Master Manual Switching and Super Cancel to quickly intercept the ball
To have more control of your players while defending, there are 2 things you should master: Manual Switching (with the Right Switch) and Super Cancel (R1+R2).
Player Switch is still not perfect in PES 2021 and was actually very poor when the game was released. One thing that helps while switching is to use the Right Switch - simply flick the switch in the direction your player is on the context of your screen (ie, for center-backs you will probably need to flick left, while for fullbacks you will need to use the diagonal left and top/bottom).
Most of the time, this is my preferred way to select a different player. It may seem strange at first, but it's actually much more intuitive than it may look.
In this clip, as soon as the ball is launched, I'm switching manually to my defender and using Super Cancel to freely control my player. By calculating the ball's trajectory and by reading your opponent's moves, you will easily intercept most passes.
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