📈 INSTITUTIONAL PRE-MARKET PLAN

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

Generated: 2026-09-16 08:35 ET | Model: gemini-2.5-pro | Data: yfinance 5m & daily

1. PRE-CALCULATED MARKET METRICS SNAPSHOT

6M Range: 6,353.25 - 7,838.50 (Current: Upper 11% of range (Near 6M Highs))
20-day ATR: 68.16 pts
50 EMA: 7,624.62 | 20 EMA: 7,667.31 (50 SMA: 7,638.70 | 20 SMA: 7,678.54)
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: 8.8% annualized

3M Range: 7,324.00 - 7,838.50 (Current: 69% 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, 7,595.00, 7,675.00 | Top LVNs: 7,645.00, 7,735.00, 7,615.00

ONH (Overnight High): 7,689.25 | ONL (Overnight Low): 7,658.75 | ON Range: 30.50 pts (44.7% of 20d ATR)
Overnight VPOC: 7,672.50 (Developing VAH: 7,677.50 | Developing VAL: 7,665.00)
Overnight Inventory: 92% Net Long
Overnight Relative Volume (RVOL): 63.0% of Globex baseline
Overnight Net Delta Trend: -5,256 contracts (Rotational / Neutral)
Prior Regular Trading Hours (RTH): Settle: 7,663.75 | Value Area High (VAH): 7,660.00 | Value Area Low (VAL): 7,650.00 | Prior VPOC: 7,655.00
Today's Macro Events: Potential FOMC Rate Decision / Press Conference - 14:00 ET

Quarterly Value Posture: Accepting Inside 3-Month Value Area (7,415.00 - 7,700.00) - Quarterly Rotational Equilibrium / Balance
Quarterly Fair Value Proximity: +135.25 pts (+1.79%) 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 (69.2% percentile of quarterly bracket)
Overnight vs. Quarterly VPOC: Developing Overnight VPOC (7,672.50) is +127.50 pts relative to 3M VPOC (7,545.00)

Of course. Here is the institutional-grade Next-Day Trading Plan for ES, derived from the provided Market Metrics Snapshot.

Date: 2026-09-16
Strategist: Lead Institutional Equity Index Strategist
Focus: Auction Market Theory, Market Profile

Opening Type & Short-Term State: The market is indicating an open at 7,680.25, which is significantly above the prior day's Value Area High (VAH) of 7,660.00. This constitutes an Open-Auction Out-of-Balance to the upside. The immediate implication is that short-term sentiment is bullish, and the path of least resistance is initially higher. However, the overnight range is narrow (44.7% of ATR) on low relative volume (63.0%), suggesting a lack of strong conviction behind the move.
Multi-Timeframe Bias (24H vs. 3M): The current auction is occurring inside the 3-month Value Area (7,415 - 7,700). While the short-term open is bullishly out-of-balance, it is happening directly below the significant long-term resistance of the 3-Month VAH at 7,700.00. This creates a critical conflict: short-term initiative buying is running into a major long-term balance area high.
Overall Bias: Neutral to Cautiously Bullish, with a high probability of mean reversion. The gap-up condition favors longs initially, but the location within the quarterly balance and the extreme overnight long inventory present a significant risk of failure and a sharp inventory correction. The market is in a Quarterly Rotational Equilibrium, and we are near the top of that rotation. The FOMC event later today is the primary catalyst that will likely resolve this conflict.

Daily Pivot Zone: 7,672.50 - 7,660.00
- This zone is defined by the Overnight VPOC (7,672.50) and the Prior Day VAH (7,660.00). Holding above this zone maintains the bullish gap integrity. Acceptance below it signals a failed auction, traps overnight longs, and shifts the odds toward a gap-fill and mean reversion.
Primary Resistance (R1): 7,689.25 - 7,700.00
- This critical zone contains the Overnight High (ONH) and the 3-Month VAH. This is the most significant hurdle for buyers. A failure here is the trigger for the bearish scenario.
Primary Support (S1): 7,658.75 - 7,655.00
- This zone contains the Overnight Low (ONL) and the Prior Day VPOC. A break below this level confirms the failure of the gap-up structure and initiates a liquidation break.
Secondary Levels:
- R2 (Expansion Target): 7,735.00 (3-Month LVN)
- S2 (Mean Reversion Target): 7,645.00 (3-Month LVN)
- Macro Magnet: 7,545.00 (3-Month VPOC - Fair Value)

Trigger: Price opens and holds firmly above the Daily Pivot Zone (7,672.50). Buyers defend the initial test of this area.
Confirmation: A sustained breakout and acceptance above Primary Resistance (R1) at 7,700.00. This signals that the market is rejecting the 3-month balance and beginning an expansion phase.
Target 1: 7,735.00 (3-Month LVN). This is a low-volume node where price can accelerate.
Target 2: 7,838.50 (3-Month / 6-Month High). This is the full quarterly range expansion target.
Invalidation: A firm acceptance back below the Daily Pivot Zone at 7,660.00.

Trigger: Price fails to hold above the Daily Pivot Zone (7,672.50) and is accepted back inside the prior day's value area (below 7,660.00). This traps the excessive (92%) overnight long inventory.
Confirmation: A break and hold below Primary Support (S1) at 7,655.00. This confirms long liquidation is underway.
Target 1: 7,645.00 (3-Month LVN). This would complete the gap fill and test the next structural node.
Target 2: 7,595.00 (3-Month HVN). A deeper probe into the quarterly balance structure.
Invalidation: Price reclaims and holds above the ONH at 7,689.25.

Trigger: The market is unable to break the ONH (7,689.25) or the Prior Day VAH (7,660.00) with any conviction before 14:00 ET. Volume is light and rotation is dominant.
Strategy: This is a fade-the-extremes environment. Look for shorting opportunities on weak tests of the 7,689.25 - 7,700.00 resistance zone, targeting the lower end of the developing range. Look for responsive buying opportunities near the 7,660.00 support level.
Invalidation: This strategy is nullified by the FOMC announcement at 14:00 ET or a sustained, high-volume breakout of either boundary prior to the event.

Primary Risk Factor: The 92% Net Long Overnight Inventory is the most significant risk. This creates a severe imbalance that is prone to a violent and rapid inventory correction (sell-off) if the RTH open shows any sign of weakness. Bulls must see immediate follow-through to avoid