SPX dealer positioning, the week of November 13, 2023
Nov 13 to Nov 17 · 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 Nov 13 | 4403.5 | 4411.1 | +7.6 +0.17% | 28.2 | -5.0 | 4383.0 crossed 1x | positive |
| Tuesday Nov 14 | 4473.0 | 4495.3 | +22.3 +0.50% | 37.5 | +84.1 | 4425.6 not crossed | positive |
| Wednesday Nov 15 | 4509.5 | 4503.5 | -6.1 -0.13% | 24.5 | +8.2 | 4475.1 not crossed | positive |
| Thursday Nov 16 | 4500.6 | 4508.4 | +7.8 +0.17% | 22.5 | +4.9 | 4464.4 not crossed | positive |
| Friday Nov 17 | 4510.1 | 4513.9 | +3.9 +0.09% | 19.8 | +5.5 | 4466.2 not crossed | positive |
Week: +97.8 points (+2.21%), close to close from 2023-11-10.
Ranges: 132.5 points over 5 sessions, the largest 37.5 on 2023-11-14.
Zero-gamma flip at the close: 4383.0 on the first session, 4466.2 on the last (+83.2 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Nov 14
08:30CPI · high impact
CPI y/y: actual 3.3% / prior 3.7%; Core CPI m/m: actual 0.3% / prior 0.3% - Nov 14
10:00Fed Chair testimony
spot 0.0 in the 15 minutes after 10:00; flip 4397.5 → 4413.5; net gamma long; walls 4397.5 / 4534.3 → 4413.5 / 4540.2 - Nov 15
08:30PPI
PPI m/m: actual -0.3% / prior 0.2% - Nov 15
08:30Retail sales
Retail sales m/m: actual -0.5% / prior 0.7% - Nov 15
09:30VIX settlement
spot -1.8 in the 15 minutes after 09:30; flip 4485.0 → 4453.4; net gamma long; walls 4485.0 / 4590.9 → 4453.4 / 4572.8 - Nov 16
07:00WMT earnings - Nov 17
08:30GDP
GDP q/q: actual 3.4% / prior 4.7% - Nov 17
08:30Housing starts
Housing starts: actual 1380K / prior 1369K
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.