May 10, 2023 SPX, SPY, ES Trade Plan

Good evening/day/morning traders. Another choppy sideways action as we gear up for tomorrow’s big pre-market catalyst the CPI…

Tomorrow could provide us with a trend day. Be on the lookout for additional trade ideas if we continue to trend a certain way. We won’t be predicting whether that is going long/short, but instead provide you key levels and where price acts as a magnet or repellent.

As for today’s session it was another choppy trading day and while our futures traders ate nicely overnight and into the open of the market the rest of the day provided sideways action. As I mentioned when we broke 4120 to use the VOLD indicator for further trend and strength and whether it would be an actual breakdown or a failed breakdown. Here is what VOLD looked like as we broke this level…

VOLD indicator on a 15min chart

One thing you would have noticed is the ratio didn't hit our sweet spot of -3 or lower for a bearish day trend continuation - if the trend was bullish then we would want a number above 3. We also saw pullback in the VOLD going up and down throughout the day. Look at the 30 min or even the 5 min VOLD indicator and you will see a similar story.

Tomorrow should hopefully bring us a larger range and potentially a trend day depending on how the CPI print comes in. Here is JPMorgan’s game plan and scenarios…

JPMorgan’s game plan for CPI and scenarios

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For additional details on my intraday trading rules and some of my key strategies I use such as VOLD please visit the below link.

My Intraday Trading Rules

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. 8:30am est - CPI

2. 1:01pm est - 10-y Bond Auction

3. 2:00pm est - Federal Budget Balance

As a reminder we are still in earnings season with the following companies reporting this week.

Companies reporting earnings for week of 5/8

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 4125 target 4140

2. If there is a breakout of 4155 target 4170

   1. Use VOLD indicator for trend continuation

   2. VIX should be decreasing

3. If there is a breakout of 4175 target 4205

   1. Use VOLD indicator for trend continuation

   2. VIX should be decreasing

Bearish bias:

1. Below 4120 target 4105

2. If there is a breakdown of 4100 target 4085

   1. Use VOLD indicator for trend continuation

   2. VIX should be increasing

3. If there is a breakdown of 4080 target 4065

   1. Use VOLD indicator for trend continuation

   2. VIX should be increasing

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SPX - The Why Behind the Plan

Key Levels

Above Spot - resistance:

1. 4125 - negative vanna

   1. Dealers must buy above 4125

2. 4135-4141 - OB (30min chart)

   1. 4134-37 - (412.18-412.54) - $16.93B

3. 4150 - negative vanna

   1. 4151-4168 - FVG (30min chart)

   2. 4145-4155 - (413.39, 414.26) - $6.12B

4. 4170 - negative vanna

5. 4176-4200 - OB (2hr chart)

   1. 4200 - positive gamma

   2. 4170 - (415.66) - $5.36B

6. 4210 - negative vanna

7. 4231-4242 - OB (1hr chart)

Below Spot - support:

1. 4112-4095 - FVG (1hr chart)

   1. 4104-08 - (409.21-409.62) - $10.41B

   2. Dealers must sell below 4105

2. 4080 - negative vanna

   1. 4080 - positive gamma (0DTE)

   2. 4095-4072 - FVG (1hr chart)

   3. 4072 - (406.03) - $4.49B

3. 4070-65 - negative vanna

   1. 4070-65 - positive gamma (0DTE)

4. 4055 - negative vanna

   1. 4055 - positive gamma

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

   3. 4045-55 - (403.64-404.48) - $10B

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

6. 4018-4007 - OB (1hr chart)

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Dark Pool Levels

More dark pool has been accumulated in that 412 spy level or roughly 4130 on SPX. Keep an eye on this level and if we visit it let’s see how it reacts. Below spot we need to see how the 4100 level reacts and then 4072.

Above Spot:

1. 4134-37 - (412.18-412.54) - $16.93B

2. 4145-4155 - (413.39, 414.26) - $6.12B

3. 4170 - (415.66) - $5.36B

Below Spot

1. 4104-08 - (409.21-409.62) - $10.41B

2. 4072 - (406.03) - $4.49B

3. 4045-55 - (403.64-404.48) - $10B

4. 3999-89 - (397.73-398.76) - $6.02B

5. 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.

5/9 Dark Pool Levels via Quant Data

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.

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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.

• 4135-4141 - OB (30min chart)

• 4151-4168 - 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.

1. 4112-4095 - FVG (1hr chart)

2. 4095-4072 - FVG (1hr chart)

3. 4049-4035 - OB (2hr chart)

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

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

5. 4018-4007 - OB (1hr chart)

6. 4007-3967 - FVG (2hr chart)

7. 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 ~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.

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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. 4125 - negative vanna

2. 4135-4155 - negative vanna

   1. 4150 is the largest negative vanna in this cluster

3. 4170 - negative vanna

4. 4200 - positive vanna

5. 4210 - negative vanna

Below Spot:

1. 4120 - negative vanna

2. 4080 - negative vanna

3. 4070-65 - negative vanna

4. 4055 - 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. 4130 - positive gamma

2. 4160 - positive gamma

3. 4175-4205 - positive gamma

   1. 4200 is the largest gamma

4. Dealers must buy above 4125

Below Spot:

1. 4080 - positive gamma (0DTE)

2. 4070-65 - positive gamma (0DTE)

3. 4055 - positive gamma

4. Dealers must sell below 4105

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 bullish - negative is bullish and positive bearish - take the total of the far left and far right values. Looking at the key levels charm shows key levels below spot at 4115 targeting 4105. Above spot, 4125 could target 4135 and above it 4160 followed by 4175.

Negative total notional value shows bullish charm

When reviewing Charm we also need to account for SPY’s charm. It is leaning bearish with 410 and 408 then 405 as key levels below spot. Above spot 411 and 413 then 416 are key levels above spot.

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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