SPX dealer positioning, the week of August 21, 2023
Aug 21 to Aug 25 · 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 21 | 4381.3 | 4400.1 | +18.7 +0.43% | 46.4 | +30.4 | 4405.7 crossed 1x | negative |
| Tuesday Aug 22 | 4415.7 | 4387.5 | -28.2 -0.64% | 32.5 | -12.5 | 4361.4 crossed 1x | positive |
| Wednesday Aug 23 | 4402.4 | 4435.6 | +33.2 +0.75% | 43.5 | +48.1 | 4357.1 not crossed | positive |
| Thursday Aug 24 | 4452.9 | 4376.6 | -76.3 -1.71% | 80.5 | -59.0 | 4384.5 crossed 29x | negative |
| Friday Aug 25 | 4396.0 | 4405.1 | +9.2 +0.21% | 60.7 | +28.5 | 4310.4 crossed 13x | positive |
Week: +35.5 points (+0.81%), close to close from 2023-08-18.
Ranges: 263.5 points over 5 sessions, the largest 80.5 on 2023-08-24.
Zero-gamma flip at the close: 4405.7 on the first session, 4310.4 on the last (-95.3 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Aug 23
08:30Housing starts
Housing starts: actual 1464K / prior 1420K - Aug 23
09:30VIX settlement
spot +3.8 in the 15 minutes after 09:30; flip 4314.2 → 4336.0; net gamma long; walls 4314.2 / 4437.8 → 4336.0 / 4452.7 - Aug 23
13:0020-year bond auction, $16B
spot +5.4 in the 15 minutes after 13:00; flip 4359.2 → 4360.4; net gamma long; walls 4359.2 / 4453.1 → 4360.4 / 4453.4 - Aug 23
16:05NVDA earnings - Aug 24
08:30Durable goods orders
Durable goods m/m: actual -3.5% / prior 4.9% - Aug 25
10:00UMich consumer sentiment (final)
Sentiment: actual 69.4 / prior 71.5; 1y inflation: actual 3.5% / prior 3.4%; 5y inflation: actual 3% / prior 3%
spot +16.5 in the 15 minutes after 10:00; flip 4389.9 → 4374.6; net gamma long; walls 4389.9 / 4440.7 → 4374.6 / 4459.0
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.