SPX dealer positioning, the week of March 20, 2023
Mar 20 to Mar 24 · 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 Mar 20 | 3927.0 | 3950.8 | +23.8 +0.61% | 37.7 | +35.0 | 3886.2 crossed 12x | positive |
| Tuesday Mar 21 | 3991.5 | 4000.7 | +9.3 +0.23% | 37.2 | +49.9 | 4003.2 crossed 26x | negative |
| Wednesday Mar 22 | 4001.3 | 3936.6 | -64.7 -1.62% | 101.1 | -64.1 | 3906.4 crossed 13x | positive |
| Thursday Mar 23 | 3970.3 | 3948.7 | -21.6 -0.54% | 84.7 | +12.1 | 3912.3 not crossed | positive |
| Friday Mar 24 | 3931.9 | 3971.9 | +40.0 +1.02% | 60.8 | +23.2 | 3968.1 crossed 7x | positive |
Week: +56.0 points (+1.43%), close to close from 2023-03-17.
Ranges: 321.6 points over 5 sessions, the largest 101.1 on 2023-03-22.
Zero-gamma flip at the close: 3886.2 on the first session, 3968.1 on the last (+81.9 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Mar 21
13:0020-year bond auction, $12B (reopening)
spot +3.5 in the 15 minutes after 13:00; flip 3983.4 → 3983.6; net gamma long (was short) - Mar 22
09:30VIX settlement
spot -3.7 in the 15 minutes after 09:30; flip 3985.8 → 3942.6; net gamma long; walls 3985.8 / 4086.5 → 3942.6 / 4045.4 - Mar 22
14:00FOMC decision · high impact
Fed funds: actual 5.00% / prior 4.75%
spot -7.2 in the 15 minutes after 14:00; flip 4047.9 → 4066.2; net gamma short - Mar 22
14:30FOMC press conference · high impact
spot +13.3 in the 15 minutes after 14:30; net gamma short - Mar 23
08:30Housing starts
Housing starts: actual 1395K / prior 1358K - Mar 24
08:30Durable goods orders
Durable goods m/m: actual -2.8% / prior -1.5% - Mar 24
10:00UMich consumer sentiment (final)
Sentiment: actual 62 / prior 66.9; 1y inflation: actual 3.6% / prior 4.2%; 5y inflation: actual 2.9% / prior 2.9%
spot -4.9 in the 15 minutes after 10:00; flip 3879.1 → 3885.7; net gamma long; walls 3879.1 / 3983.5 → 3885.7 / 3964.1
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.