September 19, 2023 SPX, SPY, ES Trade Plan

Market Review - Last Session

Not much to review today besides maybe fine tuning the trade plan to have provided a failed breakdown scenario at 4440. We got an open where price balanced between 4442 and 4450 - saving us from getting bearish - and then it targeted our 4465 level.

From there, we mentioned that if 4465 had a failed breakdown we would go back to 4450 and that’s exactly what we did. While not a nice clean trending day, simply playing failed breakdowns or breakouts you netted 30pts on the day. Take that bias and throw it out the door - you are not here to predict trends, but to trade and react to key levels.

More and more as of late it seems like Monday’s trading sessions without any news events are a nasty sideways chop and fake breakout kind of days. Until we see this change I would suggest you trade lighter on Monday’s and keep your risk tight.

As you could imagine no major changes to our key levels on the volume profile that we noted below. Of note though, we rejected 4458 which was SPX’s June’s value area high, but on ES and US500 tickers we rejected last weeks value area high which is 4510 and 4459 on those tickers. So for any upside this is the level we all need to watch in the interim - 4510 is 4462 on SPX - near that 4458 VAH of June. This is why I chart ES along with SPX and SPY as the data can share differences between the tickers that turn into resistance or support levels.

Let’s discuss some important levels that I will be keeping an eye out for this month…

Above Spot:

1. 4453 - Septembers POC - still forming and could change as we go through the month

2. 4458 - this is June’s VAH on the volume profile. While we broke below this we did come back strong this week to push back above it. It becomes an important level we follow

3. 4482 - the VAH of last weeks - 9/11 - value area high

4. 4485 - Septembers VAH - value area high - still forming and will change as we go through the month

5. 4516 - this is August’s POC - point of control on the volume profile. We are trading below this level and closed below it at 4515 on Friday.

6. 4532 - this is August’s VAH - value area high on the volume profile. We rejected from this level on Friday and closed below it

7. 4557 - this is July’s POC - point of control on the volume profile. We are trading below it, but if we can capture 4532 and hold it we will then navigate to this level next

8. 4596 - this is July’s VAH - value area high on the volume profile. If we can break above 4557 and hold it we will target this area.

Below Spot:

1. 4446 - Septembers VAL - still forming and this range could continue to change and dynamically go up or down

2. 4417 - this is August’s VAL - value area low on the volume profile. This would be a major defense by the bulls so we don’t have further selloff.

3. 4400 - we have an uptrend line starting from May 24 and toughing August’s lows.

4. 4368 - this is June’s POC - point of control - and price will look to see if it finds buyers here and balance

5. 4309 - this is June’s VAL - value area low - we lose this and we get 4250-4200 pretty fast then. Why? There is not a lot of volume in this area that pushed price up so it will rip down pretty fast then

With that, let’s jump into the trade plan.

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SPX/SPY/ES Intraday Overview (TL;DR)

Bulls want to defend 4450 to target 4465. Above 4470 targets 4485.

Bears want to defend that 4465-4470 zone. If they can hold selloff begins to target 4445. Below 4445 target 4425.

For intraday updates please follow me on Twitter @DarkMatterTrade.

News Catalyst

1. 8:30am est - Building Permits

For more information on news events, visit the Economic Calendar

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9/19 - SPX/ES/SPY Trade Plan

Bullish bias:

1. Above 4470 target 4485

2. If there is a failed breakdown of 4450 target 4465

3. If VIX continues going down then a breakout of 4485 targets 4500

Bearish bias:

1. Below 4445 target 4425

2. If there is a failed breakout of 4470 target 4445

3. If VIX continues going up then a breakdown of 4425 targets 4410

As always keep an eye on Volland30, VOLD indicator, and the VIX for trend continuation or reversals.

Remember you can use this SPX trade plan to trade ES or SPY. ES value is approx. 48pts more than the SPX levels shared. To get SPY levels simply take the SPX levels and divide by 10.03.

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SPX - The Why Behind the Plan

Key Levels

Above Spot:

1. 4455-4465 - negative vanna

   1. 4465-4470 - OB (15min chart)

      1. 4468 midline

   2. 4461-4472 - 444.82-445.91 - $11.87B

2. 4485 - negative vanna

   1. 4474-4487 - 446.16-447.44 - $14.76B

3. 4500 - negative vanna

   1. 4502-4507 - OB (30min chart)

      1. 4504 midline

   2. 4494-4503 - 448.07-449.03 - $14.70B

4. 4515 - negative vanna

   1. 4510-4516 - OB (1hr, 2hr chart)

      1. 4508 midline

   2. 4514-4523 - 450.12-451.03 - $16.16B

5. 4525 - negative vanna

Below Spot:

1. 4450 - negative vanna

2. 4425 - negative vanna

   1. 4435-4415 - OB (30min chart)

      1. 4425 midline

   2. 4425-4414 - OB (1hr chart)

      1. 4419 midline

   3. 4446-4440 - 443.32-442.73 - $14.62B

3. 4410 - negative vanna

   1. 4417-4401 - OB (2hr chart)

      1. 4409 midline

   2. 4412-4394 - 439.97-438.09 - $17.20B

4. 4390-4385 - negative vanna

   1. 4416-4356 - OB (4hr chart)

      1. 4386 midline

   2. 4384-4375 - 437.18-436.20 - $26.53B

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Dark Pool Levels

The only major dark pool print came near the lows of the day at 4446 for approx $2.5B.

Above Spot:

1. 4461-4472 - 444.82-445.91 - $11.87B

2. 4474-4487 - 446.16-447.44 - $14.76B

3. 4494-4503 - 448.07-449.03 - $14.70B

4. 4514-4523 - 450.12-451.03 - $16.16B

5. 4577-4590 - 456.43-457.64 - $10.38B

Below Spot:

1. 4446-4440 - 443.32-442.73 - $14.62B

2. 4412-4394 - 439.97-438.09 - $17.20B

3. 4384-4375 - 437.18-436.20 - $26.53B

4. 4349-4344 - 433.65-433.19 - $9.39B

5. 4325-4292 - 431.26-427.92 - $18.46B

6. 4214-4188 - 420.16-417.60 - $18.8B

I get my dark pool levels from Quant Data. How you want to view these levels is potential magnets. A lot of consolidation will happen at these levels so when we are trading away from one level price will then target the next area of interest whales have.

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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. I use Sonarlab’s indicator on Tradingview to plot these.

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.

1. 4465-4470 - OB (15min chart)

   1. 4468 midline

2. 4502-4507 - OB (30min chart)

   1. 4504 midline

3. 4510-4516 - OB (1hr, 2hr chart)

   1. 4508 midline

4. 4572-4582 - OB (2hr, 4hr chart)

   1. 4577 midline

5. 4573-4594 - OB (1D chart)

   1. 4584 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.

This one level here on the daily is a major bullish orderblock.

• 4458-4375 - OB (1D chart)

  • 4416 midline

1. 4435-4415 - OB (30min chart)

   1. 4425 midline

2. 4425-4414 - OB (1hr chart)

   1. 4419 midline

3. 4417-4401 - OB (2hr chart)

   1. 4409 midline

4. 4416-4356 - OB (4hr chart)

   1. 4386 midline

5. 4362-4328 - OB (1D chart)

   1. 4345 midline

6. 4345-4328 - OB (1hr, 2hr, 4hr chart)

   1. 4336 midline

Green Outlines: OB’s or Demand; Blue Outline: OB’s or Supply

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Weekly Option Expected Move

SPX’s weekly option expected move is ~59.74 points. SPY’s expected move is ~6.02. That puts us at 4510.07 to the upside and 4390.59 to the downside. For SPY these levels are 449.39 and 437.35.

Remember over 68% of the time price will resolve it self in this range by weeks end.

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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.

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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. 4455-4465 - negative vanna

2. 4485-4515 - negative vanna

   1. 4485 - negative vanna

   2. 4500 - negative vanna

   3. 4515 - negative vanna

3. 4525 - negative vanna

Below Spot:

1. 4450 - negative vanna

2. 4425 - negative vanna

3. 4410 - negative vanna

4. 4390-4385 - negative vanna

5. 4355 - negative vanna

Aggregate Vanna levels via Volland

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Gamma

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. 4470-4480 - positive gamma

2. 4490 - positive gamma

3. 4500 - positive gamma

4. 4520 - positive gamma

Below Spot:

1. 4450 - positive gamma

2. 4425 - positive gamma

3. 4410 - positive gamma

4. 4385 - positive gamma

Aggregate Gamma levels via Volland

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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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