SPX dealer positioning, the week of June 12, 2023

Jun 12 to Jun 16 · 5 of 5 days traded · each session free to replay

← the week of Jun 5 the week of Jun 19 →the calendar for this week every session

Day	Open	Close	Change	Range	Close to close	Flip at the close	Gamma at the close
Monday Jun 12	4309.9	4339.7	+29.8 +0.69%	34.6	+39.2	4339.0 crossed 3x	positive
Tuesday Jun 13	4356.6	4369.5	+12.9 +0.30%	25.0	+29.7	4366.8 crossed 4x	positive
Wednesday Jun 14	4368.6	4371.7	+3.1 +0.07%	53.0	+2.2	4294.1 crossed 8x	positive
Thursday Jun 15	4366.2	4426.6	+60.4 +1.38%	74.6	+54.9	4344.1 crossed 4x	positive
Friday Jun 16	4443.9	4409.3	-34.6 -0.78%	34.6	-17.3	4409.9 not crossed	negative

Week: +108.8 points (+2.53%), close to close from 2023-06-09.
Ranges: 221.8 points over 5 sessions, the largest 74.6 on 2023-06-15.
Zero-gamma flip at the close: 4339.0 on the first session, 4409.9 on the last (+70.9 points).
Closed in positive gamma: 4 of 5 sessions.

Events this week

Jun 12 13:00 10-year note auction, $32B (reopening)
spot 0.0 in the 15 minutes after 13:00; flip 4270.5 → 4272.4; net gamma long; walls 4270.5 / 4346.5 → 4272.4 / 4346.3
Jun 12 16:05 ORCL earnings
Jun 13 08:30 CPI · high impact
CPI y/y: actual 4.1% / prior 5.0%; Core CPI m/m: actual 0.4% / prior 0.5%
Jun 13 13:00 30-year bond auction, $18B (reopening)
spot -3.1 in the 15 minutes after 13:00; flip 4307.9 → 4309.4; net gamma long; walls 4308.0 / 4408.2 → 4309.4 / 4405.8
Jun 14 08:30 PPI
PPI m/m: actual -0.2% / prior 0.1%
Jun 14 09:30 VIX settlement
spot +6.7 in the 15 minutes after 09:30; net gamma long (was short)
Jun 14 14:00 FOMC decision · high impact
Fed funds: actual 5.25% / prior 5.25%
spot -13.2 in the 15 minutes after 14:00; flip 4301.5 → 4301.4; net gamma long; walls 4301.5 / 4472.1 → 4301.4 / 4468.7
Jun 14 14:30 FOMC press conference · high impact
spot +16.4 in the 15 minutes after 14:30; flip 4293.1 → 4284.1; net gamma long; walls 4293.1 / 4469.1 → 4284.1 / 4373.2
Jun 15 08:30 Retail sales
Retail sales m/m: actual 0.5% / prior 0.8%

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.