SPX dealer positioning, the week of December 26, 2022
Dec 26 to Dec 30 · 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 Dec 26 | no session | ||||||
| Tuesday Dec 27 | 3843.7 | 3828.5 | -15.2 -0.40% | 32.8 | -14.9 | 3829.8 crossed 7x | negative |
| Wednesday Dec 28 | 3829.1 | 3783.7 | -45.5 -1.19% | 65.1 | -44.8 | 3777.0 crossed 1x | positive |
| Thursday Dec 29 | 3810.5 | 3848.0 | +37.5 +0.98% | 50.4 | +64.4 | 3836.6 not crossed | positive |
| Friday Dec 30 | 3823.5 | 3838.3 | +14.8 +0.39% | 38.8 | -9.8 | 3840.0 crossed 5x | negative |
Week: -5.1 points (-0.13%), close to close from 2022-12-23.
Ranges: 187.0 points over 4 sessions, the largest 65.1 on 2022-12-28.
Zero-gamma flip at the close: 3829.8 on the first session, 3840.0 on the last (+10.2 points).
Closed in positive gamma: 2 of 4 sessions.
Events this week
- Dec 27
10:00Consumer confidence (Conference Board)
spot +6.0 in the 15 minutes after 10:00; flip 3805.4 → 3788.3; net gamma long; walls 3805.4 / 3920.0 → 3788.3 / 3914.0 - Dec 28
09:30VIX settlement
spot +15.1 in the 15 minutes after 09:30; flip 3839.4 → 3778.1; net gamma long (was short)
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.