SPX dealer positioning, the week of February 13, 2023
Feb 13 to Feb 17 · 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 13 | 4096.3 | 4136.6 | +40.2 +0.98% | 44.9 | +46.0 | 4119.8 crossed 2x | positive |
| Tuesday Feb 14 | 4112.9 | 4135.7 | +22.8 +0.55% | 62.4 | -0.9 | 4134.4 crossed 9x | positive |
| Wednesday Feb 15 | 4111.6 | 4146.1 | +34.5 +0.84% | 39.1 | +10.4 | 4141.5 crossed 18x | positive |
| Thursday Feb 16 | 4100.8 | 4092.1 | -8.7 -0.21% | 44.7 | -54.0 | 4100.6 crossed 8x | negative |
| Friday Feb 17 | 4067.5 | 4078.7 | +11.2 +0.28% | 32.8 | -13.4 | 4079.8 crossed 6x | negative |
Week: -11.8 points (-0.29%), close to close from 2023-02-10.
Ranges: 224.0 points over 5 sessions, the largest 62.4 on 2023-02-14.
Zero-gamma flip at the close: 4119.8 on the first session, 4079.8 on the last (-40.0 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Feb 14
08:30CPI · high impact
CPI y/y: actual 6.3% / prior 6.4%; Core CPI m/m: actual 0.4% / prior 0.4% - Feb 14
08:30PPI
PPI m/m: actual 0.4% / prior -0.3% - Feb 15
08:30Retail sales
Retail sales m/m: actual 4.4% / prior -1.2% - Feb 15
09:30VIX settlement
spot +6.3 in the 15 minutes after 09:30; flip 4048.8 → 4087.0; net gamma long; walls 4048.8 / 4171.5 → 4087.0 / 4183.0 - Feb 15
13:0020-year bond auction, $15B
spot +3.5 in the 15 minutes after 13:00; flip 4148.3 → 4150.3; net gamma short - Feb 16
08:30Housing starts
Housing starts: actual 1358K / prior 1296K - Feb 16
08:30PPI
PPI m/m: actual 0.4% / prior -0.3%
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.