SPX dealer positioning, the week of December 19, 2022
Dec 19 to Dec 23 · 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 19 | 3849.9 | 3818.4 | -31.5 -0.82% | 51.6 | -33.7 | 3788.4 crossed 10x | positive |
| Tuesday Dec 20 | 3807.8 | 3821.6 | +13.7 +0.36% | 41.6 | +3.1 | 3761.6 not crossed | positive |
| Wednesday Dec 21 | 3849.3 | 3876.0 | +26.7 +0.69% | 45.6 | +54.4 | 3821.2 crossed 2x | positive |
| Thursday Dec 22 | 3848.0 | 3822.3 | -25.6 -0.67% | 84.2 | -53.6 | 3812.3 crossed 22x | positive |
| Friday Dec 23 | 3816.8 | 3843.4 | +26.6 +0.70% | 49.7 | +21.1 | 3790.8 not crossed | positive |
Week: -8.7 points (-0.23%), close to close from 2022-12-16.
Ranges: 272.8 points over 5 sessions, the largest 84.2 on 2022-12-22.
Zero-gamma flip at the close: 3788.4 on the first session, 3790.8 on the last (+2.4 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Dec 20
08:30Housing starts
Housing starts: actual 1434K / prior 1446K - Dec 21
09:30VIX settlement
spot -0.4 in the 15 minutes after 09:30; net gamma long (was short) - Dec 21
13:0020-year bond auction, $12B (reopening)
spot +0.3 in the 15 minutes after 13:00; flip 3814.9 → 3814.2; net gamma long; walls 3814.9 / 3916.1 → 3814.2 / 3916.3 - Dec 22
08:30GDP
GDP q/q: actual 2.8% / prior 2.9% - Dec 23
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.3% / prior 0.4% - Dec 23
08:30Durable goods orders
Durable goods m/m: actual -2.8% / prior 1.6% - Dec 23
08:30Housing starts
Housing starts: actual 1434K / prior 1446K - Dec 23
10:00UMich consumer sentiment (final)
Sentiment: actual 59.8 / prior 56.7; 1y inflation: actual 4.3% / prior 5%; 5y inflation: actual 3% / prior 3%
spot +2.1 in the 15 minutes after 10:00; flip 3771.2 → 3760.9; net gamma long; walls 3771.2 / 3915.5 → 3760.9 / 3908.0
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.