SPX dealer positioning, the week of August 8, 2022
Aug 8 to Aug 12 · 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 Aug 8 | 4163.1 | 4140.8 | -22.3 -0.54% | 56.7 | -4.0 | 4143.8 crossed 9x | negative |
| Tuesday Aug 9 | 4134.8 | 4121.9 | -12.9 -0.31% | 22.4 | -18.9 | 4125.8 crossed 2x | negative |
| Wednesday Aug 10 | 4195.1 | 4208.7 | +13.6 +0.32% | 33.0 | +86.8 | 4206.5 crossed 22x | positive |
| Thursday Aug 11 | 4237.4 | 4205.5 | -31.9 -0.75% | 55.1 | -3.2 | 4228.6 crossed 1x | negative |
| Friday Aug 12 | 4228.6 | 4279.6 | +51.0 +1.21% | 57.7 | +74.1 | 4293.4 crossed 2x | negative |
Week: +134.8 points (+3.25%), close to close from 2022-08-05.
Ranges: 224.9 points over 5 sessions, the largest 57.7 on 2022-08-12.
Zero-gamma flip at the close: 4143.8 on the first session, 4293.4 on the last (+149.6 points).
Closed in positive gamma: 1 of 5 sessions.
Events this week
- Aug 10
08:30CPI · high impact
CPI y/y: actual 8.5% / prior 9.0%; Core CPI m/m: actual 0.4% / prior 0.7% - Aug 10
09:30VIX settlement
spot -0.4 in the 15 minutes after 09:30; net gamma long; walls 3943.4 / 4253.9 → 4125.9 / 4257.7 - Aug 10
13:0010-year note auction, $35B
spot +3.1 in the 15 minutes after 13:00; flip 4214.2 → 4216.2; net gamma short (was long) - Aug 11
08:30PPI
PPI m/m: actual -0.3% / prior 0.9% - Aug 11
13:0030-year bond auction, $21B
spot +1.4 in the 15 minutes after 13:00; net gamma short - Aug 12
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 51.5; 1y inflation: prior 5.2%; 5y inflation: prior 2.9%
spot +6.8 in the 15 minutes after 10:00; flip 4161.3 → 4160.0; net gamma long; walls 4161.3 / 4276.7 → 4160.0 / 4270.9
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.