SPX dealer positioning, the week of November 21, 2022
Nov 21 to Nov 25 · 4 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 21 | 3956.5 | 3950.7 | -5.8 -0.15% | 26.4 | -15.8 | 3893.5 not crossed | positive |
| Tuesday Nov 22 | 3970.7 | 4005.0 | +34.3 +0.86% | 46.8 | +54.3 | 3908.0 crossed 1x | positive |
| Wednesday Nov 23 | 4003.3 | 4027.4 | +24.1 +0.60% | 33.5 | +22.4 | 3947.2 crossed 1x | positive |
| Thursday Nov 24 | no session | ||||||
| Friday Nov 25 | 4025.3 | 4027.0 | +1.7 +0.04% | 12.9 | -0.4 | 4030.5 crossed 9x | negative |
Week: +60.5 points (+1.52%), close to close from 2022-11-18.
Ranges: 119.5 points over 4 sessions, the largest 46.8 on 2022-11-22.
Zero-gamma flip at the close: 3893.5 on the first session, 4030.5 on the last (+137.0 points).
Closed in positive gamma: 3 of 4 sessions.
Events this week
- Nov 23
08:30Durable goods orders
Durable goods m/m: actual 1.6% / prior 0.0% - Nov 23
08:30Housing starts
Housing starts: actual 1446K / prior 1481K - Nov 23
09:30VIX settlement
spot +10.3 in the 15 minutes after 09:30; flip 3960.1 → 3922.6; net gamma long; walls 3960.1 / 4065.5 → 3922.6 / 4077.3 - Nov 23
14:00FOMC minutes
spot +18.5 in the 15 minutes after 14:00; flip 3942.4 → 3946.2; net gamma long; walls 3942.4 / 4077.8 → 3946.2 / 4074.8 - Nov 25
10:00UMich consumer sentiment (final)
Sentiment: actual 56.7 / prior 59.9; 1y inflation: actual 5% / prior 5%; 5y inflation: actual 3% / prior 2.9%
spot +1.5 in the 15 minutes after 10:00; flip 3979.6 → 3979.2; net gamma long; walls 3979.6 / 4064.5 → 3979.2 / 4066.7
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.