SPX dealer positioning, the week of January 2, 2023
Jan 2 to Jan 6 · 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 Jan 2 | no session | ||||||
| Tuesday Jan 3 | 3856.4 | 3824.6 | -31.9 -0.83% | 80.7 | -13.7 | 3797.0 crossed 28x | positive |
| Wednesday Jan 4 | 3843.8 | 3853.7 | +9.9 +0.26% | 54.9 | +29.1 | 3777.1 not crossed | positive |
| Thursday Jan 5 | 3830.0 | 3807.9 | -22.1 -0.58% | 26.9 | -45.7 | 3745.7 not crossed | positive |
| Friday Jan 6 | 3836.6 | 3894.3 | +57.7 +1.50% | 94.0 | +86.4 | 3983.6 crossed 2x | negative |
Week: +56.1 points (+1.46%), close to close from 2022-12-30.
Ranges: 256.6 points over 4 sessions, the largest 94.0 on 2023-01-06.
Zero-gamma flip at the close: 3797.0 on the first session, 3983.6 on the last (+186.6 points).
Closed in positive gamma: 3 of 4 sessions.
Events this week
- Jan 3
10:00ISM manufacturing PMI
spot -10.4 in the 15 minutes after 10:00; flip 3792.8 → 3800.6; net gamma long; walls 3792.8 / 3924.7 → 3800.6 / 3929.8 - Jan 4
09:30VIX settlement
spot -2.4 in the 15 minutes after 09:30; flip 3772.3 → 3771.3; net gamma long; walls 3772.3 / 3881.3 → 3771.3 / 3918.6 - Jan 4
10:00JOLTS job openings
Openings: actual 10.63M / prior 10.45M
spot -9.9 in the 15 minutes after 10:00; flip 3788.1 → 3795.9; net gamma long; walls 3788.1 / 3915.7 → 3795.9 / 3926.2 - Jan 4
14:00FOMC minutes
spot -12.4 in the 15 minutes after 14:00; flip 3791.8 → 3789.8; net gamma long; walls 3791.8 / 3909.3 → 3789.8 / 3914.8 - Jan 5
10:00ISM services PMI
spot +11.3 in the 15 minutes after 10:00; net gamma long; walls 3582.3 / 3912.0 → 3592.9 / 3892.2 - Jan 6
08:30Nonfarm payrolls · high impact
Payrolls: actual 100K / prior 303K; Unemployment rate: actual 3.5% / prior 3.6% - Jan 6
08:30Durable goods orders
Durable goods m/m: actual 5.1% / prior -2.8%
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.