SPX dealer positioning, the week of September 18, 2023
Sep 18 to Sep 22 · 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 Sep 18 | 4448.5 | 4454.1 | +5.6 +0.13% | 23.1 | +5.5 | 4450.3 crossed 1x | positive |
| Tuesday Sep 19 | 4443.5 | 4444.3 | +0.8 +0.02% | 32.4 | -9.8 | 4419.2 crossed 2x | positive |
| Wednesday Sep 20 | 4453.2 | 4401.8 | -51.4 -1.15% | 59.2 | -42.5 | 4409.4 crossed 10x | negative |
| Thursday Sep 21 | 4375.7 | 4329.9 | -45.8 -1.05% | 49.1 | -71.9 | 4337.7 crossed 10x | negative |
| Friday Sep 22 | 4337.9 | 4319.6 | -18.3 -0.42% | 40.2 | -10.3 | 4310.7 crossed 1x | positive |
Week: -129.1 points (-2.90%), close to close from 2023-09-15.
Ranges: 204.1 points over 5 sessions, the largest 59.2 on 2023-09-20.
Zero-gamma flip at the close: 4450.3 on the first session, 4310.7 on the last (-139.6 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Sep 19
08:30Housing starts
Housing starts: actual 1321K / prior 1464K - Sep 19
13:0020-year bond auction, $13B (reopening)
spot +4.5 in the 15 minutes after 13:00; flip 4415.2 → 4415.4; net gamma long; walls 4415.2 / 4472.0 → 4415.4 / 4472.1 - Sep 20
09:30VIX settlement
spot +4.7 in the 15 minutes after 09:30; flip 4341.6 → 4368.3; net gamma long; walls 4341.6 / 4518.1 → 4368.3 / 4517.6 - Sep 20
14:00FOMC decision · high impact
Fed funds: actual 5.50% / prior 5.50%
spot -2.9 in the 15 minutes after 14:00; net gamma short - Sep 20
14:30FOMC press conference · high impact
spot +4.8 in the 15 minutes after 14:30; net gamma short - Sep 22
10:00UMich consumer sentiment (final)
Sentiment: actual 67.8 / prior 69.4; 1y inflation: actual 3.2% / prior 3.5%; 5y inflation: actual 2.8% / prior 3%
spot +0.3 in the 15 minutes after 10:00; flip 4301.9 → 4294.7; net gamma long; walls 4301.9 / 4388.4 → 4294.7 / 4392.9
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.