SPX dealer positioning, the week of October 9, 2023

Oct 9 to Oct 13 · 5 of 5 days traded · each session free to replay

← the week of Oct 2 the week of Oct 16 →the calendar for this week every session

Day	Open	Close	Change	Range	Close to close	Flip at the close	Gamma at the close
Monday Oct 9	4289.3	4335.2	+45.9 +1.07%	57.3	+27.4	4320.9 crossed 4x	positive
Tuesday Oct 10	4340.1	4357.9	+17.8 +0.41%	44.3	+22.7	4337.1 not crossed	positive
Wednesday Oct 11	4375.0	4377.7	+2.7 +0.06%	32.5	+19.8	4316.6 not crossed	positive
Thursday Oct 12	4379.0	4349.4	-29.5 -0.67%	59.7	-28.3	4335.3 crossed 8x	positive
Friday Oct 13	4369.9	4327.8	-42.2 -0.97%	63.3	-21.7	4322.9 crossed 42x	positive

Week: +20.0 points (+0.46%), close to close from 2023-10-06.
Ranges: 257.0 points over 5 sessions, the largest 63.3 on 2023-10-13.
Zero-gamma flip at the close: 4320.9 on the first session, 4322.9 on the last (+2.0 points).
Closed in positive gamma: 5 of 5 sessions.

Events this week

Oct 11 08:30 PPI
PPI m/m: actual 0.2% / prior 0.7%
Oct 11 09:30 VIX settlement
spot -2.3 in the 15 minutes after 09:30; flip 4256.2 → 4300.4; net gamma long; walls 4256.2 / 4403.2 → 4300.3 / 4422.8
Oct 11 13:00 10-year note auction, $35B (reopening)
spot +1.2 in the 15 minutes after 13:00; flip 4329.7 → 4327.5; net gamma long; walls 4329.7 / 4414.7 → 4327.5 / 4412.7
Oct 11 14:00 FOMC minutes
spot +1.6 in the 15 minutes after 14:00; flip 4318.4 → 4315.9; net gamma long; walls 4318.4 / 4402.6 → 4315.9 / 4403.7
Oct 12 08:30 CPI · high impact
CPI y/y: actual 3.7% / prior 3.7%; Core CPI m/m: actual 0.3% / prior 0.2%
Oct 12 13:00 30-year bond auction, $20B (reopening)
spot -22.8 in the 15 minutes after 13:00; flip 4315.6 → 4329.9; net gamma long; walls 4315.6 / 4419.9 → 4329.9 / 4424.1
Oct 13 07:00 JPM earnings
Oct 13 07:00 UNH earnings
Oct 13 10:00 UMich consumer sentiment (preliminary)
Sentiment: prior 67.8; 1y inflation: prior 3.2%; 5y inflation: prior 2.8%
spot -5.8 in the 15 minutes after 10:00; flip 4354.3 → 4346.9; net gamma long; walls 4354.3 / 4423.4 → 4346.9 / 4417.0

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.