SPX dealer positioning, the week of May 8, 2023
May 8 to May 12 · 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 May 8 | 4139.0 | 4137.9 | -1.1 -0.03% | 16.8 | +3.1 | 4099.4 not crossed | positive |
| Tuesday May 9 | 4119.8 | 4119.3 | -0.4 -0.01% | 12.9 | -18.6 | 4093.2 not crossed | positive |
| Wednesday May 10 | 4150.0 | 4137.2 | -12.8 -0.31% | 54.4 | +17.9 | 4137.2 crossed 6x | positive |
| Thursday May 11 | 4127.0 | 4131.3 | +4.2 +0.10% | 22.4 | -6.0 | 4088.9 not crossed | positive |
| Friday May 12 | 4141.9 | 4124.3 | -17.6 -0.42% | 44.4 | -6.9 | 4079.2 crossed 1x | positive |
Week: -10.6 points (-0.26%), close to close from 2023-05-05.
Ranges: 151.0 points over 5 sessions, the largest 54.4 on 2023-05-10.
Zero-gamma flip at the close: 4099.4 on the first session, 4079.2 on the last (-20.2 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- May 8
14:00Senior loan officer survey (SLOOS)
spot -8.1 in the 15 minutes after 14:00; flip 4091.6 → 4093.4; net gamma long; walls 4091.6 / 4169.6 → 4093.4 / 4170.0 - May 10
08:30CPI · high impact
CPI y/y: actual 5.0% / prior 4.9%; Core CPI m/m: actual 0.5% / prior 0.3% - May 10
09:30VIX settlement
spot -16.6 in the 15 minutes after 09:30; flip 4081.9 → 4096.2; net gamma long; walls 4081.9 / 4212.8 → 4096.2 / 4224.7 - May 10
13:0010-year note auction, $35B
spot -3.5 in the 15 minutes after 13:00; flip 4109.0 → 4109.1; net gamma long; walls 4109.0 / 4187.7 → 4109.1 / 4183.7 - May 11
08:30PPI
PPI m/m: actual 0.1% / prior -0.3% - May 11
13:0030-year bond auction, $21B
spot -1.6 in the 15 minutes after 13:00; flip 4071.8 → 4072.3; net gamma long; walls 4071.8 / 4163.7 → 4072.3 / 4165.2 - May 12
08:30Durable goods orders
Durable goods m/m: actual 0.3% / prior 3.1% - May 12
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 63.7; 1y inflation: prior 4.7%; 5y inflation: prior 3%
spot -4.7 in the 15 minutes after 10:00; flip 4102.0 → 4094.2; net gamma long; walls 4102.0 / 4204.1 → 4094.2 / 4199.0
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.