May 11, 2023 SPX, SPY, ES Trade Plan
Good evening/day/morning traders. We finally had some range and with it higher volume than we have had all week.
I shared a recap of the trades we hit in this Tweet yielding 2 successful moves move on the day. Of note, I didn’t provide any breakdown or breakout levels not trusting what would happen in the premarket CPI release and to save us from any knife catching moves.
For additional details on my intraday trading rules and some of my key strategies I use such as VOLD please visit the below link.
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
8:30am est - PPI
10:15am est - FOMC Member Waller Speaks
1:01pm est - 30-y Bond Auction
As a reminder we are still in earnings season with the following companies reporting this week.
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. 15pts more than the SPX levels shared below. To get SPY levels simply take the SPX levels below and divide by 10.03
Bullish bias:
Above 4155 target 4170
If there is a failed breakdown of 4115-10 target 4130
Use VOLD indicator for trend reversal
VIX should be decreasing
Bearish bias:
Below 4130 target 4115
If there is a failed breakout of 4155 target 4130
Use VOLD indicator for trend reversal
VIX should be increasing
SPX - The Why Behind the Plan
Dark Pool Levels
The 4130 dark pool levels continue to get smaller and we had additional dark pool levels print at the 410 level.
Above Spot:
4145-4155 - (413.39, 414.26) - $6.12B
4170 - (415.66) - $5.36B
Below Spot
4134-37 - (412.18-412.54) - $15.07B
4104-20 - (409.21-410.93) - $13.38B
4072 - (406.03) - $4.49B
4045-55 - (403.64-404.48) - $10B
3999-89 - (397.73-398.76) - $6.02B
3977-68 (395.62-396.53) - $12.87B
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.
4155-4168 - FVG (30min chart)
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.
4135-4121 - FVG (1hr chart)
4112-4095 - FVG (1hr chart)
4095-4072 - FVG (1hr chart)
4049-4035 - OB (2hr chart)
4042-4035 - OB (1hr chart)
Weekly Option Expected Move
SPX’s weekly option expected move is ~68.91 points. SPY’s expected move is ~6.90. Remember over 68% of the time price will resolve it self in this range by weeks end.
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.
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:
4140-55 - negative vanna
4170 - negative vanna
4195 - negative vanna
Below Spot:
4130 - negative vanna
4110 - 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…
Above Spot:
4160-65 - positive gamma
4175 - positive gamma
Dealers must buy above 4145
Below Spot:
4130 - positive gamma
4110 - positive gamma
Dealers must sell below 4125
Charm
Charm total notional value is bullish - negative is bullish and positive bearish - take the total of the far left and far right values.
When reviewing Charm we also need to account for SPY’s charm. It is leaning bearish.
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.