SPX dealer positioning, the week of October 16, 2023
Oct 16 to Oct 20 · 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 16 | 4348.6 | 4372.1 | +23.5 +0.54% | 34.4 | +44.3 | 4337.1 not crossed | positive |
| Tuesday Oct 17 | 4343.6 | 4373.1 | +29.5 +0.68% | 55.3 | +1.0 | 4344.1 crossed 1x | positive |
| Wednesday Oct 18 | 4354.7 | 4313.9 | -40.8 -0.94% | 58.7 | -59.2 | 4295.6 not crossed | positive |
| Thursday Oct 19 | 4323.2 | 4278.1 | -45.1 -1.04% | 68.6 | -35.8 | 4287.6 crossed 5x | negative |
| Friday Oct 20 | 4269.4 | 4223.9 | -45.5 -1.07% | 52.4 | -54.2 | 4193.9 crossed 1x | positive |
Week: -103.9 points (-2.40%), close to close from 2023-10-13.
Ranges: 269.4 points over 5 sessions, the largest 68.6 on 2023-10-19.
Zero-gamma flip at the close: 4337.1 on the first session, 4193.9 on the last (-143.2 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Oct 17
07:00JNJ earnings - Oct 17
08:30Retail sales
Retail sales m/m: actual 0.7% / prior 0.9% - Oct 18
07:00PG earnings - Oct 18
08:30Housing starts
Housing starts: actual 1369K / prior 1321K - Oct 18
09:30VIX settlement
spot -4.4 in the 15 minutes after 09:30; flip 4280.2 → 4284.3; net gamma long; walls 4280.2 / 4402.9 → 4284.3 / 4416.6 - Oct 18
13:0020-year bond auction, $13B (reopening)
spot +21.0 in the 15 minutes after 13:00; flip 4298.3 → 4291.5; net gamma long; walls 4298.3 / 4403.6 → 4291.5 / 4397.1 - Oct 18
16:05NFLX earnings - Oct 18
16:05TSLA earnings
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.