SPX dealer positioning, the week of June 5, 2023
Jun 5 to Jun 9 · 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 Jun 5 | 4286.6 | 4274.8 | -11.9 -0.28% | 30.7 | -6.3 | 4238.6 not crossed | positive |
| Tuesday Jun 6 | 4266.8 | 4284.8 | +18.0 +0.42% | 24.2 | +10.0 | 4251.0 crossed 1x | positive |
| Wednesday Jun 7 | 4289.3 | 4267.8 | -21.5 -0.50% | 33.5 | -17.0 | 4257.3 not crossed | positive |
| Thursday Jun 8 | 4268.9 | 4294.4 | +25.4 +0.60% | 33.4 | +26.6 | 4237.9 not crossed | positive |
| Friday Jun 9 | 4302.3 | 4300.5 | -1.8 -0.04% | 29.3 | +6.1 | 4267.3 not crossed | positive |
Week: +19.5 points (+0.46%), close to close from 2023-06-02.
Ranges: 151.2 points over 5 sessions, the largest 33.5 on 2023-06-07.
Zero-gamma flip at the close: 4238.6 on the first session, 4267.3 on the last (+28.7 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Jun 5
08:30Durable goods orders
Durable goods m/m: actual -0.2% / prior 0.3% - Jun 5
10:00ISM services PMI
spot -7.3 in the 15 minutes after 10:00; flip 4232.1 → 4236.6; net gamma long; walls 4232.1 / 4327.7 → 4236.6 / 4330.3 - Jun 7
09:30VIX settlement
spot +6.0 in the 15 minutes after 09:30; flip 4245.4 → 4233.6; net gamma long; walls 4245.4 / 4299.5 → 4233.6 / 4321.0 - Jun 9
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 59; 1y inflation: prior 4.2%; 5y inflation: prior 3.1%
spot +6.9 in the 15 minutes after 10:00; flip 4243.3 → 4239.6; net gamma long; walls 4243.3 / 4330.5 → 4239.6 / 4328.3
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.