SPX dealer positioning, the week of October 30, 2023
Oct 30 to Nov 3 · 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 30 | 4148.3 | 4166.6 | +18.3 +0.44% | 43.2 | +49.8 | 4110.9 not crossed | positive |
| Tuesday Oct 31 | 4168.4 | 4193.8 | +25.3 +0.61% | 41.5 | +27.2 | 4122.4 not crossed | positive |
| Wednesday Nov 1 | 4201.6 | 4237.4 | +35.8 +0.85% | 46.4 | +43.6 | 4216.4 crossed 11x | positive |
| Thursday Nov 2 | 4277.9 | 4318.6 | +40.7 +0.95% | 41.8 | +81.1 | 4286.1 not crossed | positive |
| Friday Nov 3 | 4341.9 | 4359.1 | +17.3 +0.40% | 31.7 | +40.6 | 4356.6 crossed 8x | positive |
Week: +242.3 points (+5.89%), close to close from 2023-10-27.
Ranges: 204.7 points over 5 sessions, the largest 46.4 on 2023-11-01.
Zero-gamma flip at the close: 4110.9 on the first session, 4356.6 on the last (+245.7 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Oct 31
10:00Consumer confidence (Conference Board)
spot +14.4 in the 15 minutes after 10:00; flip 4096.1 → 4087.8; net gamma long; walls 4096.1 / 4213.4 → 4087.8 / 4208.6 - Nov 1
08:30Quarterly refunding statement - Nov 1
09:30VIX settlement
spot -0.6 in the 15 minutes after 09:30; flip 4421.2 → 4092.9; net gamma long (was short) - Nov 1
10:00ISM manufacturing PMI
spot +5.6 in the 15 minutes after 10:00; flip 4087.2 → 4102.6; net gamma long; walls 4087.2 / 4251.7 → 4102.6 / 4242.5 - Nov 1
10:00JOLTS job openings
Openings: actual 9.26M / prior 9.25M
spot +5.6 in the 15 minutes after 10:00; flip 4087.2 → 4102.6; net gamma long; walls 4087.2 / 4251.7 → 4102.6 / 4242.5 - Nov 1
14:00FOMC decision · high impact
Fed funds: actual 5.50% / prior 5.50%
spot -13.2 in the 15 minutes after 14:00; net gamma long - Nov 1
14:30FOMC press conference · high impact
spot -5.6 in the 15 minutes after 14:30; flip 4155.0 → 4146.7; net gamma long; walls 4155.0 / 4248.1 → 4146.7 / 4259.2 - Nov 2
07:00LLY earnings - Nov 2
08:30Durable goods orders
Durable goods m/m: actual -4.1% / prior 3.1% - Nov 2
16:05AAPL earnings - Nov 3
08:30Nonfarm payrolls · high impact
Payrolls: actual 159K / prior 156K; Unemployment rate: actual 3.9% / prior 3.7% - Nov 3
10:00ISM services PMI
spot -6.8 in the 15 minutes after 10:00; flip 4271.6 → 4350.1; net gamma long
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.