June 9, 2023 SPX, SPY, ES Trade Plan
Good evening/day/morning traders. Did this week fly by so quickly or what? Apologizes on not having a trade plan today. I had started it and then hit a personal conflict. Anyway, today was a nice day for the bulls who defended the key 4255-60 area I tweeted about yesterday here. It gave us a nice double bottom on the 30min chart in which SPX then rallied from that point until the end of the day. A nice slow grind up until we hit the key 4300 level before it sold off.
Until Tuesday of next week we have no major news catalyst besides the 10 year bond auction on Monday. So the market may continue to see chop, but note we have yet to test either side of the weekly options expected move. Doesn’t mean we have to, but something to keep an eye for tomorrow.
Note: For our futures or ES traders I am now looking at the September contract. So for those of you on TradingView, the ticker ES had a major gap at the futures open. This is not due to the TSLA news or some kind of rally, but the difference in price between June and September’s contract.
As of writing, ES is at 4337 where as the June contract is trading at 4294. That is a 43 point difference. Which means the ES vs SPX price difference will be approximately 48pts - so if ES is 4248 then SPX will be 4200. Over time this difference will come in closer to the SPX price, but until then please keep this in mind.
With that, let’s jump into the trade plan.
For intraday updates please follow me on Twitter @DarkMatterTrade.
News Catalyst
There is no news catalyst for Friday and also Monday. Tuesday and Wednesday will bring more volatility back into the market with CPI and FOMC.
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 4320
If there is a breakout of 4325 target 4335
See Volland30
Use VOLD indicator for trend continuation
VIX should be decreasing
If there is a failed breakdown of 4275 target 4290
See Volland30
Use VOLD indicator for trend reversal
VIX should be decreasing
Bearish bias:
Below 4290 target 4275
If there is a breakdown of 4275 target 4260
See Volland30
Use VOLD indicator for trend continuation
VIX should be increasing
If there is a failed breakout of 4320 target 4305-10
See Volland30
Use VOLD indicator for trend reversal
VIX should be increasing
SPX - The Why Behind the Plan
Key Levels
Above Spot:
4285-4299 - OB (30min chart)
4292 midline
4303-4312 - OB (1hr chart)
4307 midline
4320 - negative vanna
4317-4325 - OB (30min chart)
4321 midline
4335 - negative vanna
Below Spot:
4280-55 - negative vanna
4286-4281 - OB (15min chart)
4285-4283 - 428.09-427.92 - $7.49B
4269-4261 - OB (15min chart)
4245 - negative vanna
4254-4223 - FVG (1hr chart)
4238 midline
4235 - negative vanna
4222-4212 - OB (1hr chart)
4217 midline
Dark Pool Levels
The past two days the dark pool has had some activity including additional prints in between the 4270-4295 zone. Will be curious to see if this is further accumulation or the start of a sell off. No prediction, we simply use these levels as further data in our trade plan.
4285-4283 - 428.09-427.92 - $7.49B
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.
4285-4299 - OB (30min chart)
4292 midline
4303-4312 - OB (1hr chart)
4307 midline
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)
4269-4261 - OB (15min 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:
4320 - negative vanna
4335 - negative vanna
4365 - negative vanna
Below Spot:
4280-55 - 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 bullish bias.
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 bullish 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.