 7,677.50 | Value Area Low (VAL): 7,662.50 | Prior VPOC: 7,675.00
• Today's Macro Events: None scheduled (Normal Auction Environment)

Relation: Last 24 Hours vs. 3-Month Macro Structure

• Quarterly Value Posture: Accepting Inside 3-Month Value Area (7,415.00 - 7,700.00) - Quarterly Rotational Equilibrium / Balance
• Quarterly Fair Value Proximity: +65.25 pts (+0.86%) above 3M VPOC (7,545.00) - serves as macro mean-reversion magnet if buying exhausts
• 24H Auction vs. 3M Extremes: Overnight auction contained within 3-Month range (55.6% percentile of quarterly bracket)
• Overnight vs. Quarterly VPOC: Developing Overnight VPOC (7,610.00) is +65.00 pts relative to 3M VPOC (7,545.00)

---

2. INSTITUTIONAL EXECUTION PLAN & SCENARIOS

Of course. As a lead institutional strategist, here is the actionable next-day trading plan for the ES, derived from the provided market metrics.

---

ES (E-mini S&P 500) Institutional Trading Plan

Date: 2026-09-14
Author: Lead Index Strategist
Focus: Auction Market Theory & Market Profile Execution

1. Market State & Multi-Timeframe Bias

• Opening Type & Short-Term State: The market is indicating an open at 7,610.25, which is a significant Gap Down below the prior day's entire value area (VAL at 7,662.50). This is an Out-of-Balance opening, signaling a potential change in market conditions. The primary question for today's session is whether this gap represents initiative selling that will seek continuation, or if it's an unsustainable overnight move that will be rejected by the RTH auction, leading to a responsive buying (gap fill) scenario.

• Multi-Timeframe Bias (Quarterly Context): The 24-hour auction is occurring firmly inside the 3-month value area (7,415.00 - 7,700.00). This indicates that despite the short-term bearish gap, the market remains in a broader rotational equilibrium / balance on the quarterly timeframe. We are not currently in a macro expansion phase. The current price is trading +65.25 points above the quarterly Point of Control (VPOC) at 7,545.00, which serves as the primary macro "fair value" magnet.

• Synthesized Bias: Cautiously Bearish / Rotational Down. The immediate path of least resistance is lower due to the gap-down structure. However, the 100% net short overnight inventory and proximity to the upper distribution of the quarterly range present a significant risk of a sharp inventory correction (short squeeze) if sellers cannot find acceptance below the overnight low.

2. Key Inflection Levels

• Session Pivot: 7,610.00 (Overnight VPOC)

  • This is the epicenter of overnight trade and the primary inflection point for the RTH open. Acceptance above this level favors bulls targeting a gap fill; acceptance below favors bears targeting a test of the macro VPOC.

• Primary Resistance Zone: 7,634.50 - 7,662.50

  • R1: 7,634.50 (Overnight High) - The first key test for buyers.
  • R2: 7,662.50 (Prior Day VAL / Gap Fill Start) - A break above R1 targets this level, which represents the beginning of the prior day's balance area.

• Primary Support Zone: 7,593.75 - 7,545.00

  • S1: 7,593.75 (Overnight Low) - The immediate line in the sand for sellers. A failure to hold here invalidates the immediate bearish pressure.
  • S2: 7,545.00 (3-Month VPOC / Major HVN) - This is the most significant support level on the chart. It represents long-term fair value and is the logical destination for any sustained initiative selling. Expect strong responsive buying activity on the first test.

3. Primary Scenarios (If/Then)

• Bullish Scenario: Inventory Correction & Gap Fill

  • Trigger: Price finds acceptance above the 7,610.00 pivot and breaches the Overnight High at 7,634.50.
  • Confirmation: Sustained bids above 7,634.50, positive order flow delta, and a squeeze of the trapped overnight short inventory.
  • Target 1: 7,662.50 (Prior Day VAL / Initial Gap Fill).
  • Target 2: 7,675.00 (Prior Day VPOC / Full Gap Fill).
  • Invalidation: A decisive failure to hold above 7,610.00 and a break below the Overnight Low (7,593.75).

• Bearish Scenario: Gap & Go / Acceptance of Lower Value

  • Trigger: Price is rejected at or below the 7,610.00 pivot and breaches the Overnight Low at 7,593.75.
  • Confirmation: The ONL (7,593.75) holds as resistance on any re-test, accompanied by sustained negative order flow delta. This confirms the gap as initiative selling.
  • Target 1: 7,545.00 (3-Month VPOC). This is a high-probability mean reversion target within the quarterly balance.
  • Target 2: 7,485.00 (Next Major Multi-Month HVN).
  • Invalidation: Price reclaims the Overnight High (7,634.50), trapping sellers and initiating the bullish scenario.

• Range/Choppiness Play: Balance within the Overnight Range

  • Condition: If the RTH open fails to produce initiative momentum beyond the Globex range, the market may enter a rotational phase.
  • Boundaries: Fade the extremes of the overnight range: sell rallies into 7,634.50 (ONH) and buy dips into 7,593.75 (ONL).
  • Target: Rotations back toward the 7,610.00 (ON VPOC). This is a lower-conviction strategy and should be abandoned if either boundary is breached with conviction.

4. Risk & Invalidation

• Primary Risk Factor: Extreme Overnight Inventory Imbalance. The market is 100% net short. This is a structurally unstable condition. Any sign of buying strength at the open could trigger a rapid and aggressive short-covering rally (inventory correction). Shorts initiated near the ONL are particularly vulnerable to this squeeze risk.

• Volatility & Range Potential: The overnight range of 40.75 pts is approximately 61% of the 20-day ATR (66.40 pts). This suggests there is still significant energy available for a range expansion day. A move to either the Prior Day VPOC (upside) or the 3-Month VPOC (downside) would constitute a near-full ATR day.

• Macro Context Risk: The market remains in a long-term balance. Aggressive trend-following strategies are lower probability until price breaks and accepts outside the 3-month value area (below