SPX dealer positioning, the week of March 27, 2023
Mar 27 to Mar 31 · 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 27 | 3995.6 | 3976.3 | -19.3 -0.48% | 31.4 | +4.5 | 3927.1 not crossed | positive |
| Tuesday Mar 28 | 3970.0 | 3970.9 | +0.9 +0.02% | 26.5 | -5.5 | 3928.2 not crossed | positive |
| Wednesday Mar 29 | 4010.7 | 4027.4 | +16.7 +0.42% | 28.4 | +56.5 | 4035.1 crossed 4x | negative |
| Thursday Mar 30 | 4052.8 | 4050.8 | -1.9 -0.05% | 22.5 | +23.5 | 4054.5 crossed 1x | negative |
| Friday Mar 31 | 4063.4 | 4109.8 | +46.3 +1.14% | 48.1 | +58.9 | 4014.3 not crossed | positive |
Week: +137.9 points (+3.47%), close to close from 2023-03-24.
Ranges: 156.9 points over 5 sessions, the largest 48.1 on 2023-03-31.
Zero-gamma flip at the close: 3927.1 on the first session, 4014.3 on the last (+87.2 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Mar 28
10:00Consumer confidence (Conference Board)
spot +9.1 in the 15 minutes after 10:00; flip 3889.4 → 3886.2; net gamma long; walls 3889.4 / 4054.7 → 3886.2 / 4035.7 - Mar 28
10:00Fed Chair testimony
spot +9.1 in the 15 minutes after 10:00; flip 3889.4 → 3886.2; net gamma long; walls 3889.4 / 4054.7 → 3886.2 / 4035.7 - Mar 29
09:30VIX settlement
spot -0.9 in the 15 minutes after 09:30; flip 3947.8 → 3953.4; net gamma long; walls 3947.8 / 4044.0 → 3953.4 / 4051.9 - Mar 30
08:30GDP
GDP q/q: actual 2.9% / prior 2.8% - Mar 31
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.4% / prior 0.5%
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.