May 4, 2023 SPX, SPY, ES Trade Plan

Apple Earnings Day

Good evening/day/morning traders. I have been busy with work so apologizes for the inconsistency in the trade plan. At times when I am unable to provide a trade plan I will provide updates via Twitter @DarkMatterTrade so make sure to follow.

Before we get into today’s plan let’s get the FOMC summary out of the way. Clearly the FED doesn’t want to pause, but the market is not quite ready to sell off. While we gapped down 20pts at the open of futures (ES) we have seen a rally from the lows to up 10pts on the early session.

We don’t have a bias unless it hits a specific level. You will see below why this area it bounced from is a key critical area.

The other thing I want you to notice is the total number of lots traded on ES. Even with the news today we 1.612M lots. Typically on a day where we have a nice range ES trades north of 2M lots. On Tuesday we traded over 1.9M lots and that gave us a nice range. Keep an eye on this as we have low volume quick reversals could happen with neither side liking the price action.

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Before we get into the plan, I want to provide you with a key indicator I use in my daily trading. It is the VOLD indicator and it provides a ratio of stocks advancing vs the volume of the declining stocks.

I use the VOLD indicator to determine the trend along with how strong of a trend we could have.

I am sure other charting systems have a similar indicator, but for the purpose of this letter I use the following indicator in TradingView

Once added change the default ticker to USI:VOLDQ for the tech sector and change the style of the chart to a histogram

Now if we look at this indicator on the 30min timeframe you can clearly see the difference between trend days and what days end up being choppy. I have highlighted Friday’s, Monday’s, and Tuesday’s price action. When you compare this to the SPX chart you can clearly see what those days did. Typically for a trend day I want the VOLD ratio (seen in top right corner of the chart) to be greater than 3-4 and for even more strength like Tuesday’s selloff I want it higher than 8-10 (Tuesday’s high was near 10.46). Anything below that such as Monday where VOLD was below 2 most of the day will produce a sideways choppy session. You can even use this on smaller timeframes and add to your convictions while gaining better entries and exists.

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 - Unemployment Claims

2. 8:45am est - ECB Press Conference

Along with the news we have the biggest earning report coming from Apple after the bell. This is going to be one you don’t want to miss!

Earnings reports this week from key companies including Apple

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. 17pts 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 4110 target 4125

2. If there is a failed breakdown of 4065 target 4085

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

Bearish bias:

1. Below 4090 target 4070

2. If there is a failed breakout of 4110 target 4080

3. If there is a breakdown of 4065 target 4050

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SPX - The Why Behind the Plan

Key Levels

Above Spot - resistance:

1. 4100 - negative vanna

   1. 4105-4120 - negative vanna

   2. 4110 - positive gamme (0DTE expiry)

   3. 4125 - positive gamma

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

2. 4134-37 - (412.18-412.54) - $18.69B

3. 4123-4143 - OB (30min chart)

   1. 4145-4155 - (413.39, 414.26) - $6.12B

4. 4160 - positive gamma

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

   1. 4175-4195 - positive gamma

   2. 4170 - (415.66) - $5.36B

Below Spot - support:

1. 4092 - (407.99) - $2.64B

2. 4065 - negative vanna

   1. 4065 - positive gamma

   2. 4075-4051 - OB (2hr chart)

   3. 4064-4051 - OB (1hr chart)

   4. 4072 - (406.03) - $4.49B

3. 4050 - positive gamma (0DTE expiry)

4. 4035-4025 - negative vanna

   1. 4035-4025 - positive gamma

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

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

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.

1. 4170 - (415.66) - $5.36B

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

3. 4134-37 - (412.18-412.54) - $18.69B

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

5. 4092 - (407.99) - $2.64B

6. 4072 - (406.03) - $4.49B

7. 4045-55 - (403.64-404.48) - $10B

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.

5/3 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.

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.

• 4123-4143 - OB (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. 4075-4051 - OB (2hr chart)

2. 4064-4051 - OB (1hr chart)

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

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

4. 4030-4019 - FVG (4hr 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

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. 4100 - negative vanna

2. 4105-4120 - negative vanna

Below Spot:

1. 4065 - negative vanna

2. 4060-4040 - positive vanna

3. 4035-4025 - negative vanna

The total notional value of is positive with dealer $0 hedging at levels 4095-4055

Aggregate view of Vanna via Volland

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. 4110 - positive gamme (0DTE expiry)

2. 4125 - positive gamma

3. 4160 - positive gamma

4. 4175-4195 - positive gamma

5. Dealers must buy above 4100

Below Spot:

1. 4065 - positive gamma

2. 4050 - positive gamma (0DTE expiry)

3. 4035-4025 - positive gamma

4. Dealers must sell below 4090

Aggregate view of Gamma levels

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

Charm

Charm total notional value is bullish but minimal - negative is bullish and positive bearish. Looking at the key levels charm shows negative charm below spot from 4090-4070 with 4085 being a key level if broken will take us to 4070. 4110 and 4125 could be the top of the range.

Negative total notional value shows bullish charm

When reviewing Charm we also need to account for SPY’s charm. It is leaning bearish with 407, 404 and 400 key levels below spot. Above spot 408 and 411 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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