📈 INSTITUTIONAL PRE-MARKET PLAN

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

Generated: 2026-09-22 09:11 ET | Model: gemini-2.5-pro | Data: yfinance 5m & daily

1. PRE-CALCULATED MARKET METRICS SNAPSHOT

6M Range: 6,353.25 - 7,847.25 (Current: Upper 1% of range (Near 6M Highs))
20-day ATR: 75.04 pts
50 EMA: 7,638.09 | 20 EMA: 7,687.33 (50 SMA: 7,649.60 | 20 SMA: 7,683.19)
Major Multi-Month HVNs (Acceptance Nodes): 7,540.00, 7,455.00, 7,415.00, 7,730.00
Major Multi-Month LVNs (Rejection / Vacuum Nodes): 7,790.00, 7,755.00, 7,165.00
Volatility Context: 30-day Realized Vol: 10.9% annualized

3M Range: 7,324.00 - 7,847.25 (Current: Upper 2% of 3M range (Near Quarterly Highs))
3M Value Area (70%): VPOC: 7,690.00 | VAH: 7,840.00 | VAL: 7,530.00
3M Volume Nodes: Top HVNs: 7,730.00, 7,695.00, 7,650.00, 7,465.00 | Top LVNs: 7,790.00, 7,755.00, 7,555.00

ONH (Overnight High): 7,843.75 | ONL (Overnight Low): 7,810.50 | ON Range: 33.25 pts (44.3% of 20d ATR)
Overnight VPOC: 7,837.50 (Developing VAH: 7,837.50 | Developing VAL: 7,827.50)
Overnight Inventory: 76% Net Long
Overnight Relative Volume (RVOL): 89.3% of Globex baseline
Overnight Net Delta Trend: -8,173 contracts (Bearish distribution)
Prior Regular Trading Hours (RTH): Settle: 7,828.50 | Value Area High (VAH): 7,845.00 | Value Area Low (VAL): 7,795.00 | Prior VPOC: 7,835.00
Today's Macro Events: None scheduled (Normal Auction Environment)

Quarterly Value Posture: Accepting Inside 3-Month Value Area (7,530.00 - 7,840.00) - Quarterly Rotational Equilibrium / Balance
Quarterly Fair Value Proximity: +148.50 pts (+1.93%) above 3M VPOC (7,690.00) - serves as macro mean-reversion magnet if buying exhausts
24H Auction vs. 3M Extremes: Overnight auction probed within 3.50 pts (0.04%) of 3-Month High (7,847.25) - testing quarterly supply ceiling
Overnight vs. Quarterly VPOC: Developing Overnight VPOC (7,837.50) is +147.50 pts relative to 3M VPOC (7,690.00)

Of course. Based on the provided Market Metrics Snapshot, here is the institutional Next-Day Trading Plan for the ES RTH session.

Date: 2026-09-22
Author: Lead Index Strategist
Focus: Auction Market Theory, Market Profile

Opening Type & Short-Term State: The current price of 7,838.50 is inside the Prior Day's Value Area (7,795.00 - 7,845.00). This signals an In-Balance / In-Value Open. This condition initially favors a rotational, two-sided auction until price can prove acceptance outside of yesterday's established value range. The overnight range was narrow (44% of ATR), indicating coiling/balance ahead of the RTH session.
Multi-Timeframe Bias (24H vs. 3M): The market is at a critical long-term inflection point. The auction is currently taking place at the absolute upper boundary of the 3-Month Value Area (VAH: 7,840.00) and within points of the 3-Month High (7,847.25).
- Primary Conflict: The market must now decide between Quarterly Expansion (acceptance above 7,840.00, initiating a new price discovery phase) or Quarterly Mean Reversion (rejection at the value area high, leading to a rotation back towards the 3M VPOC at 7,690.00).
- Bias: The macro trend is undeniably bullish. However, the immediate tactical condition is one of balance at the highs. The significant net long overnight inventory coupled with negative delta suggests potential for an inventory correction (long liquidation) if initiative buyers do not appear early in the RTH session to defend these elevated prices. Our bias is Neutral to Cautiously Bullish, pending confirmation of acceptance above the quarterly value area.

Daily Pivot Zone: 7,835.00 - 7,837.50
- Rationale: Confluence of the Prior RTH VPOC and the developing Overnight VPOC. This is the session's primary fulcrum; sustained trade above is constructive, while acceptance below targets lower balance levels.
Primary Resistance (R1): 7,840.00 - 7,847.25
- Rationale: A formidable cluster of resistance including the 3-Month VAH (7,840.00), ONH (7,843.75), Prior RTH VAH (7,845.00), and the 3-Month/6-Month High (7,847.25). This is the key supply ceiling that must be overcome for a bullish continuation.
Primary Support (S1): 7,810.50
- Rationale: The Overnight Low (ONL). A break and acceptance below this level would trap the overnight longs and signal a failure of the immediate upside auction.
Secondary Support (S2): 7,795.00 - 7,790.00
- Rationale: Prior RTH Value Area Low (7,795.00) and a key Multi-Month LVN (7,790.00). A break through this zone could lead to price acceleration lower as it signifies a complete rejection of yesterday's value.

Trigger: Sustained bids and acceptance above the Primary Resistance zone at 7,847.25.
Confirmation:
1. Price holds above 7,847.25 for a full 30-minute period, building volume.
2. The 7,840.00 - 7,845.00 area is successfully re-tested and holds as support.
3. Positive delta and increasing volume on the breakout attempt.
Target 1: 7,875.00 (Psychological level, initial price discovery).
Target 2: 7,915.00 - 7,920.00 (Approx. +1 ATR from breakout point).
Invalidation: A sharp rejection after breaking above 7,847.25, with price quickly returning to trade back inside the Daily Pivot Zone (below 7,835.00). This would constitute a "look above and fail" pattern.

Trigger: Sustained offers and acceptance below Primary Support at 7,810.50 (ONL).
Confirmation:
1. A decisive break of the Prior RTH VAL at 7,795.00.
2. Acceleration through the LVN at 7,790.00, indicating a vacuum.
3. Negative delta and an increase in volume on the breakdown, confirming long liquidation.
Target 1: 7,730.00 (Major Multi-Month HVN).
Target 2: 7,690.00 (The 3-Month VPOC; the primary magnet for a full mean-reversion cycle).
Invalidation: Price breaks below 7,810.50 but fails to find acceptance, quickly reclaiming the Daily Pivot Zone (7,835.00+).

Condition: If the market fails to break out of the 7,810.50 - 7,845.00 range in the first 90 minutes of the RTH session.
Strategy: This becomes a fade-the-extremes environment. Execute short-term trades by selling responsive rallies into the **7,840.