SPX dealer positioning, the week of June 20, 2022
Jun 20 to Jun 24 · 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 Jun 20 | no session | ||||||
| Tuesday Jun 21 | 3734.7 | 3763.8 | +29.1 +0.78% | 44.5 | +90.5 | 3771.9 crossed 1x | negative |
| Wednesday Jun 22 | 3719.7 | 3760.7 | +41.0 +1.10% | 81.4 | -3.2 | 3772.4 crossed 5x | negative |
| Thursday Jun 23 | 3782.7 | 3797.0 | +14.3 +0.38% | 58.2 | +36.3 | 3794.4 crossed 6x | positive |
| Friday Jun 24 | 3829.9 | 3912.0 | +82.1 +2.14% | 82.1 | +115.1 | 3886.9 crossed 8x | positive |
Week: +238.7 points (+6.50%), close to close from 2022-06-17.
Ranges: 266.2 points over 4 sessions, the largest 82.1 on 2022-06-24.
Zero-gamma flip at the close: 3771.9 on the first session, 3886.9 on the last (+115.0 points).
Closed in positive gamma: 2 of 4 sessions.
Events this week
- Jun 22
09:30Fed Chair testimony
spot +19.0 in the 15 minutes after 09:30; net gamma long (was short) - Jun 22
09:30Fed Chair testimony: Semiannual Monetary Policy Report to Congress
spot +19.0 in the 15 minutes after 09:30; net gamma long (was short) - Jun 22
09:30VIX settlement
spot +19.0 in the 15 minutes after 09:30; net gamma long (was short) - Jun 22
13:0020-year bond auction, $14B (reopening)
spot +1.8 in the 15 minutes after 13:00; flip 3644.1 → 3645.1; net gamma long; walls 3644.1 / 3838.0 → 3645.1 / 3838.6 - Jun 23
10:00Fed Chair testimony: Semiannual Monetary Policy Report to the Congres
spot -14.4 in the 15 minutes after 10:00; flip 3742.3 → 3731.9; net gamma long; walls 3742.3 / 3854.7 → 3731.9 / 3844.5 - Jun 24
08:30Housing starts
Housing starts: actual 1546K / prior 1807K - Jun 24
10:00UMich consumer sentiment (final)
Sentiment: actual 50 / prior 58.4; 1y inflation: actual 5.3% / prior 5.3%; 5y inflation: actual 3.1% / prior 3%
spot +16.5 in the 15 minutes after 10:00; flip 3876.6 → 3867.6; net gamma long (was 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.