SPX dealer positioning, the week of October 23, 2023
Oct 23 to Oct 27 · 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 23 | 4210.2 | 4217.9 | +7.7 +0.18% | 63.7 | -6.0 | 4147.1 not crossed | positive |
| Tuesday Oct 24 | 4241.3 | 4249.1 | +7.8 +0.18% | 38.8 | +31.2 | 4236.1 not crossed | positive |
| Wednesday Oct 25 | 4228.4 | 4186.8 | -41.6 -0.99% | 45.9 | -62.3 | 4164.7 crossed 22x | positive |
| Thursday Oct 26 | 4176.1 | 4136.6 | -39.5 -0.95% | 54.5 | -50.2 | 4153.9 crossed 28x | negative |
| Friday Oct 27 | 4152.2 | 4116.8 | -35.4 -0.85% | 51.1 | -19.8 | 4084.1 not crossed | positive |
Week: -107.1 points (-2.53%), close to close from 2023-10-20.
Ranges: 254.1 points over 5 sessions, the largest 63.7 on 2023-10-23.
Zero-gamma flip at the close: 4147.1 on the first session, 4084.1 on the last (-63.0 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Oct 24
16:05GOOGL earnings - Oct 24
16:05MSFT earnings - Oct 24
16:05V earnings - Oct 25
08:30Housing starts
Housing starts: actual 1369K / prior 1321K - Oct 25
09:30VIX settlement
spot -18.7 in the 15 minutes after 09:30; flip 4174.1 → 4205.7; net gamma long; walls 4174.1 / 4232.3 → 4205.7 / 4299.0 - Oct 25
16:05META earnings - Oct 26
07:00MA earnings - Oct 26
08:30Durable goods orders
Durable goods m/m: actual 3.1% / prior -1.4% - Oct 26
08:30GDP
GDP q/q: actual 3.4% / prior 4.7% - Oct 26
16:05AMZN earnings - Oct 27
07:00XOM earnings - Oct 27
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.3% / prior 0.1% - Oct 27
10:00UMich consumer sentiment (final)
Sentiment: actual 63.8 / prior 67.8; 1y inflation: actual 4.2% / prior 3.2%; 5y inflation: actual 3% / prior 2.8%
spot +7.4 in the 15 minutes after 10:00; flip 4063.9 → 4059.4; net gamma long; walls 4063.9 / 4251.0 → 4059.4 / 4241.0
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.