SPX dealer positioning, the week of November 7, 2022
Nov 7 to Nov 11 · 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 Nov 7 | 3789.1 | 3807.4 | +18.3 +0.48% | 47.2 | +36.0 | 3821.1 crossed 3x | negative |
| Tuesday Nov 8 | 3814.7 | 3828.1 | +13.4 +0.35% | 71.9 | +20.6 | 3771.7 not crossed | positive |
| Wednesday Nov 9 | 3805.2 | 3749.5 | -55.8 -1.47% | 71.7 | -78.6 | 3723.7 crossed 4x | positive |
| Thursday Nov 10 | 3891.5 | 3954.4 | +62.9 +1.62% | 90.3 | +205.0 | 3954.5 crossed 10x | negative |
| Friday Nov 11 | 3961.5 | 3993.0 | +31.5 +0.80% | 55.6 | +38.6 | 4028.4 crossed 3x | negative |
Week: +221.5 points (+5.87%), close to close from 2022-11-04.
Ranges: 336.7 points over 5 sessions, the largest 90.3 on 2022-11-10.
Zero-gamma flip at the close: 3821.1 on the first session, 4028.4 on the last (+207.3 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Nov 7
14:00Senior loan officer survey (SLOOS)
spot +9.9 in the 15 minutes after 14:00; net gamma short - Nov 9
09:30VIX settlement
spot +2.9 in the 15 minutes after 09:30; flip 3790.3 → 3697.0; net gamma long; walls 3790.3 / 3888.0 → 3697.0 / 3880.3 - Nov 9
13:0010-year note auction, $35B
spot -4.1 in the 15 minutes after 13:00; flip 3739.5 → 3739.1; net gamma long; walls 3739.5 / 3892.1 → 3739.1 / 3907.2 - Nov 10
08:30CPI · high impact
CPI y/y: actual 7.8% / prior 8.2%; Core CPI m/m: actual 0.4% / prior 0.6% - Nov 10
13:0030-year bond auction, $21B
spot +14.7 in the 15 minutes after 13:00; flip 3787.4 → 3782.2; net gamma long; walls 3787.4 / 3961.2 → 3782.2 / 3960.4 - Nov 11
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 59.9; 1y inflation: prior 5%; 5y inflation: prior 2.9%
spot +12.1 in the 15 minutes after 10:00; flip 3847.4 → 3839.5; net gamma long; walls 3847.4 / 4040.4 → 3839.5 / 4044.4
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.