SPX dealer positioning, the week of July 11, 2022
Jul 11 to Jul 15 · 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 Jul 11 | 3871.5 | 3853.2 | -18.3 -0.47% | 31.6 | -45.3 | 3803.3 crossed 24x | positive |
| Tuesday Jul 12 | 3853.6 | 3819.2 | -34.4 -0.89% | 67.8 | -34.0 | 3846.5 crossed 10x | negative |
| Wednesday Jul 13 | 3771.2 | 3803.1 | +31.8 +0.84% | 65.9 | -16.2 | 3770.8 crossed 4x | positive |
| Thursday Jul 14 | 3752.4 | 3789.3 | +36.9 +0.98% | 74.2 | -13.7 | 3798.2 crossed 12x | negative |
| Friday Jul 15 | 3843.0 | 3862.2 | +19.2 +0.50% | 43.0 | +72.9 | 3858.0 crossed 17x | positive |
Week: -36.3 points (-0.93%), close to close from 2022-07-08.
Ranges: 282.5 points over 5 sessions, the largest 74.2 on 2022-07-14.
Zero-gamma flip at the close: 3803.3 on the first session, 3858.0 on the last (+54.7 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Jul 12
13:0010-year note auction, $33B (reopening)
spot -9.5 in the 15 minutes after 13:00; flip 3808.1 → 3831.8; net gamma long; walls 3808.1 / 3893.7 → 3831.8 / 3892.4 - Jul 13
08:30CPI · high impact
CPI y/y: actual 9.0% / prior 8.5%; Core CPI m/m: actual 0.7% / prior 0.5% - Jul 13
09:30VIX settlement
spot +3.5 in the 15 minutes after 09:30; net gamma long (was short) - Jul 13
13:0030-year bond auction, $19B (reopening)
spot +4.1 in the 15 minutes after 13:00; flip 4012.2 → 4014.2; net gamma short - Jul 14
07:00JPM earnings - Jul 14
08:30PPI
PPI m/m: actual 0.9% / prior 0.9% - Jul 15
07:00UNH earnings - Jul 15
08:30Retail sales
Retail sales m/m: actual 0.9% / prior -0.1%
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.