SPX dealer positioning, the week of July 4, 2022
Jul 4 to Jul 8 · 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 Jul 4 | no session | ||||||
| Tuesday Jul 5 | 3768.6 | 3831.1 | +62.6 +1.66% | 88.3 | +8.3 | 3828.2 crossed 15x | positive |
| Wednesday Jul 6 | 3833.2 | 3844.7 | +11.6 +0.30% | 60.3 | +13.6 | 3835.3 crossed 3x | positive |
| Thursday Jul 7 | 3870.0 | 3903.3 | +33.3 +0.86% | 41.8 | +58.6 | 3904.6 crossed 3x | negative |
| Friday Jul 8 | 3885.1 | 3898.5 | +13.5 +0.35% | 49.3 | -4.8 | 3905.9 crossed 20x | negative |
Week: +75.7 points (+1.98%), close to close from 2022-07-01.
Ranges: 239.7 points over 4 sessions, the largest 88.3 on 2022-07-05.
Zero-gamma flip at the close: 3828.2 on the first session, 3905.9 on the last (+77.7 points).
Closed in positive gamma: 2 of 4 sessions.
Events this week
- Jul 5
08:30Durable goods orders
Durable goods m/m: actual 2.2% / prior -0.1% - Jul 6
09:30VIX settlement
spot -3.0 in the 15 minutes after 09:30; net gamma short - Jul 6
10:00ISM services PMI
spot +0.0 in the 15 minutes after 10:00; flip 3813.9 → 3810.7; net gamma long; walls 3813.9 / 3910.7 → 3810.7 / 3907.7 - Jul 6
10:00JOLTS job openings
Openings: actual 11.54M / prior 11.86M
spot +0.0 in the 15 minutes after 10:00; flip 3813.9 → 3810.7; net gamma long; walls 3813.9 / 3910.7 → 3810.7 / 3907.7 - Jul 6
14:00FOMC minutes
spot -3.8 in the 15 minutes after 14:00; flip 3803.3 → 3798.1; net gamma long; walls 3803.3 / 3911.1 → 3798.1 / 3913.0 - Jul 8
08:30Nonfarm payrolls · high impact
Payrolls: actual 434K / prior 301K; Unemployment rate: actual 3.6% / prior 3.6% - Jul 8
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 50; 1y inflation: prior 5.3%; 5y inflation: prior 3.1%
spot +14.8 in the 15 minutes after 10:00; flip 3810.3 → 3798.3; net gamma long; walls 3810.3 / 3962.9 → 3798.3 / 3957.2
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.