SPX dealer positioning, the week of January 30, 2023
Jan 30 to Feb 3 · 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 Jan 30 | 4045.0 | 4017.6 | -27.4 -0.68% | 47.3 | -52.2 | 4007.8 not crossed | positive |
| Tuesday Jan 31 | 4026.6 | 4076.2 | +49.6 +1.23% | 54.9 | +58.6 | 4053.0 crossed 5x | positive |
| Wednesday Feb 1 | 4064.8 | 4117.7 | +53.0 +1.30% | 105.4 | +41.5 | 4116.5 crossed 10x | positive |
| Thursday Feb 2 | 4161.5 | 4178.7 | +17.1 +0.41% | 52.5 | +60.9 | 4151.8 not crossed | positive |
| Friday Feb 3 | 4132.9 | 4136.1 | +3.2 +0.08% | 57.2 | -42.6 | 4088.0 not crossed | positive |
Week: +66.3 points (+1.63%), close to close from 2023-01-27.
Ranges: 317.3 points over 5 sessions, the largest 105.4 on 2023-02-01.
Zero-gamma flip at the close: 4007.8 on the first session, 4088.0 on the last (+80.2 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Jan 31
07:00XOM earnings - Jan 31
10:00Consumer confidence (Conference Board)
spot +9.8 in the 15 minutes after 10:00; flip 4018.3 → 4006.3; net gamma long; walls 4018.3 / 4088.6 → 4006.3 / 4086.5 - Feb 1
08:30Quarterly refunding statement - Feb 1
09:30VIX settlement
spot +1.8 in the 15 minutes after 09:30; flip 3942.5 → 3996.2; net gamma long; walls 3942.5 / 4195.2 → 3996.2 / 4166.6 - Feb 1
10:00ISM manufacturing PMI
spot -0.8 in the 15 minutes after 10:00; net gamma short - Feb 1
10:00JOLTS job openings
Openings: actual 10.90M / prior 10.63M
spot -0.8 in the 15 minutes after 10:00; net gamma short - Feb 1
14:00FOMC decision · high impact
Fed funds: actual 4.75% / prior 4.50%
spot +15.8 in the 15 minutes after 14:00; flip 4103.2 → 4090.8; net gamma short - Feb 1
14:30FOMC press conference · high impact
spot +37.5 in the 15 minutes after 14:30; flip 4091.2 → 4119.0; net gamma short - Feb 1
16:05META earnings - Feb 2
07:00LLY earnings - Feb 2
08:30Durable goods orders
Durable goods m/m: actual -1.5% / prior 5.1% - Feb 2
16:05AAPL earnings - Feb 2
16:05AMZN earnings - Feb 2
16:05GOOGL earnings - Feb 3
08:30Nonfarm payrolls · high impact
Payrolls: actual 434K / prior 100K; Unemployment rate: actual 3.5% / prior 3.5% - Feb 3
10:00ISM services PMI
spot +13.4 in the 15 minutes after 10:00; flip 4101.3 → 4103.7; net gamma long; walls 4101.3 / 4205.5 → 4103.7 / 4203.7
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.