June 20, 2023 SPX, SPY, ES Trade Plan

Good evening/day/morning traders. Friday was a tough trading day. It’s why I dislike trading OPEX week. You get so many fake reversals and traps where you need to take profits quick and fast. More scalping like scenarios than trade and hold.

There was a bit of a break on the SPX towards the latter half of the trading day going right until the closing bell. This is OPEX it happens and we move on.

This weeks major news catalyst will be Wednesday’s House Financial Services Committee hearing with FED Chair Powell testifying. Then we go into Thursday with premarket data on Unemployment Claims followed by FED Chair Powell testifying to the Senate Banking Committee. This all ends on Friday where we have Flash Manufacturing PMI and Flash Services PMI.

With that, let’s jump into the trade plan.

For intraday updates please follow me on Twitter @DarkMatterTrade.

News Catalyst

1. 8:30am est - Building Permits

2. 8:30am est - Housing Starts

3. 11:45am est - FOMC Member Williams Speaks

For more information on news events, visit the Economic Calendar

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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:

1. Above 4415 target 4430

2. If there is a breakout of 4440 target 4465

   1. See Volland30

   2. Use VOLD indicator for trend continuation

   3. VIX should be decreasing

3. If there is a failed breakdown of 4405 target 4430

   1. See Volland30

   2. Use VOLD indicator for trend reversal

   3. VIX should be decreasing

Bearish bias:

1. Below 4405 target 4390

2. If there is a breakdown of 4390 target 4375

   1. See Volland30

   2. Use VOLD indicator for trend continuation

   3. VIX should be increasing

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SPX - The Why Behind the Plan

Key Levels

Above Spot:

1. 4430-4435 - negative vanna

2. 4465-4480 - negative vanna

   1. 4438-4470 - OB (4hr chart)

      1. 4455 midline

   2. 4440 - 443.59 - $3.17B

3. 4490 - negative vanna

   1. 4475-4520 - OB (4hr chart)

      1. 4497 midline

Below Spot:

1. 4405 - negative vanna

   1. 4405-4400 - positive gamma

   2. 4409-4402 - OB (15min chart)

      1. 4406 midline

   3. 4412-4396 - 440.85-439.22 - $6.41B

2. 4375 - negative vanna

   1. 4375 - positive gamma

   2. 4384-4372 - FVG (30min chart)

      1. 4379 premium level

   3. 4376-4371 - 437.18-436.75 - $10.08B

3. 4375-4338 - OB (1hr chart)

   1. 4356 midline

   2. 4340 - 433.65 - $4.49B

4. 4325 - negative vanna

   1. 4325 - positive gamma

5. 4304-4297 - OB (1hr chart)

   1. 4301 midline

   2. 4300 - 429.64 - $6.81B

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Dark Pool Levels

The 4395-4412 zone had an increase in dark pool prints and will play a key level for bears

1. 4440 - 443.59 - $3.17B

2. 4412-4396 - 440.85-439.22 - $6.41B

3. 4376-4371 - 437.18-436.75 - $10.08B

4. 4340 - 433.65 - $4.49B

5. 4300 - 429.64 - $6.81B

6. 4285-4283 - 428.09-427.92 - $7.46B

7. 4205 - 420.16-420.03 - $8.05B

8. 4196-80 - 419.20-417.60 - $16B

9. 4160-56 - 415.66-415.28 - $9.84B

10. 4150-25 - 414.64-412.18 - $23.31B

11. 4120-07 - 411.59-410.34 - $17.13B

12. 4100-4096 - 409.62-409.22 - $8.56B

Dark Pool Levels via Quant Data for 6/16

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.

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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. 4438-4470 - OB (4hr chart)

   1. 4455 midline

2. 4475-4520 - OB (4hr chart)

   1. 4497 midline

3. 4566-4583 - OB (4hr chart)

   1. 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.

1. 4409-4402 - OB (15min chart)

   1. 4406 midline

2. 4384-4372 - FVG (30min chart)

   1. 4379 premium level

3. 4375-4338 - OB (1hr chart)

   1. 4356 midline

4. 4332-4318 - FVG (2hr chart)

   1. 4326 premium level

5. 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 ~51.20 points. SPY’s expected move is ~5.25. Remember over 68% of the time price will resolve it self in this range by weeks end.

SPX Weekly Expected Move for Week of 6/19

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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. 4430-4435 - negative vanna

2. 4465-4480 - negative vanna

3. 4490 - negative vanna

Below Spot:

1. 4405 - negative vanna

2. 4375 - negative vanna

3. 4325 - negative vanna

Aggregate view of Vanna via Volland

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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:

1. 4410-4425 - positive gamma

2. 4440-4460 - positive gamma

Below Spot:

1. 4405-4400 - positive gamma

   1. 4400 larger gamma

2. 4375 - positive gamma

3. 4325 - positive gamma

Aggregate view of Gamma levels

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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.

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.

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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