Intraday snapshot · S&P 500 E-mini · Tue 22 Sep 2026
7848.50 in the first fifteen minutes, and all of it given back
The opening period made the day's high and its biggest buy delta at the same time. An hour on, price is back at yesterday's close and the 28 Aug high still has not traded.
Who holds territory
Nobody, inside a 16.5-point box
Buyers made the day's high in the first fifteen minutes and have not improved on it. Sellers have taken 15.5 points back and made the low so far in the 10:15 period, but they have not extended the range or gone near the 7810.50 overnight low.
Who is offside
The buyers who chased 7845.75 and higher
Two pushes bought above 7845.75, the opening drive and the 10:00 period, and both are underwater at 7833.00. Cumulative delta of +7,443 says they have not covered. Yesterday's sellers were the mirror image of this and got run over.
Eleven and a half points, then the door shut
The opening drive was over in fifteen minutes and it stopped 1.75 short of the level that mattered. Today is the third session of the excursion out of the 10–17 Sep balance, and everything so far has traded on the composite's upper shelf near 7842.75. ES opened at 7837.00, printed 7848.50 in the first period and has not been back. The initial balance is 16.5 points wide with a minute still to run, half the 32.75 yesterday made, and it still contains the whole session.
29 Jul – 21 Sep · contains the 2 beside it, not today
2 sessions
developing
Bars are bucketed to approximate distribution shape only. Every labelled price — POC, VAH, VAL, and the levels at right — is the exact tick-level value, not a bucket midpoint.
Today's whole range fits between yesterday's high at 7847.25 and its close at 7833.50, give or take a point at either end. The next two prices up the ladder, 7850.25 and 7863.50, have not traded.
A lower high on the second attempt
Nothing has extended. The 9:30 period set the high at 7848.50, clearing yesterday's high by a point and a quarter, then closed near its own low. The 9:45 period gave up 7833.25. The 10:00 period ran back to 7845.75 and could not reach the opening high.
So far in the 10:15 period price has traded 7832.00, the session low, and sits at 7833.00. Range extension is zero both ways. The day has been refused at one end of the box and has not yet tested the other, and the low it is leaning on was made in the period still running.
Buying that does not move price
Buyers have paid for this high and kept none of it. The opening period took +6,857 of delta, more than any single period yesterday produced, and cumulative delta reached +9,363 by the close of the 10:00 period. Price at that moment was 7840.25, five points under the high the first period had already made.
Whoever bought 7845.75 and higher is offside with the cumulative tape still deeply positive. That is yesterday's trade in reverse: sellers pushed delta to -5,458 and watched the market close at 7833.50 anyway.
Against the 08:05 read: nothing has triggered
Its primary needed acceptance above 7850.25 and the market stopped 1.75 under it, so neither the primary's trigger nor the alternate's probe at the same price has printed. The alternate's trigger at the 7810.50 overnight low has not been tested since the open. The primary's invalidation at 7793.75 is 39.25 below and untouched. The day is sitting in the gap all three branches left: a probe that fell just short.
Where it stands
Sellers hold the last half hour; buyers hold the week. Offside are whoever bought 7845.75 and higher, still long at the session low.
What argued for the primary
- The second attempt stopped five points under the 7848.50 high.
- Cumulative delta of +7,443 has bought nothing above the 7837.00 open.
What argued against
- The 16.5-point initial balance has not broken either way.
What decided it
Absorption at a failed high outranks a strong tape, but it is only 16.5 points of evidence.
The rest of the session
The failed high keeps failing
PrimaryThe day's high came in the first fifteen minutes and has been refused once since. Nothing traded between the initial balance low and the overnight low after 9:30, so a break of 7832.00 has air under it. The branch only counts once 7810.50 goes, and yesterday's value low is the destination.
Buyers reload in the box and finish the job
AlternateCumulative delta of +7,443 is not a tape that has quit, and the pullback has so far held 7832.00. If buyers take 7850.25 with the morning's buying still on the books, the thin stretch to the 4 Aug high at 7863.50 is the first real work above.
Yesterday's advance handed back
BearYesterday ran from 7722.00 to 7847.25 in one session and was sold the whole way. If 7793.75 goes there is no value beneath it until the 4 Aug low at 7777.75, and then the composite's point of control at 7757.75, where this market spent most of August.
What to watch
- 7850.25 The probe that has not happenedBoth upside branches need this price. It was approached once, at 7848.50, and refused. A clean trade through it with delta behind changes the day.
- 7832.00 The initial balance lowThe session low, made in the period still running. A break here is the day's first range extension and the gate for everything underneath.
- 7810.50 The overnight lowThe morning read's alternate trigger and this snapshot's primary. Untouched since the open, and the first place a sell-off has to prove itself.
What this is, and what it is not
This is a context gauge — the climate a discretionary decision gets made inside. It is not a trigger, a signal, or a trade.
Mechanical order-flow entry signals do not survive out-of-sample testing, and nothing here should be treated as one. The value of a read like this is subtractive: it tells you which levels matter, which side is already committed, and when to stand down — not when to click.
Every figure above is computed rather than estimated. The synthesis is machine-written from a fixed analytical framework and reviewed before publication — how these are made. Framework v1.5 (d485b3a+)