SPX dealer positioning, the week of January 16, 2023
Jan 16 to Jan 20 · 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 16 | no session | ||||||
| Tuesday Jan 17 | 4001.7 | 3990.9 | -10.9 -0.27% | 30.3 | -8.3 | 3965.7 not crossed | positive |
| Wednesday Jan 18 | 4006.8 | 3927.5 | -79.3 -1.98% | 85.8 | -63.4 | 3940.2 crossed 5x | negative |
| Thursday Jan 19 | 3909.8 | 3899.1 | -10.7 -0.27% | 36.6 | -28.4 | 3897.2 crossed 4x | positive |
| Friday Jan 20 | 3908.7 | 3971.9 | +63.2 +1.62% | 73.5 | +72.8 | 3869.2 not crossed | positive |
Week: -27.3 points (-0.68%), close to close from 2023-01-13.
Ranges: 226.2 points over 4 sessions, the largest 85.8 on 2023-01-18.
Zero-gamma flip at the close: 3965.7 on the first session, 3869.2 on the last (-96.5 points).
Closed in positive gamma: 3 of 4 sessions.
Events this week
- Jan 18
08:30PPI
PPI m/m: actual -0.3% / prior 0.3% - Jan 18
08:30Retail sales
Retail sales m/m: actual -1.2% / prior -1.4% - Jan 18
09:30VIX settlement
spot -4.2 in the 15 minutes after 09:30; flip 3935.0 → 3927.3; net gamma long; walls 3935.0 / 4033.2 → 3927.3 / 4059.6 - Jan 18
13:0020-year bond auction, $12B (reopening)
spot -6.7 in the 15 minutes after 13:00; flip 3953.7 → 3953.9; net gamma short - Jan 19
07:00PG earnings - Jan 19
08:30Housing starts
Housing starts: actual 1296K / prior 1434K - Jan 19
16:05NFLX earnings
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.