SPX dealer positioning, the week of August 7, 2023
Aug 7 to Aug 11 · 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 Aug 7 | 4503.9 | 4518.0 | +14.1 +0.31% | 26.4 | +41.0 | 4462.8 not crossed | positive |
| Tuesday Aug 8 | 4492.6 | 4500.2 | +7.7 +0.17% | 38.5 | -17.8 | 4465.6 crossed 2x | positive |
| Wednesday Aug 9 | 4499.1 | 4467.0 | -32.1 -0.71% | 37.8 | -33.2 | 4463.5 crossed 12x | positive |
| Thursday Aug 10 | 4492.3 | 4469.1 | -23.2 -0.52% | 68.3 | +2.1 | 4472.8 crossed 7x | negative |
| Friday Aug 11 | 4447.3 | 4463.1 | +15.8 +0.36% | 32.2 | -6.0 | 4469.6 crossed 1x | negative |
Week: -13.9 points (-0.31%), close to close from 2023-08-04.
Ranges: 203.2 points over 5 sessions, the largest 68.3 on 2023-08-10.
Zero-gamma flip at the close: 4462.8 on the first session, 4469.6 on the last (+6.8 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Aug 8
07:00LLY earnings - Aug 9
09:30VIX settlement
spot -4.0 in the 15 minutes after 09:30; flip 4448.9 → 4467.2; net gamma long; walls 4448.9 / 4558.2 → 4467.2 / 4551.8 - Aug 9
13:0010-year note auction, $38B
spot +12.7 in the 15 minutes after 13:00; flip 4457.6 → 4453.8; net gamma long; walls 4457.6 / 4540.4 → 4453.8 / 4537.5 - Aug 10
08:30CPI · high impact
CPI y/y: actual 3.3% / prior 3.1%; Core CPI m/m: actual 0.2% / prior 0.2% - Aug 10
13:0030-year bond auction, $23B
spot +0.3 in the 15 minutes after 13:00; flip 4440.7 → 4441.0; net gamma long; walls 4440.7 / 4549.1 → 4441.0 / 4546.3 - Aug 11
08:30PPI
PPI m/m: actual 0.6% / prior 0.1% - Aug 11
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 71.5; 1y inflation: prior 3.4%; 5y inflation: prior 3%
spot +9.3 in the 15 minutes after 10:00; flip 4379.7 → 4384.2; net gamma long; walls 4379.6 / 4505.3 → 4384.2 / 4500.5
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.