SPX dealer positioning, the week of August 15, 2022
Aug 15 to Aug 19 · 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 15 | 4259.3 | 4297.0 | +37.8 +0.89% | 41.8 | +17.4 | 4307.1 crossed 4x | negative |
| Tuesday Aug 16 | 4288.6 | 4306.2 | +17.6 +0.41% | 47.1 | +9.2 | 4237.1 crossed 18x | positive |
| Wednesday Aug 17 | 4270.9 | 4274.7 | +3.8 +0.09% | 48.1 | -31.5 | 4214.4 crossed 3x | positive |
| Thursday Aug 18 | 4276.1 | 4283.4 | +7.2 +0.17% | 30.2 | +8.6 | 4284.7 crossed 17x | negative |
| Friday Aug 19 | 4257.0 | 4230.0 | -26.9 -0.63% | 38.0 | -53.3 | 4227.2 crossed 1x | positive |
Week: -49.6 points (-1.16%), close to close from 2022-08-12.
Ranges: 205.1 points over 5 sessions, the largest 48.1 on 2022-08-17.
Zero-gamma flip at the close: 4307.1 on the first session, 4227.2 on the last (-79.9 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Aug 16
07:00WMT earnings - Aug 16
08:30Housing starts
Housing starts: actual 1382K / prior 1556K - Aug 17
08:30Retail sales
Retail sales m/m: actual -1.0% / prior 0.9% - Aug 17
09:30VIX settlement
spot +1.3 in the 15 minutes after 09:30; flip 4161.2 → 4207.4; net gamma long; walls 4161.2 / 4344.9 → 4207.4 / 4347.1 - Aug 17
13:0020-year bond auction, $15B
spot +2.4 in the 15 minutes after 13:00; flip 4232.7 → 4218.2; net gamma long; walls 4232.7 / 4336.2 → 4218.2 / 4335.1 - Aug 17
14:00FOMC minutes
spot +24.2 in the 15 minutes after 14:00; flip 4219.5 → 4203.7; net gamma long; walls 4219.5 / 4325.1 → 4203.7 / 4298.0
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.