SPX dealer positioning, the week of February 20, 2023
Feb 20 to Feb 24 · 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 Feb 20 | no session | ||||||
| Tuesday Feb 21 | 4042.7 | 3997.2 | -45.5 -1.12% | 51.6 | -81.5 | 3976.6 crossed 28x | positive |
| Wednesday Feb 22 | 4003.1 | 3989.8 | -13.3 -0.33% | 38.0 | -7.4 | 3988.1 crossed 8x | positive |
| Thursday Feb 23 | 4020.9 | 4012.8 | -8.1 -0.20% | 57.7 | +23.0 | 4014.8 crossed 9x | negative |
| Friday Feb 24 | 3961.7 | 3969.6 | +7.9 +0.20% | 33.9 | -43.3 | 3961.2 crossed 35x | positive |
Week: -109.2 points (-2.68%), close to close from 2023-02-17.
Ranges: 181.2 points over 4 sessions, the largest 57.7 on 2023-02-23.
Zero-gamma flip at the close: 3976.6 on the first session, 3961.2 on the last (-15.4 points).
Closed in positive gamma: 3 of 4 sessions.
Events this week
- Feb 21
07:00WMT earnings - Feb 22
09:30VIX settlement
spot +6.0 in the 15 minutes after 09:30; net gamma long (was short) - Feb 22
14:00FOMC minutes
spot -12.4 in the 15 minutes after 14:00; flip 3922.0 → 3926.8; net gamma long; walls 3922.0 / 4035.9 → 3926.8 / 4056.0 - Feb 22
16:05NVDA earnings - Feb 23
08:30GDP
GDP q/q: actual 2.9% / prior 2.8% - Feb 24
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.5% / prior 0.4% - Feb 24
08:30Housing starts
Housing starts: actual 1358K / prior 1296K - Feb 24
10:00UMich consumer sentiment (final)
Sentiment: actual 66.9 / prior 64.9; 1y inflation: actual 4.2% / prior 3.9%; 5y inflation: actual 2.9% / prior 2.9%
spot -5.0 in the 15 minutes after 10:00; flip 3872.1 → 3873.2; net gamma long; walls 3872.1 / 4072.0 → 3873.2 / 4072.2
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.