SPX dealer positioning, the week of October 2, 2023
Oct 2 to Oct 6 · 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 Oct 2 | 4278.8 | 4287.8 | +9.1 +0.21% | 38.2 | +0.1 | 4231.9 not crossed | positive |
| Tuesday Oct 3 | 4268.1 | 4229.9 | -38.2 -0.89% | 63.6 | -57.9 | 4224.7 crossed 4x | positive |
| Wednesday Oct 4 | 4239.6 | 4263.8 | +24.1 +0.57% | 47.2 | +33.9 | 4199.3 not crossed | positive |
| Thursday Oct 5 | 4257.8 | 4258.4 | +0.6 +0.01% | 39.3 | -5.3 | 4255.6 crossed 6x | positive |
| Friday Oct 6 | 4234.1 | 4307.8 | +73.8 +1.74% | 104.2 | +49.4 | 4201.8 not crossed | positive |
Week: +20.1 points (+0.47%), close to close from 2023-09-29.
Ranges: 292.3 points over 5 sessions, the largest 104.2 on 2023-10-06.
Zero-gamma flip at the close: 4231.9 on the first session, 4201.8 on the last (-30.1 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Oct 2
10:00ISM manufacturing PMI
spot -2.7 in the 15 minutes after 10:00; flip 4246.3 → 4244.7; net gamma long; walls 4246.3 / 4353.2 → 4244.7 / 4351.6 - Oct 3
10:00JOLTS job openings
Openings: actual 9.25M / prior 8.66M
spot -20.3 in the 15 minutes after 10:00; flip 4219.1 → 4235.4; net gamma long; walls 4219.1 / 4332.5 → 4235.4 / 4331.9 - Oct 4
08:30Durable goods orders
Durable goods m/m: actual 3.1% / prior -1.4% - Oct 4
09:30VIX settlement
spot -1.6 in the 15 minutes after 09:30; flip 4155.7 → 4213.6; net gamma long; walls 4155.7 / 4253.7 → 4213.6 / 4312.3 - Oct 4
10:00ISM services PMI
spot -4.7 in the 15 minutes after 10:00; flip 4206.3 → 4185.9; net gamma long; walls 4206.3 / 4314.2 → 4185.9 / 4313.3 - Oct 6
08:30Nonfarm payrolls · high impact
Payrolls: actual 156K / prior 218K; Unemployment rate: actual 3.7% / prior 3.7%
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.