SPX dealer positioning, the week of September 19, 2022
Sep 19 to Sep 23 · 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 Sep 19 | 3839.4 | 3899.5 | +60.1 +1.57% | 60.5 | +25.1 | 3901.1 crossed 18x | negative |
| Tuesday Sep 20 | 3866.4 | 3855.7 | -10.7 -0.28% | 46.7 | -43.8 | 3825.5 crossed 12x | positive |
| Wednesday Sep 21 | 3879.6 | 3790.8 | -88.8 -2.29% | 111.1 | -64.9 | 3805.7 crossed 6x | negative |
| Thursday Sep 22 | 3788.5 | 3758.7 | -29.8 -0.79% | 40.0 | -32.1 | 3790.7 crossed 23x | negative |
| Friday Sep 23 | 3716.8 | 3693.7 | -23.1 -0.62% | 69.7 | -65.0 | 3672.5 crossed 23x | positive |
Week: -180.7 points (-4.66%), close to close from 2022-09-16.
Ranges: 328.0 points over 5 sessions, the largest 111.1 on 2022-09-21.
Zero-gamma flip at the close: 3901.1 on the first session, 3672.5 on the last (-228.6 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Sep 20
08:30Housing starts
Housing starts: actual 1532K / prior 1382K - Sep 20
13:0020-year bond auction, $12B (reopening)
spot -10.2 in the 15 minutes after 13:00; flip 3815.2 → 3828.5; net gamma long; walls 3815.2 / 3935.9 → 3828.5 / 3943.7 - Sep 21
09:30VIX settlement
spot -5.1 in the 15 minutes after 09:30; net gamma long; walls 3646.8 / 3915.3 → 3794.6 / 4106.9 - Sep 21
14:00FOMC decision · high impact
Fed funds: actual 3.25% / prior 2.50%
spot -22.9 in the 15 minutes after 14:00; flip 3808.5 → 3756.8; net gamma long; walls 3808.5 / 3968.3 → 3756.8 / 4037.4 - Sep 21
14:30FOMC press conference · high impact
spot +74.9 in the 15 minutes after 14:30; flip 3744.3 → 3677.5; net gamma long; walls 3744.3 / 4030.8 → 3677.5 / 3996.3 - Sep 22
16:05COST earnings - Sep 23
10:00UMich consumer sentiment (final)
Sentiment: actual 58.6 / prior 58.2; 1y inflation: actual 4.7% / prior 4.8%; 5y inflation: actual 2.7% / prior 2.9%
spot +2.5 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.