SPX dealer positioning, the week of November 14, 2022
Nov 14 to Nov 18 · 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 14 | 3975.2 | 3957.8 | -17.4 -0.44% | 51.6 | -35.2 | 3969.8 crossed 1x | negative |
| Tuesday Nov 15 | 4020.3 | 3991.7 | -28.6 -0.71% | 75.3 | +33.9 | 4003.5 crossed 12x | negative |
| Wednesday Nov 16 | 3976.1 | 3960.3 | -15.8 -0.40% | 27.6 | -31.4 | 3906.4 not crossed | positive |
| Thursday Nov 17 | 3914.1 | 3947.7 | +33.5 +0.86% | 46.6 | -12.7 | 3850.1 crossed 1x | positive |
| Friday Nov 18 | 3979.2 | 3966.6 | -12.6 -0.32% | 42.6 | +18.9 | 3954.1 crossed 12x | positive |
Week: -26.4 points (-0.66%), close to close from 2022-11-11.
Ranges: 243.7 points over 5 sessions, the largest 75.3 on 2022-11-15.
Zero-gamma flip at the close: 3969.8 on the first session, 3954.1 on the last (-15.7 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Nov 15
07:00WMT earnings - Nov 15
08:30PPI
PPI m/m: actual 0.3% / prior 0.3% - Nov 15
10:00Fed Chair testimony
spot -8.1 in the 15 minutes after 10:00; flip 3916.0 → 3923.5; net gamma long; walls 3916.0 / 4111.7 → 3923.5 / 4117.5 - Nov 16
08:30Retail sales
Retail sales m/m: actual 1.0% / prior -0.3% - Nov 16
09:30VIX settlement
spot +4.0 in the 15 minutes after 09:30; flip 3960.5 → 3903.4; net gamma long; walls 3960.6 / 4059.6 → 3903.4 / 4049.2 - Nov 16
13:0020-year bond auction, $15B
spot +1.4 in the 15 minutes after 13:00; flip 3896.1 → 3893.5; net gamma long; walls 3896.1 / 4044.0 → 3893.5 / 4043.3 - Nov 16
16:05NVDA earnings - Nov 17
08:30Housing starts
Housing starts: actual 1446K / prior 1481K
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.