SPX dealer positioning, the week of August 28, 2023
Aug 28 to Sep 1 · 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 28 | 4427.2 | 4434.1 | +6.9 +0.15% | 23.2 | +28.9 | 4381.1 not crossed | positive |
| Tuesday Aug 29 | 4433.3 | 4498.8 | +65.5 +1.48% | 67.3 | +64.7 | 4393.9 crossed 2x | positive |
| Wednesday Aug 30 | 4503.0 | 4515.0 | +12.0 +0.27% | 27.5 | +16.3 | 4469.9 not crossed | positive |
| Thursday Aug 31 | 4522.1 | 4509.0 | -13.0 -0.29% | 23.3 | -6.0 | 4499.5 not crossed | positive |
| Friday Sep 1 | 4536.4 | 4514.4 | -22.0 -0.48% | 37.0 | +5.4 | 4484.4 crossed 1x | positive |
Week: +109.3 points (+2.48%), close to close from 2023-08-25.
Ranges: 178.4 points over 5 sessions, the largest 67.3 on 2023-08-29.
Zero-gamma flip at the close: 4381.1 on the first session, 4484.4 on the last (+103.3 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Aug 29
10:00Consumer confidence (Conference Board)
spot +7.7 in the 15 minutes after 10:00; flip 4364.7 → 4359.0; net gamma long; walls 4364.7 / 4468.5 → 4359.0 / 4475.0 - Aug 29
10:00JOLTS job openings
Openings: actual 9.18M / prior 9.37M
spot +7.7 in the 15 minutes after 10:00; flip 4364.7 → 4359.0; net gamma long; walls 4364.7 / 4468.5 → 4359.0 / 4475.0 - Aug 30
08:30GDP
GDP q/q: actual 4.7% / prior 2.5% - Aug 30
09:30VIX settlement
spot +2.9 in the 15 minutes after 09:30; net gamma long (was short) - Aug 31
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.1% / prior 0.3% - Aug 31
16:05AVGO earnings - Sep 1
08:30Nonfarm payrolls · high impact
Payrolls: actual 218K / prior 163K; Unemployment rate: actual 3.7% / prior 3.5% - Sep 1
10:00ISM manufacturing PMI
spot +13.3 in the 15 minutes after 10:00; flip 4495.7 → 4474.6; net gamma long; walls 4495.7 / 4598.3 → 4474.6 / 4592.5
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.