SPX dealer positioning, the week of August 14, 2023
Aug 14 to Aug 18 · 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 14 | 4457.1 | 4489.6 | +32.4 +0.73% | 34.7 | +26.4 | 4446.5 not crossed | positive |
| Tuesday Aug 15 | 4472.5 | 4437.6 | -34.9 -0.78% | 41.0 | -51.9 | 4423.3 crossed 6x | positive |
| Wednesday Aug 16 | 4434.9 | 4404.9 | -30.1 -0.68% | 44.0 | -32.8 | 4433.7 crossed 22x | negative |
| Thursday Aug 17 | 4420.8 | 4373.2 | -47.6 -1.08% | 55.8 | -31.7 | 4371.6 crossed 7x | positive |
| Friday Aug 18 | 4342.8 | 4369.6 | +26.8 +0.62% | 39.4 | -3.6 | 4328.0 not crossed | positive |
Week: -93.5 points (-2.09%), close to close from 2023-08-11.
Ranges: 214.9 points over 5 sessions, the largest 55.8 on 2023-08-17.
Zero-gamma flip at the close: 4446.5 on the first session, 4328.0 on the last (-118.5 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Aug 15
08:30Retail sales
Retail sales m/m: actual 0.2% / prior 0.5% - Aug 16
08:30Housing starts
Housing starts: actual 1464K / prior 1420K - Aug 16
09:30VIX settlement
spot +9.5 in the 15 minutes after 09:30; flip 4383.4 → 4385.4; net gamma long; walls 4383.4 / 4449.4 → 4385.4 / 4474.7 - Aug 16
14:00FOMC minutes
spot -4.3 in the 15 minutes after 14:00; flip 4437.0 → 4428.9; net gamma short - Aug 17
07:00WMT earnings
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.