SPX dealer positioning, the week of May 2, 2022
May 2 to May 6 · 4 of 5 days traded · each session free to replay
| Day | Open | Close | Change | Range | Close to close | Flip at the close | Gamma at the close |
|---|---|---|---|---|---|---|---|
| Monday May 2 | 4137.8 | 4155.1 | +17.4 +0.42% | 105.3 | +23.8 | 4168.1 crossed 3x | negative |
| Tuesday May 3 | 4157.0 | 4173.5 | +16.4 +0.40% | 51.5 | +18.4 | 4123.4 crossed 6x | positive |
| Wednesday May 4 | 4179.7 | 4300.1 | +120.4 +2.88% | 156.7 | +126.7 | 4302.9 crossed 4x | negative |
| Thursday May 5 | no session | ||||||
| Friday May 6 | 4121.6 | 4125.1 | +3.4 +0.08% | 86.1 | -175.1 | 4115.3 crossed 5x | positive |
Week: -6.2 points (-0.15%), close to close from 2022-04-29.
Ranges: 399.6 points over 4 sessions, the largest 156.7 on 2022-05-04.
Zero-gamma flip at the close: 4168.1 on the first session, 4115.3 on the last (-52.8 points).
Closed in positive gamma: 2 of 4 sessions.
Events this week
- May 2
10:00ISM manufacturing PMI
spot -20.2 in the 15 minutes after 10:00; flip 4030.2 → 4046.1; net gamma long; walls 4030.2 / 4198.0 → 4046.1 / 4216.2 - May 3
08:30Durable goods orders
Durable goods m/m: actual 0.6% / prior 0.2% - May 3
10:00JOLTS job openings
Openings: actual 12.30M / prior 11.70M
spot -10.5 in the 15 minutes after 10:00; flip 4081.4 → 4132.7; net gamma long; walls 4081.4 / 4265.1 → 4132.7 / 4268.9 - May 4
08:30Quarterly refunding statement - May 4
09:30VIX settlement
spot +2.8 in the 15 minutes after 09:30; net gamma long (was short) - May 4
10:00ISM services PMI
spot -10.4 in the 15 minutes after 10:00; net gamma short (was long); walls 3918.2 / 4319.0 → 4126.5 / 4371.7 - May 4
14:00FOMC decision · high impact
Fed funds: actual 1.00% / prior 0.50%
spot -11.2 in the 15 minutes after 14:00; net gamma short - May 4
14:30FOMC press conference · high impact
spot +27.1 in the 15 minutes after 14:30; net gamma short - May 6
08:30Nonfarm payrolls · high impact
Payrolls: actual 308K / prior 490K; Unemployment rate: actual 3.7% / prior 3.7%
Prices are SPX at the minute. Change is close minus open; close to close is against the previous finished session. The zero-gamma flip is the terminal's measured flip at the close, and "crossed" counts the minutes the tape changed sides of it. Gamma at the close is where the close sat against that flip. Events are the market calendar's high and medium impact rows; the line under an in-session event is what the book did in the fifteen minutes after it, from the day's own payload. Nothing here is a forecast; see the Terms.