SPX dealer positioning, the week of August 22, 2022
Aug 22 to Aug 26 · 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 22 | 4174.9 | 4138.9 | -36.0 -0.86% | 46.4 | -91.1 | 4113.5 crossed 4x | positive |
| Tuesday Aug 23 | 4137.3 | 4129.4 | -7.9 -0.19% | 34.0 | -9.5 | 4132.5 crossed 7x | negative |
| Wednesday Aug 24 | 4127.1 | 4140.4 | +13.3 +0.32% | 34.3 | +11.0 | 4145.2 crossed 5x | negative |
| Thursday Aug 25 | 4155.1 | 4199.1 | +44.1 +1.06% | 50.9 | +58.7 | 4123.7 crossed 26x | positive |
| Friday Aug 26 | 4199.0 | 4058.5 | -140.5 -3.35% | 140.8 | -140.6 | 4090.8 crossed 7x | negative |
Week: -171.5 points (-4.05%), close to close from 2022-08-19.
Ranges: 306.4 points over 5 sessions, the largest 140.8 on 2022-08-26.
Zero-gamma flip at the close: 4113.5 on the first session, 4090.8 on the last (-22.7 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Aug 23
08:30Housing starts
Housing starts: actual 1382K / prior 1556K - Aug 24
08:30Durable goods orders
Durable goods m/m: actual -0.1% / prior 2.2% - Aug 24
09:30VIX settlement
spot +2.1 in the 15 minutes after 09:30; flip 4091.3 → 4103.7; net gamma long; walls 4091.3 / 4177.7 → 4103.6 / 4167.6 - Aug 24
16:05NVDA earnings - Aug 25
08:30GDP
GDP q/q: actual 2.9% / prior 0.6% - Aug 26
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.2% / prior 0.6% - Aug 26
10:00Fed Chair speech: Economic Outlook
spot -1.6 in the 15 minutes after 10:00; net gamma short - Aug 26
10:00UMich consumer sentiment (final)
Sentiment: actual 58.2 / prior 51.5; 1y inflation: actual 4.8% / prior 5.2%; 5y inflation: actual 2.9% / prior 2.9%
spot -1.6 in the 15 minutes after 10:00; net gamma short
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.