SPX dealer positioning, the week of June 27, 2022
Jun 27 to Jul 1 · 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 27 | 3926.2 | 3898.6 | -27.6 -0.70% | 36.2 | -13.4 | 3915.1 crossed 13x | negative |
| Tuesday Jun 28 | 3922.9 | 3822.2 | -100.7 -2.57% | 122.1 | -76.4 | 3851.4 crossed 1x | negative |
| Wednesday Jun 29 | 3825.3 | 3818.8 | -6.5 -0.17% | 36.8 | -3.4 | 3790.6 crossed 2x | positive |
| Thursday Jun 30 | 3780.0 | 3780.8 | +0.8 +0.02% | 77.9 | -38.0 | 3766.5 not crossed | positive |
| Friday Jul 1 | 3786.0 | 3822.8 | +36.8 +0.97% | 76.8 | +42.1 | 3761.8 crossed 11x | positive |
Week: -89.2 points (-2.28%), close to close from 2022-06-24.
Ranges: 349.9 points over 5 sessions, the largest 122.1 on 2022-06-28.
Zero-gamma flip at the close: 3915.1 on the first session, 3761.8 on the last (-153.3 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Jun 27
08:30Durable goods orders
Durable goods m/m: actual -0.1% / prior 0.6% - Jun 28
10:00Consumer confidence (Conference Board)
spot -13.0 in the 15 minutes after 10:00; flip 3871.9 → 3888.2; net gamma long; walls 3871.9 / 3979.3 → 3888.2 / 3973.6 - Jun 29
08:30GDP
GDP q/q: actual 0.6% / prior -1.0% - Jun 29
09:00Fed Chair speech: Economic Policy Panel Discussion - Jun 29
09:30VIX settlement
spot -25.4 in the 15 minutes after 09:30; net gamma long - Jun 30
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.3% / prior 0.3% - Jul 1
10:00ISM manufacturing PMI
spot -29.8 in the 15 minutes after 10:00; flip 3691.7 → 3723.3; net gamma long; walls 3691.7 / 3877.9 → 3723.3 / 3900.0
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.