Level of Interest:
The market analysis
behind the levels

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Video: ATAS DeutschlandMore videos from TradeNeon on our YouTube channel.

Oliver has traded for many years, first swing trading and commodities, later day trading as well. On a trading floor in London, he learned that a market analysis is part of every professional trading session's preparation. It can be very multilayered, and there is no single way to do it. His own analysis has developed considerably over the years: today he draws on a large number of data sources, evaluates them every morning and uses them to build a plan for the entire trading day.

The training programme raised the question of how participants can check their own analysis. So a screenshot of the levels was posted on the Discord server every morning. Participants drew in their own levels and compared them with these. At some point, people asked to see the levels in their own charting software. That was the start of Level of Interest. Together with the development team, a very basic version was built first. Later, TradeNeon decided to offer the levels to traders outside the training programme as well and to build the tool on a more professional footing.

Transparency was the goal from the start. The analysis was posted as a screenshot, and the next morning a second one followed with the full price action of the day. That way, anyone can judge for themselves whether price reacted to the levels or not.

A firm rule goes with this: the levels drawn in the morning are “set in stone.” They are not changed during the day, and the same applies to Level of Interest as software.

Seven areas feed into the analysis.

• Dealer hedging This calculates where dealer hedgingOption dealers hedge the risk from options trading by buying and selling in the underlying market, which influences price. is especially strong and in which areas market makers mainly have to buy or mainly have to sell. This is where the bullish and bearish hedging levels come from.
• Fibonacci retracements Classic Fibonacci retracementsA chart analysis tool that derives price levels from a previous price move. give levels that price can still react to in 2025. They are drawn by hand, cross-checked against current order book data and only set if they are relevant at that moment.
• Dark pool data Large orders in the dark poolA private exchange where large orders are traded away from the official exchange. Trades are reported afterwards. are reported at the end of the day. They show at which price levels and in what size large positions were traded, but not who traded or whether it was long or short.
• Volume and market profile The volume profileShows how much was traded at which price levels. and the market profile show where fair price areas were and where price moved quickly. Combined with the order book, they mark areas where institutional participants have built large positions.
• Liquidity in the order book The limit orders in the order book are the foundation: every level should be confirmed by liquidity clusters. Historical extremes are added to this.
• VWAPs The VWAPVolume Weighted Average Price: the volume-weighted average price over a period. shows the average price paid in the market over a period of time and is a reference point for who controls the trend. In addition, the VWAPs of the previous day, week and month are drawn when they sit in a relevant price area.
• The CME's SPAN data The CME's SPANThe CME's risk assessment method, from which the recommended initial margin for futures is derived. method provides the daily risk assessment. From it, TradeNeon calculates a price range starting from the previous day's close, with strong reactions often to be expected at its edge.

The aim is to look at the market from as many perspectives as possible and to build a comprehensive picture of where institutional interest sits on the chart. When several factors coincide, such as a strong dealer hedging level lining up with a dark pool level, several data sources point to the same spot. You can find tutorials on all seven areas in the Level of Interest tutorials.

Whoever buys or sells an option usually has a market makerA market participant that provides liquidity to the market and takes the other side of trades in return. on the other side of the trade, a so-called option dealer. The dealer's job is to provide liquidity to the market so that you get filled quickly, at your price and without a wide spread. The business model is not to speculate against you: the dealer tries to pass the trade on to the other side of the order book right away at a small profit. If that fails, a directional risk remains, which the dealer neutralizes by buying or selling the underlying. In doing so, the dealer moves the price. This hedging is dynamic: it depends on price direction, volatility and time, and has to be adjusted continuously.

Level of Interest calculates where this hedging is particularly strong and in which areas market makers mainly have to buy or mainly have to sell. These are the green and red levels as well as the large green and red zones at the edge of the chart. TradeNeon does not take data over statically but interprets it and does its own calculations.

Besides gammaOne of the so-called Greeks in options trading that influence the hedging activity of market makers., TradeNeon includes vannaOne of the so-called Greeks in options trading that influence the hedging activity of market makers. and charmOne of the so-called Greeks in options trading that influence the hedging activity of market makers.. That is why TradeNeon calls them bullish and bearish hedging levels, not gamma, vanna or charm levels. The assumption behind this: when the market reaches such a level, market makers have to lean towards buying or towards selling. Price does not always have to rise from a bullish level, though. Hedging activity is only one part of the market, and other participants have their own agenda. “Of course we cannot promise that every bullish hedging level sends price shooting up and every bearish one sends it down,” says Oliver.

Converting between related markets calls for care. Carrying a level from the SPX or the SPY over to the ES at a fixed mathematical distance often does not work well, because the relationship is dynamic. That is why TradeNeon cross-checks the levels against order book data and against volume and market profile data.

Fibonacci retracements

Almost every common charting platform has Fibonacci tools, and in 2025 price still reacts to certain levels. What matters is how they are used: “In my opinion, it is not necessarily useful to draw Fibonacci retracements at random in trending phases and go long or short at the 50 level. You have to know how to combine Fibonacci concepts with other data to arrive at the levels that really have some relevance,” says Oliver Sparing. TradeNeon draws all levels by hand and cross-checks them against current order book data. If a level has no relevance at the moment, it is not drawn. Ideally, that avoids a “jungle” of levels on the chart.

Dark pool data

Dark pools are private exchanges where traders with deep pockets can route orders past the official exchange. That sounds like a conspiracy theory, but it is more transparent than people think: in the US, traders have to disclose their positions traded in dark pools to the US regulator at the end of the day. You do not see who traded, or whether it was long or short, but you do see at which price levels and in what size large positions were traded. The background: large market participants want to bring their orders into the market gradually, without moving the price against themselves. TradeNeon also cross-checks this data against the order book and provides it as dark pool levels.

Volume and market profile, liquidity

Volume and market profile are part of a day trader's standard toolkit today. They show where fair price areas were, where price moved quickly and where the premium and discount areas of an auction were. TradeNeon combines this data with the order book to mark areas where institutional participants have built large positions and that will probably be defended if the market comes back. Large round prices come on top, as they are important levels by nature.

Liquidity, meaning the limit orders in the order book, is the foundation: every level should be confirmed by liquidity clusters. Not every limit order is relevant, though. That is why the order book is always included, to see exactly where institutional interest lies.

The VWAP shows the average price paid in the market over a period of time. An example: if a fund manager wants to build a larger position over several days in an uptrend, the moment the market comes back to the trend's VWAP is the most favorable time to buy, before the average long position slips into a loss. That is why VWAPs are reference points for who controls the trend, and they can be strong resistance and support zones. In addition, TradeNeon draws the VWAP of the previous day, the previous week and the previous month when they sit in a relevant price area. If price is above the previous day's closing VWAP, the average long position from that day is in profit. That is important information but not the holy grail. Many partial aspects count toward the day's biasThe basic direction with which you enter the trading day..

The CME, the largest futures exchange in the world, provides the SPAN data every day. The SPAN framework is used to simulate portfolio risk and contains the daily risk assessment from which the recommended initial margin is derived. On that basis, and starting from the previous day's close, TradeNeon calculates a price range showing how far price can run before institutional traders come under pressure and receive margin callsA demand to add funds or reduce positions when the collateral is too low..

The interval has two advantages. Institutional traders have an interest in keeping price within this interval, so strong reactions are often to be expected at its edge. If the market breaks out of the interval, however, participants have to adjust, buy more or reduce positions, and volatility can rise rapidly. For beginners, this means: “If you are a day trading beginner, concentrate on trades inside the SPAN interval at first, because the market behaves more rationally there and reacts better to our levels,” says Oliver. The analysis itself is accordingly not drawn far beyond the interval.

On the settlement price: it is the settlement price of the previous day as set by the exchange, the market often reacts to it, and it plays into the day's bias. As a rule of thumb, the tendency is more bullish above the settlement price and more bearish below it.

On whether a level that price has already run into should be ignored from then on: “yes and no.” If the market rotates around a level and no longer respects it, you should not take trades there for the time being. If the market moves further away from the level and comes back later, experience shows that a reaction is to be expected again, even though that is a discretionary assessment. “There are moments when I say: the market obviously has no interest in this level anymore, so I keep my hands off. But the same level can offer a really good entry opportunity at a later point,” says Oliver.

On the pre-session: the levels are calculated mainly from what happened in the cash sessions, because that is where most of the trading takes place. In his experience, they work just as well in the pre-session. On the exchange holiday that the webinar fell on, there were no levels, because no institutional trading took place.

Level of Interest is not a pure data provider. The slogan is “See what matters”: TradeNeon draws on many data sources, evaluates them and draws the result onto the chart. Every morning, a manually produced market analysis is created that rests on many years of experience. It is based on data, but further factors feed in as well, to place each level as precisely as possible where it belongs.

Oliver himself is a discretionary order book trader and uses the levels for that. Level of Interest, however, can be combined with any existing system, and very different approaches can be developed on the basis of the levels. One approach for developing a system based on the levels was presented in the ATAS webinar on backtesting.

Raw data alone decides little: what matters is what the trader makes of it. With Level of Interest, the point is therefore to draw onto the chart what has practical value.

Level of Interest is a plugin for ATAS, in other words an indicator. You place it in your indicator folder as usual and load it in any chart. You enter the license key in the indicator settings and then have access to the levels of the markets you have subscribed to. The labels of the levels can be switched on and off in the indicator settings. The software also runs on other platforms; you can find the overview on the Level of Interest page.

• Market analysis is the foundation of preparation. Every session starts with a plan derived from many data sources. The levels are drawn before the open.
• Several perspectives give a fuller picture. Areas where different data sources meet deserve particular attention, such as a hedging level with a dark pool level.
• A level is a place, not a certainty. A reaction is never certain. The order book belongs with every level because it shows precisely where institutional interest lies.
• Traceability builds trust. Levels that are fixed in the morning and not changed during the day can be compared with price action by you, every day.

“Data is only ever as meaningful and as powerful as the trader who uses, evaluates and interprets it.”

Oliver Sparing in the ATAS webinar (translated from German)

The webinar ran on June 19, 2025 as part of the webinar series on the YouTube channel of ATAS Deutschland. In this series, ATAS presents external developments and tools that work with the platform. It is held in German; on YouTube, you can switch on automatically translated subtitles. ATAS is a trading platform for order flow analysis. Oliver is a regular guest there; you can find all appearances on our guest appearances page.