SPX dealer positioning, the week of May 9, 2022
May 9 to May 13 · 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 9 | 4062.2 | 3991.5 | -70.8 -1.74% | 92.7 | -133.6 | 3944.6 crossed 23x | positive |
| Tuesday May 10 | 4066.5 | 4001.9 | -64.7 -1.59% | 107.4 | +10.4 | 3989.0 crossed 26x | positive |
| Wednesday May 11 | 3990.2 | 3934.2 | -56.0 -1.40% | 117.1 | -67.7 | 3919.7 crossed 7x | positive |
| Thursday May 12 | no session | ||||||
| Friday May 13 | 3973.9 | 4023.3 | +49.4 +1.24% | 72.9 | +89.1 | 4062.3 crossed 7x | negative |
Week: -101.8 points (-2.47%), close to close from 2022-05-06.
Ranges: 390.2 points over 4 sessions, the largest 117.1 on 2022-05-11.
Zero-gamma flip at the close: 3944.6 on the first session, 4062.3 on the last (+117.7 points).
Closed in positive gamma: 3 of 4 sessions.
Events this week
- May 9
14:00Senior loan officer survey (SLOOS)
spot -1.8 in the 15 minutes after 14:00; flip 4038.0 → 4031.9; net gamma short - May 11
08:30CPI · high impact
CPI y/y: actual 8.2% / prior 8.6%; Core CPI m/m: actual 0.5% / prior 0.3% - May 11
09:30VIX settlement
spot +21.4 in the 15 minutes after 09:30; flip 3993.9 → 3788.6; net gamma long (was short) - May 11
13:0010-year note auction, $36B
spot -2.0 in the 15 minutes after 13:00; flip 3923.9 → 3937.0; net gamma long; walls 3923.9 / 4064.4 → 3937.0 / 4071.9 - May 12
08:30PPI
PPI m/m: actual 0.5% / prior 1.7% - May 12
13:0030-year bond auction, $22B - May 13
08:30Durable goods orders
Durable goods m/m: actual 0.6% / prior 0.2% - May 13
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 65.2; 1y inflation: prior 5.4%; 5y inflation: prior 3%
spot +7.6 in the 15 minutes after 10:00; flip 3911.3 → 3902.6; net gamma long; walls 3911.3 / 4108.7 → 3902.6 / 4142.1
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.