July 5, 2023 SPX, SPY, ES Trade Plan
Good evening/day/morning traders. As expected Monday was a very uneventful day on the indices while certain names like TSLA 0.00%↑, COIN 0.00%↑, ENPH 0.00%↑, and a few others moved.
I avoid these half day sessions falling in between holidays like Monday. There is no volume, traps and reversals, and major decay on option premiums especially if you are playing anything less than a week.
With the holiday in our rear view mirror we now look forward to a few key sessions that could provide us with the next leg in this move or retracement.
Wednesday brings us OPEC Meetings and FOMC minutes and unless there is a major surprise from OPEC we could chop as the session opens until the release of the meeting notes at 2pm est. On Thursday the ADP Non-farm Employment numbers come out along with Unemployment Claims, ISM Services PMI, and JOLTS Job Openings. If that wasn’t enough Friday brings us more employment and hourly earnings numbers.
Overview (TL;DR)
The bulls need to keep price above 4450 to target 4475 and if we break out of 4480 target 4495. Above 4500 targets 4515. Be careful for any traps in the early morning session as the market could chop until we get to FOMC minutes.
The bears need to get price below 4450 to target 4415. With FOMC minutes this is definitely possible. I would want to see a fake out/takeout liquidity towards 4460-4475 and then see if 4450 is lost to target 4415. 4415 is major support zone and if it falls we start to target the next big area of support at 4380.
Be on the lookout with FOMC - where we see a lot of fakeouts where price sells immediately, bounces, only to continue selling off and vice versa. Stick to the levels and keep an eye out for Volland30 and the VOLD indicator.
Let’s jump into the trade plan.
For intraday updates please follow me on Twitter @DarkMatterTrade.
News Catalyst
All-day - OPEC Meetings
2:00pm est - FOMC Meeting Minutes
For more information on news events, visit the Economic Calendar
SPX/ES/SPY Trade Plan
Bullish bias:
Above 4460 target 4475
If there is a failed breakdown of 4415 target 4430
If there is a breakout of 4480 target 4495
If there is a breakout of 4500 target 4515
Bearish bias:
Below 4450 target 4415
If there is a failed breakout of 4460 target 4415
If there is a breakdown of 4415 target 4380
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. 38pts more than the SPX levels shared. To get SPY levels simply take the SPX levels and divide by 10.04.
SPX - The Why Behind the Plan
Key Levels
Above Spot:
4475-4480 - negative vanna
4461-4482 - OB (2hr chart)
4472 midline
4495 - negative vanna
4475-4520 - OB (4hr chart)
4497 midline
4515 - negative vanna
Below Spot:
4450 - negative vanna
4442-4435 - OB (30min chart)
4439 midline
4415 - negative vanna
4380 - negative vanna
4393-4380 - OB (1hr chart)
4386 midline
4384 - 438.06 - $3.67B
4375-4362 - OB (1hr chart)
4369 midline
4376-4369 - 437.18-436.54 - $19.45B
4325 - negative vanna
Dark Pool Levels
No major changes from Monday’s session, but interesting of note that didn’t show from our last trade plan is the 4384 level where $3.67B of dark pool has accumulated.
4396 - 439.22 - $3.32B
4384 - 438.06 - $3.67B
4376-4369 - 437.18-436.54 - $19.45B
4340-4336 - 433.65-433.19 - $9.39B
4316 - 431.26 - $4.19B
4300 - 429.64 - $6.81B
4285-4283 - 428.09-427.92 - $7.46B
4205 - 420.16-420.03 - $8.05B
4196-80 - 419.20-417.60 - $16B
We need to pay attention to these dark pool levels. Mark them on your chart as key levels that we should pay attention to. 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.
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.
4461-4482 - OB (2hr chart)
4472 midline
4475-4520 - OB (4hr chart)
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.
4442-4435 - OB (30min chart)
4439 midline
4393-4380 - OB (1hr chart)
4386 midline
4375-4362 - OB (1hr chart)
4369 midline
4344-4328 - OB (1hr chart)
4336 midline
4333-4318 - FVG (2hr chart)
4325 premium level
4304-4297 - OB (1hr chart)
4301 midline
Weekly Option Expected Move
SPX’s weekly option expected move is ~53.95 points. SPY’s expected move is ~5.39. 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.
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:
4475-4480 - negative vanna
4495 - negative vanna
4515 - negative vanna
Below Spot:
4450 - negative vanna
4415 - negative vanna
4380 - negative vanna
4325-4315 - negative vanna
Gamma and Delta-Adjusted Gamma (DAG)
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:
4460-4475 - positive gamma
4485-4620 - positive gamma
Below Spot:
4450 - positive gamma
4415 - positive gamma
4380 - positive gamma
Charm
Remember if IV is not expanding charm will start to overtake Vanna especially 0DTE as it comes closer to expiration.
Charm total notional value is bullish - negative is bullish and positive bearish - take the total of the far left and far right values.
The 0DTE view on SPX Charm shows a bullish bias. I would expect any dips to be bought intraday.
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.
If we look at SPY for 0DTE we are seeing a bearish charm view.
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.