June 26, 2023 SPX, SPY, ES Trade Plan

Good evening/day/morning traders. Apologizes for not having the trade plan as frequent last week. Tried to fit it in when I was on vacation, but just didn’t get the chance to do it. I did provide an update one of those days via Twitter - so if you are not following me there, please be sure to do so.

This week presents us with a few major news catalysts starting on Tuesday with the Consumer Confidence, then on Wednesday Powell speaks, then we see GDP numbers Thursday, and finally on Friday we get Core PCE and the University of Michigan Consumer Sentiment and Inflation Expectations.

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

For intraday updates please follow me on Twitter @DarkMatterTrade.

News Catalyst

No major news events for Monday.

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. 41pts more than the SPX levels shared below. To get SPY levels simply take the SPX levels below and divide by 10.01.

Bullish bias:

1. Above 4355 target 4370

2. If there is a breakout of 4380 target 4395

   1. See Volland30

   2. Use VOLD indicator for trend continuation

   3. VIX should be decreasing

3. If there is a failed breakdown of 4335 target 4350

   1. See Volland30

   2. Use VOLD indicator for trend reversal

   3. VIX should be decreasing

Bearish bias:

1. Below 4345 target 4325

2. If there is a failed breakout of 4350 target 4325

   1. See Volland30

   2. Use VOLD indicator for trend reversal

   3. VIX should be decreasing

3. If there is a breakdown of 4325 target 4310

   1. See Volland30

   2. Use VOLD indicator for trend continuation

   3. VIX should be increasing

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SPX - The Why Behind the Plan

Key Levels

Above Spot:

1. 4350-4355 - negative vanna

2. 4365-4375 - negative vanna

   1. 4374-4383 - OB (30min chart)

      1. 4379 midline

   2. 4376-4369 - 437.18-436.54 - $19.41B

3. 4395-4400 - negative vanna

   1. 4400-4409 - FVG (30min chart)

   2. 4396 - 439.22 - $3.32B

4. 4435-4440 - negative vanna

   1. 4434-4440 - OB (30min chart)

      1. 4437 midline

   2. 4440 - 443.59 - $3.17B

Below Spot:

1. 4345 - negative vanna

   1. 4350-4338 - OB (15min chart)

      1. 4344 midline

   2. 4340-4336 - 433.65-433.19 - $9.39B

2. 4325 - negative vanna

   1. 4333-4318 - FVG (2hr chart)

      1. 4325 premium level

3. 4310 - negative vanna

4. 4300-4295 - negative vanna

   1. 4304-4297 - OB (1hr chart)

      1. 4301 midline

   2. 4300 - 429.64 - $6.81B

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Dark Pool Levels

Some of the dark pool prints in the 4400-4412 levels decreased from $6.41B to $3.32B. Even more interesting the 4376-4369 zone added over $9B in dark pool prints last week. This becomes a key zone and if price can’t get back to it or turn it into support then this becomes a resistance and dark pool prints who have gone short.

Additionally, the 4340-4336 level doubled its amount of dark pool from $4.49B to $9.39B.

1. 4440 - 443.59 - $3.17B

2. 4396 - 439.22 - $3.32B

3. 4376-4369 - 437.18-436.54 - $19.41B

4. 4340-4336 - 433.65-433.19 - $9.39B

5. 4300 - 429.64 - $6.81B

6. 4285-4283 - 428.09-427.92 - $7.46B

7. 4205 - 420.16-420.03 - $8.05B

8. 4196-80 - 419.20-417.60 - $16B

Dark Pool Levels via Quant Data as of 6/25

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 $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.

1. 4374-4383 - OB (30min chart)

   1. 4379 midline

2. 4400-4409 - FVG (30min chart)

3. 4434-4440 - OB (30min chart)

   1. 4437 midline

4. 4438-4470 - OB (4hr chart)

   1. 4455 midline

5. 4475-4520 - OB (4hr chart)

   1. 4497 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.

1. 4350-4338 - OB (15min chart)

   1. 4344 midline

2. 4333-4318 - FVG (2hr chart)

   1. 4325 premium level

3. 4304-4297 - OB (1hr chart)

   1. 4301 midline

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

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Weekly Option Expected Move

SPX’s weekly option expected move is ~53.63 points. SPY’s expected move is ~5.58. That puts us at 4401.95 for the upside and 4294.69 to the downside. For SPY these levels are 438.79 and 427.63.

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

SPX Weekly Expected Move for Week of 6/26

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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. 4350-4355 - negative vanna

2. 4365-4375 - negative vanna

3. 4395-4400 - negative vanna

4. 4435-4440 - negative vanna

Below Spot:

1. 4345 - negative vanna

2. 4325 - negative vanna

3. 4310 - negative vanna

4. 4300-4295 - negative vanna

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. 4350-4360 - positive gamma

2. 4380-4390 - positive gamma

3. 4405 - positive gamma

Below Spot:

1. 4325 - positive gamma

2. 4310 - positive gamma

3. 4300-4295 - positive gamma

Aggregate view of Gamma levels

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Charm

Remember if IV is not expanding charm will start to overtake Vanna especially 0DTE as it comes closer to expiration.

Charm total notional value is bullish - negative is bullish and positive bearish - take the total of the far left and far right values.

Aggregate View - negative total notional value shows bullish charm

The 0DTE view on SPX Charm shows a bullish bias.

SPX Charm - 0DTE 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.

So what does SPY’s charm tell us? It is leaning bearish at an aggregate view.

SPY Charm - Aggregate View

If we look at SPY for 0DTE we are seeing a bearish charm view.

SPY Charm - 0DTE View

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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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