SPX dealer positioning, the week of February 6, 2023
Feb 6 to Feb 10 · 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 Feb 6 | 4114.3 | 4111.3 | -3.0 -0.07% | 30.3 | -24.8 | 4074.8 not crossed | positive |
| Tuesday Feb 7 | 4099.9 | 4165.8 | +66.0 +1.61% | 87.1 | +54.5 | 4171.1 crossed 11x | negative |
| Wednesday Feb 8 | 4144.1 | 4119.1 | -25.1 -0.61% | 43.8 | -46.8 | 4081.5 crossed 1x | positive |
| Thursday Feb 9 | 4153.6 | 4081.5 | -72.2 -1.74% | 84.3 | -37.6 | 4089.5 crossed 9x | negative |
| Friday Feb 10 | 4075.1 | 4090.5 | +15.4 +0.38% | 33.0 | +9.0 | 3991.2 not crossed | positive |
Week: -45.6 points (-1.10%), close to close from 2023-02-03.
Ranges: 278.6 points over 5 sessions, the largest 87.1 on 2023-02-07.
Zero-gamma flip at the close: 4074.8 on the first session, 3991.2 on the last (-83.6 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Feb 6
14:00Senior loan officer survey (SLOOS)
spot +4.7 in the 15 minutes after 14:00; flip 4081.5 → 4074.6; net gamma long; walls 4081.6 / 4168.0 → 4074.6 / 4165.7 - Feb 8
09:30VIX settlement
spot +7.8 in the 15 minutes after 09:30; flip 4180.0 → 4060.1; net gamma long (was short) - Feb 8
13:0010-year note auction, $35B
spot +4.2 in the 15 minutes after 13:00; flip 4092.1 → 4090.2; net gamma long; walls 4092.1 / 4199.3 → 4090.2 / 4195.8 - Feb 9
13:0030-year bond auction, $21B
spot -4.4 in the 15 minutes after 13:00; flip 4101.4 → 4100.5; net gamma long; walls 4101.4 / 4217.3 → 4100.5 / 4214.4 - Feb 10
08:30CPI · high impact
CPI y/y: actual 6.3% / prior 6.4%; Core CPI m/m: actual 0.4% / prior 0.4% - Feb 10
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 64.9; 1y inflation: prior 3.9%; 5y inflation: prior 2.9%
spot +13.2 in the 15 minutes after 10:00; flip 3970.4 → 3966.8; net gamma long; walls 3970.4 / 4136.1 → 3966.8 / 4127.7
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.