SPX dealer positioning, the week of July 31, 2023
Jul 31 to Aug 4 · 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 31 | 4585.5 | 4588.6 | +3.1 +0.07% | 19.5 | +7.2 | 4556.9 not crossed | positive |
| Tuesday Aug 1 | 4574.5 | 4576.9 | +2.3 +0.05% | 14.6 | -11.8 | 4582.7 crossed 9x | negative |
| Wednesday Aug 2 | 4545.6 | 4513.6 | -31.9 -0.70% | 39.7 | -63.2 | 4495.2 crossed 18x | positive |
| Thursday Aug 3 | 4495.5 | 4501.2 | +5.7 +0.13% | 32.6 | -12.5 | 4509.6 crossed 2x | negative |
| Friday Aug 4 | 4516.6 | 4477.0 | -39.6 -0.88% | 65.2 | -24.2 | 4481.2 crossed 11x | negative |
Week: -104.4 points (-2.28%), close to close from 2023-07-28.
Ranges: 171.6 points over 5 sessions, the largest 65.2 on 2023-08-04.
Zero-gamma flip at the close: 4556.9 on the first session, 4481.2 on the last (-75.7 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Jul 31
14:00Senior loan officer survey (SLOOS)
spot -2.0 in the 15 minutes after 14:00; flip 4553.3 → 4554.3; net gamma long; walls 4553.3 / 4616.2 → 4554.3 / 4615.9 - Aug 1
10:00ISM manufacturing PMI
spot -10.0 in the 15 minutes after 10:00; flip 4529.2 → 4540.4; net gamma long; walls 4529.1 / 4611.6 → 4540.4 / 4613.6 - Aug 1
10:00JOLTS job openings
Openings: actual 9.18M / prior 9.37M
spot -10.0 in the 15 minutes after 10:00; flip 4529.2 → 4540.4; net gamma long; walls 4529.1 / 4611.6 → 4540.4 / 4613.6 - Aug 2
08:30Quarterly refunding statement - Aug 2
09:30VIX settlement
spot -2.5 in the 15 minutes after 09:30; flip 4473.2 → 4490.3; net gamma long; walls 4473.2 / 4553.8 → 4490.3 / 4577.6 - Aug 3
08:30Durable goods orders
Durable goods m/m: actual -3.5% / prior 4.9% - Aug 3
10:00ISM services PMI
spot -5.9 in the 15 minutes after 10:00; flip 4443.7 → 4451.8; net gamma long; walls 4443.7 / 4533.1 → 4451.8 / 4531.4 - Aug 3
16:05AAPL earnings - Aug 3
16:05AMZN earnings - Aug 4
08:30Nonfarm payrolls · high impact
Payrolls: actual 163K / prior 225K; Unemployment rate: actual 3.5% / 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.