SPX dealer positioning, the week of September 4, 2023
Sep 4 to Sep 8 · 4 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 Sep 4 | no session | ||||||
| Tuesday Sep 5 | 4511.9 | 4496.9 | -15.0 -0.33% | 17.0 | -17.5 | 4490.1 crossed 5x | positive |
| Wednesday Sep 6 | 4484.5 | 4465.6 | -18.9 -0.42% | 44.5 | -31.3 | 4462.2 crossed 22x | positive |
| Thursday Sep 7 | 4436.0 | 4452.2 | +16.2 +0.36% | 25.2 | -13.4 | 4433.1 crossed 1x | positive |
| Friday Sep 8 | 4455.4 | 4458.2 | +2.8 +0.06% | 24.2 | +6.0 | 4432.2 crossed 1x | positive |
Week: -56.3 points (-1.25%), close to close from 2023-09-01.
Ranges: 110.8 points over 4 sessions, the largest 44.5 on 2023-09-06.
Zero-gamma flip at the close: 4490.1 on the first session, 4432.2 on the last (-57.9 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- Sep 5
08:30Durable goods orders
Durable goods m/m: actual -1.4% / prior -3.5% - Sep 6
09:30VIX settlement
spot +2.6 in the 15 minutes after 09:30; flip 4472.7 → 4462.6; net gamma long; walls 4472.7 / 4543.7 → 4462.6 / 4523.7 - Sep 6
10:00ISM services PMI
spot -5.2 in the 15 minutes after 10:00; flip 4475.4 → 4469.5; net gamma long; walls 4475.4 / 4529.8 → 4469.5 / 4527.0 - Sep 8
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 69.4; 1y inflation: prior 3.5%; 5y inflation: prior 3%
spot +7.0 in the 15 minutes after 10:00; flip 4412.1 → 4407.9; net gamma long; walls 4412.1 / 4501.6 → 4407.9 / 4496.1
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.