June 6, 2023 SPX, SPY, ES Trade Plan
Good evening/day/morning traders. Another great day for the team if you waited #paytiently to trade today. The open saw us spiking to 4295 which quickly sold off to 4279 where our first trade idea came into play…
If there is a failed breakdown of 4280-75 target 4320
I took this trade after the second 5min candle closed and used Volland data that showed we would find support at this level. I then Tweeted the following Tweet detailing that the updated Volland data showed a high of 4295 and I updated our targets to it.
Based on yesterday’s Volland data it seemed to me that we would find chop and sideways action. Instead after the Apple event the market immediately sold off going as far as 4266.
For those wondering if I took my bearish idea below - I didn’t. If you follow my intraday trading rules I avoid the lunch time hours in taking a trade and anything post 2 pm I will use Volland for an updated snapshot on where price may move to. I was happy with my profits today - compound remember - and decided to call it a day and fight another trading session.
Below 4275 target 4260
With that, let’s jump into the trade plan.
I enjoy interacting and learning from other traders so continue to share your trades, ideas, and how you use this trade plan by messaging me on Twitter @DarkMatterTrade.
News Catalyst
While we have no USD news catalyst I would just keep an eye on the CAD Ivey PMI due out at 10am est.
10am est - Ivey PMI
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. 8pts 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 4280 target 4300
If there is a breakout of 4307 target 4320
See Volland30
Use VOLD indicator for trend continuation
VIX should be decreasing
If there is a failed breakdown of 4260 target 4275
See Volland30
Use VOLD indicator for trend reversal
VIX should be decreasing
Bearish bias:
Below 4260 target 4245
If there is a failed breakout of 4280 target 4265-60
See Volland30
Use VOLD indicator for trend reversal
VIX should be increasing
SPX - The Why Behind the Plan
Key Levels
Above Spot:
4275-80 - negative vanna
4294-4298 - OB (30min chart)
4303-4312 - OB (1hr chart)
4307 midline
4320 - negative vanna
4317-4325 - OB (15min chart)
4321 midline
Below Spot:
4270-55 - negative vanna
4260-4254 - OB (5min chart)
4245 - negative vanna
4254-4223 - FVG (1hr chart)
4238 midline
4235 - negative vanna
4222-4212 - OB (1hr chart)
4217 midline
4222 - 421.80 - $2.02B
Dark Pool Levels
The big change to the dark pool levels is the $4.22B worth of prints at the 427.92 level. Will this end up being a long or short? We will see, but react accordingly.
4283 - 427.92 - $4.22B
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.
4294-4298 - OB (30min chart)
4303-4312 - OB (1hr chart)
4307 midline
4317-4325 - OB (15min 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.
4260-4254 - OB (5min chart)
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 ~54.89 points. SPY’s expected move is ~5.62. 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:
4275-80 - negative vanna
4320 - negative vanna
Below Spot:
4270-55 - negative vanna
4245 - 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…
No big change in gamma - dealers are well hedged. We are in a cluster of positive gamma between 4255-4315.
Charm
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 bearish bias.
While looking at the SPX charm - without having the futures data - we are currently looking to target 4265 or 4250 to the downside and 4310 and 4330 to the upside. Remember if IV is not expanding charm will start to overtake Vanna especially 0DTE as it comes closer to expiration.
When reviewing Charm we also need to account for SPY’s charm. It is leaning bearish at an aggregate view.
If we look at SPY for 0DTE we are seeing a bearish charm 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.
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.