June 28, 2023 SPX, SPY, ES Trade Plan

Good evening/day/morning traders. We saw a nice rally in the markets after positive data came out on Core Durable Goods Orders, Consumer Confidence, New Home Sales, and Canada CPI.

Stock Market Heat Map for 6/27

We opened the day on a gap up and sold off around 10am est and from there we never looked back as we continued to rally. Green candle after the next on the 30min chart!

Going into tomorrow we have a slew of central bank speakers at the ECB Forum. This will be a key event as it begins at market open. We do have a couple of gaps above spot - 4388.08 and 4407.44 - which we will see if they attempt to close them.

AMD and NVDA did see quite a selloff after hours after a news report broke on a potential US ban on AI chips to China. I will be watching these stocks as they could provide insights on tomorrow’s trend. NVDA has a key level at 397.50-400 to hold otherwise we see a larger selloff on it. If it holds along with the other mega caps we could see a rally in the market then.

Additionally, we are in a massive dark pool zone - 4376-4369 - and the reaction out of this level will be critical. Was this simply a consolidation zone for a further push up or is this the sign of a wall that SPX will need to overcome? Will be interesting to see if we have any additional dark pool prints at this level and the direction in price that comes from it.

For intraday updates please follow me on Twitter @DarkMatterTrade.

News Catalyst

1. 9:30am est - Fed Chair Powell, BOJ Gov Ueda, and BOE Gov Bailey all speak in a panel discussion at the ECB Forum on Central Banking

2. 11am est - ECB President Lagarde gives the final remarks at the ECB Forum

3. 4:30pm est - Bank Stress Test Results

For more information on news events, visit the Economic Calendar

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SPX/ES/SPY Trade Plan

Bullish bias:

1. Above 4375 target 4390

2. If there is a breakout of 4400 target 4415

Bearish bias:

1. Below 4375 target 4360

2. If there is a failed breakout of 4400 target 4360

3. If there is a breakdown of 4350 target 4325

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. 40pts more than the SPX levels shared below. To get SPY levels simply take the SPX levels and divide by 10.01.

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SPX - The Why Behind the Plan

Key Levels

Above Spot:

1. 4395-4400 - negative vanna

   1. 4385-4390 - positive gamma

   2. 4400-4409 - FVG (30min chart)

   3. 4396 - 439.22 - $3.32B - dark pool

2. 4405 - positive gamma

3. 4415-4465 - positive gamma

   1. 4434-4440 - OB (15min chart)

      1. 4437 midline

4. 4470 - negative vanna

Below Spot:

1. 4376-4369 - 437.18-436.54 - $19.41B - dark pool

2. 4360-4350 - negative vanna

   1. 4360-4355 - positive gamma

3. 4325 - negative vanna

   1. 4325 - positive gamma

   2. 4344-4328 - OB (1hr chart)

      1. 4336 midline

   3. 4340-4336 - 433.65-433.19 - $9.39B - dark pool

   4. 4333-4318 - FVG (2hr chart)

      1. 4325 premium level

4. 4310 - negative vanna

   1. 4310 - positive gamma

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Dark Pool Levels

Over the past two days the 431 level has seen over $4B in dark pool prints. This was a zone where we held Monday and then rallied from on Tuesday. If we do get a selloff this will be a key pivot level.

1. 4396 - 439.22 - $3.32B

2. 4376-4369 - 437.18-436.54 - $19.41B

3. 4340-4336 - 433.65-433.19 - $9.39B

4. 4316 - 431.26 - $4.19B

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

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.

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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. 4400-4409 - FVG (30min chart)

2. 4434-4440 - OB (15min chart)

   1. 4437 midline

3. 4438-4470 - OB (4hr chart)

   1. 4455 midline

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

   1. 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.

1. 4344-4328 - OB (1hr chart)

   1. 4336 midline

2. 4333-4318 - FVG (2hr chart)

   1. 4325 premium level

3. 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 ~53.63 points. SPY’s expected move is ~5.58. That puts us at 4401.95 for the upside and 4294.69 to the downside. For SPY these levels are 438.79 and 427.63.

Remember over 68% of the time price will resolve it self in this range by weeks end.

SPX Weekly Expected Move for Week of 6/26

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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. 4380 - 0DTE - negative vanna

2. 4395-4400 - negative vanna

3. 4470 - negative vanna

Below Spot:

1. 4360-4350 - negative vanna

2. 4325 - negative vanna

3. 4310 - negative vanna

4. 4300 - negative vanna

Aggregate view of Vanna via Volland

0DTE 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. 4385-4390 - positive gamma

2. 4405 - positive gamma

3. 4415-4465 - positive gamma

Below Spot:

1. 4360-4355 - positive gamma

2. 4325 - positive gamma

3. 4310 - 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 bullish 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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