SPX dealer positioning, the week of May 30, 2022
May 30 to Jun 3 · 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 30 | no session | ||||||
| Tuesday May 31 | 4140.4 | 4133.1 | -7.4 -0.18% | 62.6 | -23.5 | 4158.7 crossed 8x | negative |
| Wednesday Jun 1 | 4158.8 | 4101.0 | -57.8 -1.39% | 90.8 | -32.1 | 4130.3 crossed 10x | negative |
| Thursday Jun 2 | 4095.4 | 4176.4 | +80.9 +1.98% | 100.2 | +75.4 | 4174.2 crossed 6x | positive |
| Friday Jun 3 | 4125.2 | 4108.0 | -17.2 -0.42% | 42.9 | -68.4 | 4123.7 crossed 6x | negative |
Week: -48.6 points (-1.17%), close to close from 2022-05-27.
Ranges: 296.5 points over 4 sessions, the largest 100.2 on 2022-06-02.
Zero-gamma flip at the close: 4158.7 on the first session, 4123.7 on the last (-35.0 points).
Closed in positive gamma: 1 of 4 sessions.
Events this week
- May 31
10:00Consumer confidence (Conference Board)
spot -0.4 in the 15 minutes after 10:00; flip 4078.7 → 4047.5; net gamma long; walls 4078.7 / 4252.5 → 4047.5 / 4280.4 - Jun 1
09:30VIX settlement
spot -6.7 in the 15 minutes after 09:30; net gamma long (was short) - Jun 1
10:00ISM manufacturing PMI
spot -25.0 in the 15 minutes after 10:00; flip 4140.3 → 4129.6; net gamma short (was long) - Jun 1
10:00JOLTS job openings
Openings: actual 11.86M / prior 12.30M
spot -25.0 in the 15 minutes after 10:00; flip 4140.3 → 4129.6; net gamma short (was long) - Jun 2
08:30Durable goods orders
Durable goods m/m: actual -0.1% / prior 0.6% - Jun 3
08:30Nonfarm payrolls · high impact
Payrolls: actual 301K / prior 308K; Unemployment rate: actual 3.6% / prior 3.7% - Jun 3
10:00ISM services PMI
spot -2.4 in the 15 minutes after 10:00; flip 3999.2 → 3996.5; net gamma long; walls 3999.2 / 4208.9 → 3996.5 / 4230.6
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.