SPX dealer positioning, the week of July 3, 2023
Jul 3 to Jul 7 · 4 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 Jul 3 | 4442.9 | 4454.9 | +12.0 +0.27% | 13.6 | +4.8 | 4423.2 not crossed | positive |
| Tuesday Jul 4 | no session | ||||||
| Wednesday Jul 5 | 4437.0 | 4446.8 | +9.8 +0.22% | 16.5 | -8.1 | 4453.0 crossed 7x | negative |
| Thursday Jul 6 | 4409.7 | 4412.2 | +2.5 +0.06% | 29.4 | -34.6 | 4412.3 crossed 15x | negative |
| Friday Jul 7 | 4400.5 | 4398.9 | -1.7 -0.04% | 41.9 | -13.3 | 4390.9 crossed 2x | positive |
Week: -51.2 points (-1.15%), close to close from 2023-06-30.
Ranges: 101.4 points over 4 sessions, the largest 41.9 on 2023-07-07.
Zero-gamma flip at the close: 4423.2 on the first session, 4390.9 on the last (-32.3 points).
Closed in positive gamma: 2 of 4 sessions.
Events this week
- Jul 3
10:00ISM manufacturing PMI
spot -0.6 in the 15 minutes after 10:00; flip 4387.9 → 4392.9; net gamma long; walls 4387.9 / 4484.2 → 4392.9 / 4484.3 - Jul 5
08:30Durable goods orders
Durable goods m/m: actual 4.9% / prior -0.2% - Jul 5
09:30VIX settlement
spot +9.6 in the 15 minutes after 09:30; flip 4384.7 → 4383.5; net gamma long; walls 4384.7 / 4440.9 → 4383.5 / 4464.9 - Jul 5
14:00FOMC minutes
spot -6.6 in the 15 minutes after 14:00; flip 4409.5 → 4412.7; net gamma long; walls 4409.5 / 4475.2 → 4412.7 / 4474.6 - Jul 6
10:00ISM services PMI
spot -1.2 in the 15 minutes after 10:00; flip 4351.3 → 4346.1; net gamma long; walls 4351.3 / 4456.6 → 4346.1 / 4453.1 - Jul 6
10:00JOLTS job openings
Openings: actual 9.37M / prior 9.97M
spot -1.2 in the 15 minutes after 10:00; flip 4351.3 → 4346.1; net gamma long; walls 4351.3 / 4456.6 → 4346.1 / 4453.1 - Jul 7
08:30Nonfarm payrolls · high impact
Payrolls: actual 225K / prior 280K; Unemployment rate: actual 3.6% / prior 3.6%
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.