SPX dealer positioning, the week of December 5, 2022
Dec 5 to Dec 9 · 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 Dec 5 | 4043.0 | 4000.1 | -42.8 -1.06% | 64.7 | -71.1 | 3998.0 crossed 26x | positive |
| Tuesday Dec 6 | 3997.0 | 3942.1 | -54.9 -1.37% | 81.5 | -58.0 | 3940.8 crossed 14x | positive |
| Wednesday Dec 7 | 3934.6 | 3934.8 | +0.2 +0.00% | 33.6 | -7.3 | 3912.1 crossed 2x | positive |
| Thursday Dec 8 | 3953.4 | 3963.6 | +10.2 +0.26% | 35.0 | +28.8 | 3895.2 crossed 2x | positive |
| Friday Dec 9 | 3953.5 | 3933.9 | -19.5 -0.49% | 43.8 | -29.7 | 3934.1 crossed 2x | negative |
Week: -137.3 points (-3.37%), close to close from 2022-12-02.
Ranges: 258.5 points over 5 sessions, the largest 81.5 on 2022-12-06.
Zero-gamma flip at the close: 3998.0 on the first session, 3934.1 on the last (-63.9 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Dec 5
08:30Durable goods orders
Durable goods m/m: actual -2.8% / prior 1.6% - Dec 5
10:00ISM services PMI
spot +3.3 in the 15 minutes after 10:00; flip 3988.7 → 3973.0; net gamma long; walls 3988.7 / 4128.2 → 3973.0 / 4129.3 - Dec 7
09:30VIX settlement
spot +8.5 in the 15 minutes after 09:30; flip 4133.2 → 3864.2; net gamma long (was short) - Dec 8
16:05AVGO earnings - Dec 8
16:05COST earnings - Dec 9
08:30PPI
PPI m/m: actual 0.3% / prior 0.3% - Dec 9
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 56.7; 1y inflation: prior 5%; 5y inflation: prior 3%
spot +1.6 in the 15 minutes after 10:00; flip 3891.1 → 3881.5; net gamma long; walls 3891.1 / 4006.1 → 3881.5 / 4020.9
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.