SPX dealer positioning, the week of October 31, 2022
Oct 31 to Nov 4 · 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 31 | 3875.7 | 3871.7 | -4.0 -0.10% | 30.0 | -29.3 | 3855.8 crossed 8x | positive |
| Tuesday Nov 1 | 3910.4 | 3857.8 | -52.7 -1.35% | 66.0 | -13.9 | 3864.2 crossed 24x | negative |
| Wednesday Nov 2 | 3848.4 | 3760.9 | -87.4 -2.27% | 129.7 | -96.8 | 3792.3 crossed 13x | negative |
| Thursday Nov 3 | 3717.7 | 3721.2 | +3.5 +0.09% | 49.8 | -39.8 | 3714.1 not crossed | positive |
| Friday Nov 4 | 3779.9 | 3771.5 | -8.5 -0.22% | 85.1 | +50.3 | 3714.2 crossed 8x | positive |
Week: -129.5 points (-3.32%), close to close from 2022-10-28.
Ranges: 360.5 points over 5 sessions, the largest 129.7 on 2022-11-02.
Zero-gamma flip at the close: 3855.8 on the first session, 3714.2 on the last (-141.6 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Nov 1
07:00LLY earnings - Nov 1
10:00ISM manufacturing PMI
spot -13.1 in the 15 minutes after 10:00; flip 3867.9 → 3892.1; net gamma short (was long) - Nov 1
10:00JOLTS job openings
Openings: actual 10.80M / prior 10.09M
spot -13.1 in the 15 minutes after 10:00; flip 3867.9 → 3892.1; net gamma short (was long) - Nov 2
08:30Quarterly refunding statement - Nov 2
09:30VIX settlement
spot -10.6 in the 15 minutes after 09:30; flip 3824.4 → 3770.7; net gamma long; walls 3824.4 / 4079.3 → 3770.7 / 3967.7 - Nov 2
14:00FOMC decision · high impact
Fed funds: actual 4.00% / prior 3.25%
spot +11.1 in the 15 minutes after 14:00; net gamma short - Nov 2
14:30FOMC press conference · high impact
spot -25.0 in the 15 minutes after 14:30; net gamma short - Nov 3
08:30Durable goods orders
Durable goods m/m: actual 1.6% / prior 0.0% - Nov 3
10:00ISM services PMI
spot +24.5 in the 15 minutes after 10:00; flip 3618.9 → 3585.2; net gamma long; walls 3618.9 / 3861.8 → 3585.2 / 3829.0 - Nov 4
08:30Nonfarm payrolls · high impact
Payrolls: actual 357K / prior 220K; Unemployment rate: actual 3.6% / prior 3.5%
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.