July 31, 2023 SPX, SPY, ES Trade Plan
7/28 Trading Session Review
What a trap set by the market on the bears…After Thursday’s selloff on BoJ rumors the market took back the majority of that selloff in Friday’s session with most of the move coming overnight in futures. Kudos to our futures traders who were able to partake in this rally.
On Friday the regular session hours opened at a key level of 4571 - our next target above 4570 if it held was 4585 and that’s exactly what we got. Before it could get there price did selloff to 4564 where it was immediately bought up on its way to a high of 4590. In this scenario I would have taken long above 4570 after it was retaken.
There was a second opportunity to go long as SPX and many other tickers put in a double bottom - again at 4564 only for it to be bought up immediately and go back towards 4585. Great opportunities there to go long twice on the day.
Going into this week we have one of the biggest earnings week with a multitude of big companies reporting including AAPL and AMZN. On top of that we have manufacturing ISM, JOLTS Job Openings on Tuesday, ADP Non-Farm Employment Change on Wednesday, Services PMI on Thursday, and Unemployment Rate and Hourly Earnings on Friday. To add to that we have BOE on Thursday with their BOE Monetary Policy - similar to our FOMC.
Before we get into the SPX and other ticker plans I think we need to keep seasonality in mind. Looking at the below 3 charts…
The below chart courtesy of FX Evolution looked at data for 33 years and it shows VIX seasonality and we see that it spikes from August well into the beginning of October before it fades away…
In pre-election years we see a quick spike in August before it cools and ultimately triggers a new high in September with one additional push in October before it fades…
We then have a seasonality view of SPX from the past 7 years and it shows a telling story of a down trend over the next 2 months.
We won’t predict and ultimately react to the key levels.
With that let’s jump into the trade plan.
SPX/SPY/ES Overview (TL;DR)
4585 is the key level for the bulls. Break it and we push back towards 4600 and then 4620.
Bears have some work and below 4580 I am scalping 10pts on SPX as something major needs to break for it to go down further. I personally don’t like the setups, but there is an opportunity to scalp.
The weekly expected move is minimal considering the backdrop of ER and news so expect sideways action and reversals out of key levels.
ADBE
525 is the key level for the bulls to hold to then target 535. The bull fun really begins on the break and hold of 535 targeting 555. So break 535 and hold a backtest of it (max 530) then begin trend towards 550.
For the bears the break of 525 is key to target 515.
Above 535 target 550 - 535-530 must hold
If there is a failed breakdown of 525 target 535
Below 525 target 515
NVDA
This ticker is showing even more bullish momentum looking at Volland data with strong dealer hedging occurring already.
If price can hold above 455 or 460 we target 475, 505, 525, then 550.
If 455 breaks we sell back down towards 445-440.
Above 470 target 475
If there is a breakout of 475 target 505
Below 455 target 445
ENPH
Another earnings and another bear down. This ticker could give some nice technical trades up and down as it determines its next path and how it accumulates at these lows.
If 152.5 (max 150) hold then we can see 160 on this ticker trade.
Above 152.5 target 160
Above 160 and it holds target 170
If there is failed breakout of 160 target 155
For intraday updates please follow me on Twitter @DarkMatterTrade.
News Catalyst
5:00am est - EUR CPI
9:45am est - Chicago PMI
TBD - Loan Officer Survey
10:00am est - Revised UoM Consumer Sentiment
10:00am est - Revised UoM Inflation Expectations
For more information on news events, visit the Economic Calendar
7/31 - SPX/ES/SPY Trade Plan
Bullish bias:
Above 4585 target 4600
If there is a failed breakdown of 4580 target 4600
If there is a breakout of 4605 target 4625
Bearish bias:
Below 4580 target 4570
If there is a breakdown of 4570 target 4560
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. 24pts more than the SPX levels shared. To get SPY levels simply take the SPX levels and divide by 10.03.
SPX - The Why Behind the Plan
Key Levels
Above Spot:
4585 - negative vanna
4585-4597 - OB (1hr chart)
4591 midline
4600 - negative vanna
4610-4617 - OB (30min chart)
4613 midline
4625-4630 - negative vanna
4665 - negative vanna
4652-4665 - OB (1hr, 2hr chart)
4658 midline
Below Spot:
4580 - negative vanna
4570 - negative vanna
4560 - negative vanna
4564-4543 - FVG (2hr chart)
4560 premium zone
Overnight gap zone
4567-4554 - 455.40-454.10 - $21.64B
4550 - negative vanna
4538-4534 - 452.45-452.14 - $15.77B
4529-4520 - OB (30min chart)
4525 midline
4522-4509 - 450.89-449.62 - $14.81B
4510 - negative vanna
4511-4500 - OB (1hr chart)
4506 midline
4500 - negative vanna
4498-4493 - OB (15min chart)
4495 midline
Dark Pool Levels
We are starting to see more dark pool at the highs of SPX/SPY. I am going to continue to pay attention, but you can see how that dark pool zone of 4567-4554 became supportive and a key area of accumulation. Do we ride higher? Most likely, but use this as another data point/reference.
4567-4554 - 455.40-454.10 - $21.64B
4538-4534 - 452.45-452.14 - $15.77B
4522-4509 - 450.89-449.62 - $14.81B
4471 - 445.84 - $3.17B
4453-4438 - 444.02-442.48 - $20.06B
4421-4393 - 440.85-438.06 - $25.11B
4384-4375 - 437.18-436.20 - $24.71B
4349-4344 - 433.65-433.19 - $12.14B
4325-4292 - 431.26-427.92 - $18.46B
I get my dark pool levels from Quant Data.
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. I use Sonarlab’s indicator on Tradingview to plot these.
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.
4585-4597 - OB (1hr chart)
4591 midline
4610-4617 - OB (30min chart)
4613 midline
4652-4665 - OB (1hr, 2hr chart)
4658 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.
4564-4543 - FVG (2hr chart)
4560 premium zone
Overnight gap zone
4529-4520 - OB (30min chart)
4525 midline
4511-4500 - OB (1hr chart)
4506 midline
4498-4493 - OB (15min chart)
4495 midline
4481-4466 - OB (1hr & 2hr chart)
4473 midline
4408-4399 - OB (2hr chart)
4404 midline
Weekly Option Expected Move
SPX’s weekly option expected move is ~53.54 points. SPY’s expected move is ~5.45. That puts us at 4635.78 to the upside and 4528.70 to the downside. For SPY these levels are 462.37 and 451.47.
Remember over 68% of the time price will resolve it self in this range by weeks end.
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.
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:
4585 - negative vanna
4600 - negative vanna
4625-4630 - negative vanna
4665 - negative vanna
Below Spot:
4580 - negative vanna
4570 - negative vanna
4560 - negative vanna
4550 - negative vanna
4510 - negative vanna
4500 - negative vanna
Gamma
Positive Gamma Above Spot - acts as resistance - meaning that dealers want to push against the move
Positive Gamma Below Spot - acts as support - meaning that dealers will want to support price at these levels
Negative Gamma - becomes permissive to price as it moves there - aka neither resistance nor support - simply just chillin and watching what’s happening…
Above Spot:
4590 - positive gamma
4605-4620 - positive gamma
4650 - positive gamma
Below Spot:
4580-4570 - positive gamma
4560-4550 - positive gamma
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. This is a longer term view of the market and suggests we find key dips to buy to long.
The 0DTE view on SPX Charm shows a bearish trend. Currently, looking at charm we see a GEX paradigm which is a bullish 0DTE study from the Volland group, which suggests price will target 4600 and above that 4620.
Note that 0DTE changes throughout the day and Volland provides updates throughout the day. The futures market can change this paradigm so look for updates prior to market open and then throughout the first hour.
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.