SPX dealer positioning, the week of July 10, 2023
Jul 10 to Jul 14 · 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 Jul 10 | 4401.5 | 4409.0 | +7.5 +0.17% | 21.2 | +10.2 | 4370.0 crossed 1x | positive |
| Tuesday Jul 11 | 4418.0 | 4439.9 | +21.9 +0.50% | 33.5 | +30.9 | 4431.3 crossed 10x | positive |
| Wednesday Jul 12 | 4477.0 | 4471.8 | -5.2 -0.12% | 24.1 | +31.9 | 4445.5 not crossed | positive |
| Thursday Jul 13 | 4488.7 | 4510.7 | +22.0 +0.49% | 28.7 | +38.9 | 4469.2 not crossed | positive |
| Friday Jul 14 | 4517.6 | 4505.1 | -12.5 -0.28% | 25.7 | -5.6 | 4483.0 not crossed | positive |
Week: +106.2 points (+2.41%), close to close from 2023-07-07.
Ranges: 133.1 points over 5 sessions, the largest 33.5 on 2023-07-11.
Zero-gamma flip at the close: 4370.0 on the first session, 4483.0 on the last (+113.0 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Jul 12
08:30CPI · high impact
CPI y/y: actual 3.1% / prior 4.1%; Core CPI m/m: actual 0.2% / prior 0.4% - Jul 12
09:30VIX settlement
spot +2.2 in the 15 minutes after 09:30; flip 4399.2 → 4396.9; net gamma long; walls 4399.2 / 4555.3 → 4396.9 / 4529.6 - Jul 12
13:0010-year note auction, $32B (reopening)
spot +2.1 in the 15 minutes after 13:00; flip 4421.4 → 4421.7; net gamma long; walls 4421.4 / 4525.9 → 4421.7 / 4525.3 - Jul 13
08:30PPI
PPI m/m: actual 0.1% / prior -0.2% - Jul 13
13:0030-year bond auction, $18B (reopening)
spot -0.4 in the 15 minutes after 13:00; flip 4464.1 → 4461.8; net gamma long; walls 4464.1 / 4524.4 → 4461.9 / 4524.2 - Jul 14
07:00JPM earnings - Jul 14
07:00UNH earnings - Jul 14
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 64.2; 1y inflation: prior 3.3%; 5y inflation: prior 3%
spot +3.0 in the 15 minutes after 10:00; flip 4456.9 → 4464.4; net gamma long; walls 4456.9 / 4560.8 → 4464.4 / 4559.9
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.