SPX dealer positioning, the week of October 3, 2022
Oct 3 to Oct 7 · 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 Oct 3 | 3624.6 | 3678.0 | +53.4 +1.47% | 91.5 | +90.3 | 3632.1 not crossed | positive |
| Tuesday Oct 4 | 3737.1 | 3790.7 | +53.6 +1.43% | 53.6 | +112.7 | 3636.0 not crossed | positive |
| Wednesday Oct 5 | 3748.7 | 3780.3 | +31.5 +0.84% | 81.0 | -10.4 | 3782.9 crossed 3x | negative |
| Thursday Oct 6 | 3769.7 | 3743.9 | -25.7 -0.68% | 57.3 | -36.3 | 3671.0 crossed 1x | positive |
| Friday Oct 7 | 3700.3 | 3641.5 | -58.8 -1.59% | 78.8 | -102.4 | 3608.7 not crossed | positive |
Week: +53.8 points (+1.50%), close to close from 2022-09-30.
Ranges: 362.2 points over 5 sessions, the largest 91.5 on 2022-10-03.
Zero-gamma flip at the close: 3632.1 on the first session, 3608.7 on the last (-23.4 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Oct 3
10:00ISM manufacturing PMI
spot +12.2 in the 15 minutes after 10:00; flip 3499.6 → 3499.7; net gamma long; walls 3499.6 / 3711.5 → 3499.7 / 3700.5 - Oct 4
08:30Durable goods orders
Durable goods m/m: actual 0.0% / prior -0.7% - Oct 4
10:00JOLTS job openings
Openings: actual 10.09M / prior 11.58M
spot +2.8 in the 15 minutes after 10:00; flip 3656.9 → 3663.6; net gamma long; walls 3656.9 / 3792.9 → 3663.6 / 3807.8 - Oct 5
09:30VIX settlement
spot +0.6 in the 15 minutes after 09:30; net gamma long; walls 3523.8 / 3818.7 → 3666.2 / 3844.6 - Oct 5
10:00ISM services PMI
spot -9.8 in the 15 minutes after 10:00; flip 3714.8 → 3707.2; net gamma long; walls 3714.8 / 3848.9 → 3707.2 / 3852.0 - Oct 6
08:30GDP
GDP q/q: actual 2.9% / prior 0.6% - Oct 7
08:30Nonfarm payrolls · high impact
Payrolls: actual 220K / prior 290K; Unemployment rate: actual 3.5% / prior 3.6%
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.