May 5, 2023 SPX, SPY, ES Trade Plan

Good evening/day/morning traders. What an amazing day and trade plan we had. Right from futures overnight into the market opening we hit 2 bearish ideas and 1 bullish ideas. These are the days you take advantage of by sticking to the plan, having conviction by understanding why I call out key levels, and then executing the trade.

The following trades hit:

1. Below 4090 target 4070

2. If there is a breakdown of 4065 target 4050

3. If there is a failed breakdown of 4050 target 4070

Congrats if you took all or one of these trades. Great to see ES almost trade 2M lots which provided us a 30pt sell and 15pt reversal.

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In yesterday’s trade plan we discussed the VOLD indicator. If you take a look at today’s VOLD the ratio was in the low 2’s - so no trend day nor strength to bears or bulls - by adding this and the trade plan you can build the conviction you need to take a trade or stick with a trade.

May 4, 2023 SPX, SPY, ES Trade Plan

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

Today brings us a key news catalyst in pre-market hours. Expect volatility…

1. 8:30am est - Non-Farm Employment Change

2. 8:30am est - Unemployment Rate

3. 8:30am est - Average Hourly Earnings

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. 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:

1. Above 4080 target 4095

2. If there is a breakout of 4100 target 4115

   1. Use VOLD indicator for trend continuation

3. If there is a failed breakdown of 4040-35 target 4055

Bearish bias:

1. Below 4070 target 4055

2. If there is a breakdown of 4055 target 4040

3. If there is a breakdown of 4035 target 4015

   1. Use VOLD indicator for trend continuation

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SPX - The Why Behind the Plan

Key Levels

Above Spot - resistance:

1. 4065-70 - positive gamma

   1. 4063 - (405.10) - $4.49B

2. 4075-95 - negative vanna

   1. 4095 - positive gamma (0DTE)

   2. 4072 - (406.03) - $4.49B

3. 4081-4090 - FVG (15m chart)

   1. 4092 - (407.99) - $4.39B

4. 4100 - negative vanna

   1. 4104-08 - (409.21-409.62) - $12.26B

5. 4115 - negative vanna

   1. 4115-20 - positive gamma (0DTE)

6. 4123-4143 - OB (1hr chart)

7. 4134-37 - (412.18-412.54) - $18.69B

Below Spot - support:

1. 4049-4035 - OB (2hr chart)

   1. 4045-55 - (403.64-404.48) - $10B

2. 4035-25 - negative vanna

   1. 4035-4025 - positive gamma

   2. 4030-4019 - FVG (4hr chart)

3. 4015 - positive gamma

   1. 4018-4007 - OB (1hr chart)

4. 3990 - negative vanna

   1. 3990 - positive gamma

   2. 4007-3967 - FVG (2hr chart)

   3. 3999-89 - (397.73-398.76) - $6.02B

5. 3967-3951 - OB (2hr chart)

   1. 3977-68 (395.62-396.53) - $12.87B

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Dark Pool Levels

The biggest change from yesterday’s session was the $2.64B dark pool print at the 4092 level. This should be a level we watch to see how price action reacts. We do have quite a bit dark pool below this level which could pin the market between 4100 and 4045.

Above Spot:

1. 4063 - (405.10) - $4.49B

2. 4072 - (406.03) - $4.49B

3. 4092 - (407.99) - $4.39B

4. 4104-08 - (409.21-409.62) - $12.26B

5. 4134-37 - (412.18-412.54) - $18.69B

6. 4145-4155 - (413.39, 414.26) - $6.12B

7. 4170 - (415.66) - $5.36B

Below Spot

1. 4045-55 - (403.64-404.48) - $10B

2. 3999-89 - (397.73-398.76) - $6.02B

3. 3977-68 (395.62-396.53) - $12.87B

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.

5/4 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.

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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.

• 4081-4090 - FVG (15m chart)

• 4123-4143 - OB (1hr 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.

1. 4049-4035 - OB (2hr chart)

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

2. 4030-4019 - FVG (4hr chart)

3. 4018-4007 - OB (1hr chart)

4. 4007-3967 - FVG (2hr chart)

5. 3967-3951 - OB (2hr 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

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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.

We hit the bottom portion of this range again today and based on futures if it holds should have us opening back inside this range. Just another piece of data for us to keep in mind.

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.

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. 4065 - positive vanna

2. 4075-95 - negative vanna (minimal)

3. 4100 - negative vanna

4. 4115 - negative vanna

Below Spot:

1. 4050-40 - positive vanna

   1. 4030 is positive vanna on 0DTE

2. 4035-25 - negative vanna

   1. 4025 is the largest vanna

3. 4015 - negative vanna

4. 4010-3995 - positive vanna

5. 3990 - negative vanna

We have a lot of negative vanna above spot. In order for price to break to the upside IV would need to contract allowing SPX to flow through those negative vanna levels

Aggregate 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. 4065-70 - positive gamma

2. 4095 - positive gamma (0DTE)

3. 4115-20 - positive gamma (0DTE)

4. 4160 - positive gamma

5. 4175-4190 - positive gamma

6. Dealers must buy above 4080

Below Spot:

1. 4035-25 - positive gamma

2. 4015 - positive gamma

3. 3990 - positive gamma

4. 3980 - positive gamma

5. Dealers must sell below 4050

Aggregate view of Gamma levels

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

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Charm

Charm total notional value is bearish but minimal - negative is bullish and positive bearish. Looking at the key levels charm shows negative charm below spot at 4050 with 4080 being a key level if broken will take us to 4100. 4110 and 4125 could be the top of the range.

Positive total notional value shows bearish charm

When reviewing Charm we also need to account for SPY’s charm. It is leaning bearish with 404 and 400 key levels below spot. Above spot 408 and 410 are key levels.

SPY Charm - Aggregate View

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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