SPX dealer positioning, the week of August 29, 2022
Aug 29 to Sep 2 · 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 29 | 4025.5 | 4030.7 | +5.1 +0.13% | 44.6 | -27.9 | 3957.8 not crossed | positive |
| Tuesday Aug 30 | 4043.1 | 3986.7 | -56.4 -1.39% | 78.2 | -43.9 | 3929.4 crossed 12x | positive |
| Wednesday Aug 31 | 3998.2 | 3956.2 | -42.0 -1.05% | 57.7 | -30.5 | 3915.1 crossed 16x | positive |
| Thursday Sep 1 | 3934.8 | 3969.8 | +35.0 +0.89% | 65.8 | +13.6 | 3964.1 crossed 4x | positive |
| Friday Sep 2 | 3999.4 | 3923.3 | -76.1 -1.90% | 111.9 | -46.5 | 3955.7 crossed 6x | negative |
Week: -135.2 points (-3.33%), close to close from 2022-08-26.
Ranges: 358.2 points over 5 sessions, the largest 111.9 on 2022-09-02.
Zero-gamma flip at the close: 3957.8 on the first session, 3955.7 on the last (-2.1 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Aug 30
10:00Consumer confidence (Conference Board)
spot -19.3 in the 15 minutes after 10:00; flip 3995.3 → 3993.7; net gamma long; walls 3995.3 / 4105.7 → 3993.7 / 4110.8 - Aug 30
10:00JOLTS job openings
Openings: actual 11.28M / prior 11.54M
spot -19.3 in the 15 minutes after 10:00; flip 3995.3 → 3993.7; net gamma long; walls 3995.3 / 4105.7 → 3993.7 / 4110.8 - Aug 31
09:30VIX settlement
spot +7.6 in the 15 minutes after 09:30; flip 3935.3 → 3941.6; net gamma long; walls 3935.3 / 4079.6 → 3941.6 / 4030.2 - Sep 1
10:00ISM manufacturing PMI
spot -17.7 in the 15 minutes after 10:00; flip 3905.3 → 3890.3; net gamma long; walls 3905.3 / 3998.7 → 3890.3 / 4009.5 - Sep 1
16:05AVGO earnings - Sep 2
08:30Nonfarm payrolls · high impact
Payrolls: actual 290K / prior 714K; Unemployment rate: actual 3.6% / prior 3.5% - Sep 2
08:30Durable goods orders
Durable goods m/m: actual -0.7% / 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.