July 12, 2023 SPX, SPY, ES Trade Plan

Good evening/day/morning traders. Tomorrow we have a vol event - CPI print for June. I won’t use this letter to predict what tomorrow’s CPI print is, but for an excellent analysis I would suggest you read this Twitter thread. For the full analysis visit here.

Here is JPM’s plan and potential percentage move on the SPX depending on what the CPI print comes in at.

JPM’s plan on CPI and expected move

An update on our chart patterns we discussed in the July 10 trade plan. We tested the bottom of the trendline from June’s low and immediately saw a reaction from this trendline. All eyes on the resistance level around 4460 and then the trend line acting as resistance since December and February’s highs. To the downside if you are bearish you will want to see these uptrend lines start to break down.

4400 and 4345 are two key levels for bears and 4460 and 4500 are key levels for the bulls

Thus 4400 and 4345 are two critical points of interest for the bears if they want to change this bullish trend. For a more sustained selloff the bears need to take out 4390 and 4375 where we have close to $50B in dark pool prints . Otherwise the markets will continue to be supportive going into the rest of the week with bank ER’s Friday and into the next two weeks of ER’s. The 4400 and 4345 levels are where our existing trendlines are at - the levels have shifted from Monday as time has passed and the trend goes up.

With tomorrow’s CPI we could see traps and fake reversals and breakdowns. Don’t rush and wait for the key levels to react to and wait for confirmations on timeframes 15mins and higher otherwise keep stop losses in mind. I will always trade lighter on a day like tomorrow where a vol event exists vs days when we do not have a vol event.

So in summary I will stick to my trade plan, react to key levels and know/understand why they are important, and trade until I hit the target or my stop loss. I don’t want to get in the game of predicting cause I don’t know if the next move is going to be up or down…

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Overview (TL;DR)

For bulls it all comes down to the CPI print and then breaking 4455 to target 4475. More fun for the bulls come when 4475 breaks targeting 4490. To get to 4515 the bulls need to breakout of 4495.

For bears well they need a hot hot CPI if they want any sustained selloff. The market could be supportive at 4390 and I will not short until we break 4370, which then targets 4325. The 4390-4375 is complete chop as we have a large amount of dark pool there and I wouldn’t want to short it until 4370 breaks or take a long until we breakout of 4400 again.

Let’s jump into the trade plan.

For intraday updates please follow me on Twitter @DarkMatterTrade.

News Catalyst

While the big event is July’s CPI print I would keep an eye out for the BOC Monetary Policy Report & Rate Statement at 10am est.

1. 8:00am est - CPI

2. 10:00am est - BOC Monetary Policy Report and BOC Rate Statement

For more information on news events, visit the Economic Calendar

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SPX/ES/SPY Trade Plan

Bullish bias:

1. Above 4455 target 4475

2. If there is a breakout of 4475 target 4490

3. If there is a breakout of 4495 target 4515

Bearish bias:

1. Below 4415 target 4390

2. If there is a breakdown of 4370 target 4325

As always keep an eye on Volland30, VOLD indicator, and the VIX for trend continuation or reversals.

Remember you can use this SPX trade plan to trade ES or SPY. ES value is approx. 34pts more than the SPX levels shared. To get SPY levels simply take the SPX levels and divide by 10.03.

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SPX - The Why Behind the Plan

Key Levels

Above Spot:

1. 4455 - negative vanna

   1. 4442-4452 - OB (1hr chart)

      1. 4447 midline

   2. 4453-4438 - 444.02-442.48 - $14.75B

2. 4475 - negative vanna

   1. 4461-4482 - OB (2hr chart)

      1. 4472 midline

3. 4490-4495 - negative vanna

   1. 4474-4520 - OB (4hr chart)

      1. 4497 midline

4. 4505 - negative vanna

5. 4515 - negative vanna

Below Spot:

1. 4430-4325 - negative vanna

2. 4415 - negative vanna

   1. 4417-4408 - OB (15min chart)

      1. 4413 midline

   2. 4407-4402 - OB (30min chart)

      1. 4404 midline

   3. 4421-4393 - 440.85-438.06 - $25.11B

3. 4390 - negative vanna

   1. 4393-4380 - OB (1hr chart)

      1. 4386 midline

4. 4380 - negative vanna

   1. 4384-4375 - 437.18-436.20 - $24.71B

5. 4370 - negative vanna

   1. 4375-4362 - OB (1hr chart)

      1. 4369 midline

6. 4325 - negative vanna

   1. 4344-4328 - OB (1hr & 2hr chart)

      1. 4336 midline

   2. 4349-4344 - 433.65-433.19 - $12.14B

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Dark Pool Levels

We saw an additional $3B added at the 4397 level and an additional $4.6B added at the 4410 level between Monday and Tuesday.

1. 4453-4438 - 444.02-442.48 - $14.75B

2. 4421-4393 - 440.85-438.06 - $25.11B

3. 4384-4375 - 437.18-436.20 - $24.71B

4. 4349-4344 - 433.65-433.19 - $12.14B

5. 4325-4292 - 431.26-427.92 - $18.46B

We need to pay attention to these dark pool levels. Remember the levels where we see dark pool prints greater than $4B should peak our interest. I get my dark pool levels from Quant Data.

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Orderblocks (OB) and Fair Value Gaps (FVG)

These are smart money concepts and some areas I am looking to see how price reacts. I will give higher credence to OB’s whereas FVG’s could be areas of basing/consolidation if they break.

Resistance levels - at these levels I want to see if price rejects to short or consolidates for a push up. I couple this data with Volland, intraday option flows, and Dark Pool levels. Higher timeframe OB’s or FVG will be harder to break. OB’s are the stronger levels over FVG’s.

1. 4442-4452 - OB (1hr chart)

   1. 4447 midline

2. 4461-4482 - OB (2hr chart)

   1. 4472 midline

3. 4474-4520 - OB (4hr chart)

   1. 4497 midline

Support levels - at these levels I want to see if price rejects to long or consolidates for a push down. I couple this data with Volland, intraday option flows, and Dark Pool levels. Higher timeframe OB’s or FVG will be harder to break. OB’s are the stronger levels over FVG’s.

1. 4417-4408 - OB (15min chart)

   1. 4413 midline

2. 4407-4402 - OB (30min chart)

   1. 4404 midline

3. 4393-4380 - OB (1hr chart)

   1. 4386 midline

4. 4375-4362 - OB (1hr chart)

   1. 4369 midline

5. 4344-4328 - OB (1hr & 2hr chart)

   1. 4336 midline

6. 4304-4297 - OB (1hr chart)

   1. 4301 midline

Green Fill: Bullish FVG’ or Demand - Green Outlines: OB’s or Demand; Blue Fill: Bearish FVG or Supply - Blue Outline: OB’s or Supply

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Weekly Option Expected Move

SPX’s weekly option expected move is ~58.69 points. SPY’s expected move is ~5.93. That puts us at 4504 to the upside and 4396 to the downside. For SPY these levels are 448.67 and 437.89.

Remember over 68% of the time price will resolve it self in this range by weeks end.

SPX Weekly Expected Move for Week of 7/10

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Volland Data

For a better understanding of the various greeks below I would suggest you visit the Volland YouTube Page. Volland provides unique data showing where dealers are positioned providing in my opinion a higher degree of conviction to where price may move to.

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Vanna - Levels where price may repel or act as magnet

Remember for price to go above spot through a magnet or repellent VIX and IV must decrease or stay flat. For price to go below spot through a magnet or repellent VIX and IV must increase.

Positive vanna - will act as magnet

Negative vanna - will act as repellent

When price goes through a positive or negative level it will flip it - ie negative becomes positive and vice versa.

Above Spot:

1. 4455 - negative vanna

2. 4475 - negative vanna

3. 4490-4495 - negative vanna

4. 4505 - negative vanna

5. 4515 - negative vanna

6. 4595-4605 - negative vanna

Below Spot:

1. 4430-4325 - negative vanna

2. 4415 - negative vanna

3. 4390 - negative vanna

4. 4380 - negative vanna

5. 4370 - negative vanna

6. 4325 - negative vanna

Aggregate view of Vanna via Volland

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Charm

Remember if IV is not expanding charm will start to overtake Vanna especially 0DTE as it comes closer to expiration.

For all expiry’s, Charm total notional value is bullish - negative is bullish and positive bearish - take the total of the far left and far right values.

Aggregate View - negative total notional value shows bullish charm

The 0DTE view on SPX Charm shows a bullish bias. I would expect any dips to be bought intraday.

SPX Charm - 0DTE View

Note that the total notional value of SPX is 10x. Thus it’s charm will outweigh that of SPY’s. For the full charm effect to play out ideally we want to see SPX and SPY in sync.

So what does SPY’s charm tell us? It is leaning bearish at an aggregate view.

SPY Charm - Aggregate View

If we look at SPY for 0DTE we are seeing a bearish charm view.

SPY Charm - 0DTE View

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My Intraday Trading Rules

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To cover our basis…

Welcome to my Substack where I provide a daily SPX trading plan to help guide my intraday trading. The purpose of this letter is not to advice you on your trading or investment decisions. I am simply documenting my daily trading plan for myself to help with planning and execution. These are simply my opinions and the data sourced from the likes of vol.land, TradingView, Quant Data and others. The stock market is risky, gains are not guaranteed. This is not about getting rich quick, but learn to educate yourself and make the necessary financial decisions on your own. This is not financial advice.

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