June 16, 2023 SPX, SPY, ES Trade Plan
Good evening/day/morning traders. A wild past two days shows a very aggressive bull with no end in sight. For those bearish the past month or so - I feel bad. This is why we don’t predict, we trade day-to-day, get our profits, and off we go.
Right now the bulls are in full control and honestly those seeking a 3900-4000 SPX level are going to have to wait some time or maybe we might never see it. We will continue to follow the trend and price action - I have no fight in this war between bears and bulls. We trade up and we trade down - it is as simple as that.
With that, let’s jump into the trade plan.
For intraday updates please follow me on Twitter @DarkMatterTrade.
News Catalyst
7:45am est - FOMC Member Waller Speaks
10:00am est - Prelim UoM Consumer Sentiment
10:00am est - Prelim UoM Inflation Expectations
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. 46pts 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 4435 target 4475
If there is a breakout of 4475 target 4490 - potential overshoot to 4500
See Volland30
Use VOLD indicator for trend continuation
VIX should be decreasing
If there is a failed breakdown of 4390 target 4405
See Volland30
Use VOLD indicator for trend reversal
VIX should be decreasing
Bearish bias:
Below 4425 target 4390
If there is a failed breakout of 4435 target 4390
See Volland30
Use VOLD indicator for trend reversal
VIX should be increasing
If there is a breakdown of 4390 target 4375
See Volland30
Use VOLD indicator for trend continuation
VIX should be increasing
If there is a breakdown of 4365 target 4355
See Volland30
Use VOLD indicator for trend continuation
VIX should be increasing
SPX - The Why Behind the Plan
Key Levels
Above Spot:
4435 - negative vanna
4438-4470 - OB (4hr chart)
4456 midline
4475 - negative vanna
4490 - negative vanna
4500 - negative vanna
4474-4520 - OB (4hr chart)
4497 midline
Below Spot:
4390 - 0DTE - negative vanna
4375-4365 - negative vanna
4384-4372 - FVG (30min chart)
4379 premium level
4376-4371 - 437.18-436.75 - $10.08B
4355 - negative vanna
4375-4338 - OB (1hr chart)
4356 midline
4340 - 433.65 - $4.49B
4320 - negative vanna
4300 - negative vanna
4304-4297 - OB (1hr chart)
4301 midline
4300 - 429.64 - $6.81B
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.
4376-4371 - 437.18-436.75 - $10.08B
4340 - 433.65 - $4.49B
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
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.
4438-4470 - OB (4hr chart)
4456 midline
4474-4520 - OB (4hr chart)
4497 midline
4566-4583 - OB (4hr chart)
4575 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.
4384-4372 - FVG (30min chart)
4379 premium level
4375-4338 - OB (1hr chart)
4356 midline
4332-4318 - FVG (2hr chart)
4326 premium level
4304-4297 - OB (1hr chart)
4301 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.
We are way outside of the weekly options expected move. Again 68% of the time it stays within this range, but other times it will blow past it. I believe the last quarterly OPEX we had a similar situation where we closed outside of the weekly expected move.
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:
4435 - negative vanna
4470-4475 - negative vanna
4475 larger vanna
4490 - negative vanna
4500 - negative vanna
Below Spot:
4390 - 0DTE - negative vanna
4375-4365 - negative vanna
4355 - negative vanna
4320 - negative vanna
4300 - 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:
4430 - positive gamma
4440-4465 - positive gamma
Below Spot:
4425-4380 - positive gamma
4360 - positive gamma
4350-4325 - 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.
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 bullish 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.