May 1, 2023 SPX, SPY, ES Trade Plan

Good evening/day/morning traders. According to Bloomberg over $358,000 is gone each day in 0DTE option trades. This is why I go at least 1DTE or even SPY weeklies when I am trading.

0DTE Expiry Options will not make you profitable

With that said, this week is massive in terms of news catalysts. Tomorrow brings us the ISM Manufacturing PMI, followed by Tuesday’s JOLTS Job Openings, the EU’s CPI, and then we get into Wednesday with ADP Non-Farm Employment Change and the FOMC Interest Decision and Press Conference. If that wasn’t enough on Thursday we have unemployment claims and Friday brings Avg Hourly Earnings, Unemployment Rate, and Non-Farm Employment Changes.

Wow! Expect lots of volatility this week and whipsaw action up and down. Should be a fun - manage your risk and take profit or don’t allow trades to go from green to red.

Let’s jump right into today’s 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

1. 9:45am est - Final Manufacturing PMI

2. 10:00am est - ISM Manufacturing PMI

Along with the news we have several key earning reports…

Earnings reports this week from key companies including Apple

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. 20pts more than the SPX levels shared below. To get SPY levels simply take the SPX levels below and divide by 10.03

Bullish bias:

1. Above 4175 target 4190

2. If there is a failed breakdown of 4150 target 4165

3. If there is a breakout of 4190 target 4210

Bearish bias:

1. Below 4165 target 4150

2. If there is a failed breakout of 4175 target 4160

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SPX - The Why Behind the Plan

Key Levels

Above Spot - resistance:

1. 4176-4200 - OB (2hr chart)

   1. 4190 is the midline of this OB

   2. 4175 negative vanna

   3. 4175 negative gamma

   4. 4175 positive charm

2. 4215 - positive charm

3. 4231-42 - OB (1hr chart)

Below Spot - support:

1. 4165-60 - negative vanna

   1. 4165-60 positive charm

   2. 4165-60 positive gamma

2. 4155-45 - dark pool accumulation zone - currently at $6.12B

   1. 4155-50 positive charm

3. 4137-34 - $16.83B in dark pool sits here

4. 4127-12 - FVG (2hr chart)

5. 4104-08 - $12.26B in dark pool sits here

   1. 4102-4096 - OB (15min chart)

   2. 4105 negative vanna

Dark Pool Levels

The 4105 and 4135 levels saw a major increase in dark pool activity. These two levels are on watch for me which could act as support if the market holds under a theme of buy the dip. Additionally the 4150 level has seen some activity where it could be a key area that accumulates more before pushing up.

1. 4145-4155 - (413.39, 414.26) - $6.12B

2. 4134-37 - (412.18-412.54) - $16.83B

3. 4104-08 - (409.21-409.62) - $12.26B

4. 4072 - (406.03) - $4.49B

5. 4045-55 - (403.64-404.48) - $11.81B

Here is a summary chart from Quant Data that shows the key levels that have been bought up in dark pool prints since the beginning of March 1, 2023.

4/26 Dark Pool Levels via Quant Data

We need to pay attention to these key 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.

• 4176-4200 - OB (2hr chart)

• 4231-4242 - OB (1hr chart)

• 4242-4279 - FVG (2hr chart)

• 4274-4291 - OB (2hr chart)

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. 4127-4112 - FVG (2hr chart)

2. 4102-4096 - OB (15min chart)

3. 4064-4051 - OB (1hr chart)

4. 4049-4035 - OB (2hr chart)

   1. 4042-4035 - OB (1hr chart)

5. 4030-4019 - FVG (4hr chart)

Green Fill: Bullish FVG’ or Demand - Green Outlines: OB’s or Demand; Blue Fill: Bearish FVG or Supply - Blue Outline: OB’s or Demand

Weekly Option Expected Move

SPX’s weekly option expected move is ~72.20 points. SPY’s expected move is ~7.23. Remember over 68% of the time price will resolve it self in this range by weeks end.

SPX’s Weekly Option Expected Move for Week of 5/1

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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.

Something to keep in mind we are in a weakness of vanna and charm. So I will be using these levels as reference, but couple it with dark pool levels and orderblocks/fair value gaps.

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. Above spot we have positive vanna till 4235 on an aggregate level

2. If we take just the weekly expirations 4175 and 4225 are negative vanna

Below Spot:

1. 4165 - negative vanna

2. 4160 - negative vanna

3. 4105 - negative vanna

Weekly expiration view of 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:

1. Above spot we have positive gamma till 4230 on an aggregate level

2. If we take just the weekly expirations similar story but 4175 is negative gamma

3. Dealers must buy 4160

Below Spot:

1. 4160-65 - positive gamma

2. 4105 - positive gamma

3. Dealers must sell below 4150 and above 4165

Aggregate view of Gamma levels

Dealer buying vs selling pressure - positive notional value = buying - negative notional value = selling

Charm

Charm total notional value is bullish with a total negative notional value - negative is bullish and positive bearish. Looking at the key levels charm paints a bullish picture above 4175. Below 4170 we have positive charm until 4150.

Negative total notional value shows bullish charm…4175 will be a key level to overtake for the bulls

When reviewing Charm we also need to account for SPY’s charm. It is leaning bullish as well with the 416 and 417.5 levels key for it to take out and push up.

Negative total notional value shows bullish charm…416 and 417.50 will be a key level to overtake for the bulls

For the full charm effect to play out ideally we want to see SPX and SPY in sync.

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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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