June 12, 2023 SPX, SPY, ES Trade Plan
Good evening/day/morning traders. Friday was a nice stress free kind of trade day. Our levels played out to perfection - didn’t trap us in a bullish or bearish trap - and presented us with about a 40pt day playing both sides.
I tweeted much of these updates in real time via my Twitter account. When time provides itself I provide these timely updates. One was the fake bullish trap at 4222 where we targeted 4220 as our trade idea and then a failed breakout of 4225 allowed us our second trade idea which then hit our target of 4205 - the low was 4292.
This week will be volatile for sure and could give us a nice range. SPX’s weekly option expected move is ~63.76 points. SPY’s expected move is ~7.14. With CPI & FOMC I would have expected a larger move, but seems like these news events are well baked into the market. When looking at the Volland data I would agree with this…the dealers are quite hedged for these event so any surprises up or down will trigger a major move.
I won’t be predicting anything so here is how I plan to play this week. I expect Monday to be similar where we go up and down as we are in an area of accumulation. On Friday alone we had nearly $6B trade in the 4295-4300 zone. This area is complete noise until a side is picked - so on Monday take profits when given and tighten your stop losses. More importantly, I am going to play light. Better trades will come and I would rather keep my cash for better trades.
Before Monday’s close depending on the Volland30 data and price action I may take an overnight SPY lotto call or put. On Wednesday I will stay out of the market until the lead up into FOMC until 1:00-1:45pm est.
All in all if there is one takeaway go lighter this week until we get past these news catalysts. They will swing up and down so fast you won’t be fast enough to trade it.
If that was not enough we also have PPI on Wednesday before the open then Retail Sales, Empire State Manufacturing Index, and Unemployment Claims on Thursday. On Friday we then have FOMC speaker prior to market open and then the University of Michigan Consumer Sentiment and Inflation Expectation reports.
To top it off, this week is OPEX…thus this week is set for a bunch of traps and reversals. Be careful out there when trading.
With that, let’s jump into the trade plan.
For intraday updates please follow me on Twitter @DarkMatterTrade.
News Catalyst
1:01pm est - 10-y Bond Auction
For more information on news events, visit the Economic Calendar
SPX/ES/SPY Trade Plan
Remember you can use this SPX trade plan to trade ES or SPY. ES value is approx. 48pts more than the SPX levels shared below. To get SPY levels simply take the SPX levels below and divide by 10.01.
Bullish bias:
Above 4300 target 4315
If there is a breakout of 4325 target 4350
See Volland30
Use VOLD indicator for trend continuation
VIX should be decreasing
If there is a failed breakdown of 4285 target 4300
See Volland30
Use VOLD indicator for trend reversal
VIX should be decreasing
Bearish bias:
Below 4295 target 4285
If there is a breakdown of 4285 target 4270
See Volland30
Use VOLD indicator for trend continuation
VIX should be increasing
If there is a failed breakout of 4315 or 4320 target 4290
See Volland30
Use VOLD indicator for trend reversal
VIX should be increasing
SPX - The Why Behind the Plan
Key Levels
Above Spot:
4300 - negative vanna
4300 - positive gamma
4295-4300 - 429.64-429.15 - $6.19B
4315-20 - 0DTE - negative vanna
4325-4360 - positive gamma
4317-4325 - OB (30min chart)
4321 midline
4365 - negative vanna
4342-4385 - FVG (2hr chart)
4363 midline
Below Spot:
4290-4285 - negative vanna
4290-4285 - positive gamma
4286-4281 - OB (15min chart)
4284 midline
4285-4283 - 428.09-427.92 - $7.46B
4275 - negative vanna
4275 - positive gamma
4273-4264 - OB (1hr & 2hr chart)
4268 midline
4269-4261 - OB (15min chart)
4265 midline
4255 - 0DTE - negative vanna
4254-4223 - FVG (1hr chart)
4238 midline
Dark Pool Levels
The 4295-4300 amassed over $6B of dark pool prints on Friday. This will continue to be a key area of accumulation and will kickoff our next leg - to either the upside or downside.
4295-4300 - 429.64-429.15 - $6.19B
4285-4283 - 428.09-427.92 - $7.46B
4205 - 420.16-420.03 - $8.05B
4196-80 - 419.20-417.60 - $16B
4160-56 - 415.66-415.28 - $9.84B
4150-25 - 414.64-412.18 - $23.31B
4120-07 - 411.59-410.34 - $17.13B
4100-4096 - 409.62-409.22 - $8.56B
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 $2-4B 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.
4317-4325 - OB (30min chart)
4321 midline
4342-4385 - FVG (2hr chart)
4363 midline
4438-4470 - OB (4hr chart)
4456 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.
4286-4281 - OB (15min chart)
4284 midline
4273-4264 - OB (1hr & 2hr chart)
4268 midline
4269-4261 - OB (15min chart)
4265 midline
4254-4223 - FVG (1hr chart)
4238 midline
4222-4212 - OB (1hr chart)
4217 midline
4194-4179 - OB (2hr chart)
4187 midline
4161-4151 - OB (2hr chart)
4155 midline
4098-4072 - FVG (2hr chart)
4049-4035 - OB (2hr chart)
4042 midline
Weekly Option Expected Move
SPX’s weekly option expected move is ~63.76 points. SPY’s expected move is ~7.14. Remember over 68% of the time price will resolve it self in this range by weeks end.
Volland Data
The Volland team now provides new product tiers providing you with more intraday updates. This is an amazing asset to have intraday to see how dealers are positioning themselves adding more conviction to our levels and changes to the key levels for the 2nd half of the trading session. Take a look by visiting the Volland site for their various options - including Volland 30 - the package I have subscribed giving me updates every 30 mins.
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:
4300-4320 - negative vanna
4315-20 - 0DTE - negative vanna
4365 - negative vanna
Below Spot:
4290-4285 - negative vanna
4275 - negative vanna
4255 - 0DTE - negative vanna
4235 - negative vanna
Gamma and Delta-Adjusted Gamma (DAG)
Positive Gamma Above Spot - acts as resistance
Positive Gamma Below Spot - acts as support
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:
4300 - positive gamma
4325-4360 - positive gamma
Below Spot:
4290-4285 - positive gamma
4275 - positive gamma
4235 - 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.
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.
When reviewing Charm we also need to account for SPY’s charm. It is leaning bullish 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.