SPX dealer positioning, the week of October 10, 2022
Oct 10 to Oct 14 · 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 10 | 3650.0 | 3613.6 | -36.5 -1.00% | 62.8 | -27.9 | 3619.1 crossed 17x | negative |
| Tuesday Oct 11 | 3593.8 | 3587.8 | -6.0 -0.17% | 70.5 | -25.8 | 3586.2 crossed 8x | positive |
| Wednesday Oct 12 | 3585.4 | 3578.2 | -7.2 -0.20% | 31.9 | -9.6 | 3490.6 not crossed | positive |
| Thursday Oct 13 | 3501.5 | 3670.0 | +168.5 +4.81% | 191.2 | +91.8 | 3674.2 crossed 14x | negative |
| Friday Oct 14 | 3693.0 | 3586.9 | -106.2 -2.87% | 130.3 | -83.2 | 3563.8 crossed 23x | positive |
Week: -54.7 points (-1.50%), close to close from 2022-10-07.
Ranges: 486.8 points over 5 sessions, the largest 191.2 on 2022-10-13.
Zero-gamma flip at the close: 3619.1 on the first session, 3563.8 on the last (-55.3 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Oct 12
08:30PPI
PPI m/m: actual 0.3% / prior -0.1% - Oct 12
09:30VIX settlement
spot +16.2 in the 15 minutes after 09:30; flip 3461.6 → 3440.9; net gamma long; walls 3461.6 / 3662.3 → 3440.9 / 3662.5 - Oct 12
13:0010-year note auction, $32B (reopening)
spot -3.1 in the 15 minutes after 13:00; flip 3498.9 → 3499.5; net gamma long; walls 3498.9 / 3679.0 → 3499.5 / 3678.0 - Oct 12
14:00FOMC minutes
spot +9.3 in the 15 minutes after 14:00; flip 3494.7 → 3481.1; net gamma long; walls 3494.7 / 3681.8 → 3481.1 / 3682.4 - Oct 13
08:30CPI · high impact
CPI y/y: actual 8.2% / prior 8.2%; Core CPI m/m: actual 0.6% / prior 0.5% - Oct 13
13:0030-year bond auction, $18B (reopening)
spot +4.3 in the 15 minutes after 13:00; net gamma short - Oct 14
07:00JPM earnings - Oct 14
07:00UNH earnings - Oct 14
08:30Retail sales
Retail sales m/m: actual -0.3% / prior 0.6% - Oct 14
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 58.6; 1y inflation: prior 4.7%; 5y inflation: prior 2.7%
spot -21.0 in the 15 minutes after 10:00; flip 3660.5 → 3654.5; net gamma short (was long)
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.