SPX dealer positioning, the week of May 22, 2023
May 22 to May 26 · 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 22 | 4194.2 | 4192.1 | -2.1 -0.05% | 26.5 | -0.2 | 4162.4 crossed 8x | positive |
| Tuesday May 23 | 4174.7 | 4147.0 | -27.7 -0.66% | 42.2 | -45.1 | 4134.9 crossed 2x | positive |
| Wednesday May 24 | 4127.1 | 4115.6 | -11.5 -0.28% | 27.4 | -31.4 | 4135.1 crossed 1x | negative |
| Thursday May 25 | 4143.7 | 4151.3 | +7.6 +0.18% | 35.3 | +35.7 | 4162.7 crossed 8x | negative |
| Friday May 26 | 4159.4 | 4205.2 | +45.8 +1.10% | 52.4 | +53.9 | 4211.3 crossed 7x | negative |
Week: +12.9 points (+0.31%), close to close from 2023-05-19.
Ranges: 183.8 points over 5 sessions, the largest 52.4 on 2023-05-26.
Zero-gamma flip at the close: 4162.4 on the first session, 4211.3 on the last (+48.9 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- May 23
08:30Housing starts
Housing starts: actual 1343K / prior 1366K - May 24
09:30VIX settlement
spot -5.0 in the 15 minutes after 09:30; net gamma long (was short) - May 24
14:00FOMC minutes
spot -2.9 in the 15 minutes after 14:00; flip 4069.2 → 4069.7; net gamma long; walls 4069.2 / 4163.7 → 4069.7 / 4165.1 - May 24
16:05NVDA earnings - May 25
08:30GDP
GDP q/q: actual 2.5% / prior 2.9% - May 25
16:05COST earnings - May 26
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.4% / prior 0.3% - May 26
08:30Durable goods orders
Durable goods m/m: actual 0.3% / prior 3.1% - May 26
10:00UMich consumer sentiment (final)
Sentiment: actual 59 / prior 63.7; 1y inflation: actual 4.2% / prior 4.7%; 5y inflation: actual 3.1% / prior 3%
spot +4.3 in the 15 minutes after 10:00; flip 4085.9 → 4091.2; net gamma long; walls 4085.9 / 4202.0 → 4091.2 / 4189.5
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.