SPX dealer positioning, the week of June 6, 2022
Jun 6 to Jun 10 · 5 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 Jun 6 | 4154.3 | 4122.7 | -31.6 -0.76% | 57.8 | +14.8 | 4066.2 crossed 21x | positive |
| Tuesday Jun 7 | 4085.4 | 4160.4 | +75.0 +1.84% | 79.3 | +37.7 | 4111.4 crossed 3x | positive |
| Wednesday Jun 8 | 4138.3 | 4115.2 | -23.1 -0.56% | 52.3 | -45.2 | 4128.3 crossed 17x | negative |
| Thursday Jun 9 | 4097.7 | 4017.5 | -80.1 -1.96% | 100.4 | -97.7 | 4090.9 crossed 26x | negative |
| Friday Jun 10 | 3953.2 | 3898.9 | -54.3 -1.37% | 55.8 | -118.7 | 4034.8 crossed 3x | negative |
Week: -209.1 points (-5.09%), close to close from 2022-06-03.
Ranges: 345.6 points over 5 sessions, the largest 100.4 on 2022-06-09.
Zero-gamma flip at the close: 4066.2 on the first session, 4034.8 on the last (-31.4 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Jun 8
09:30VIX settlement
spot +3.5 in the 15 minutes after 09:30; flip 4341.7 → 4078.4; net gamma long (was short) - Jun 8
13:0010-year note auction, $33B (reopening)
spot -2.9 in the 15 minutes after 13:00; flip 4122.4 → 4120.5; net gamma long; walls 4122.4 / 4229.4 → 4120.5 / 4229.0 - Jun 9
13:0030-year bond auction, $19B (reopening)
spot +2.2 in the 15 minutes after 13:00; flip 4086.0 → 4085.8; net gamma long; walls 4086.0 / 4185.3 → 4085.8 / 4182.5 - Jun 10
08:30CPI · high impact
CPI y/y: actual 8.5% / prior 8.2%; Core CPI m/m: actual 0.5% / prior 0.5% - Jun 10
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 58.4; 1y inflation: prior 5.3%; 5y inflation: prior 3%
spot -13.7 in the 15 minutes after 10:00; net gamma short
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.