SPX dealer positioning, the week of November 20, 2023

Nov 20 to Nov 24 · 4 of 5 days traded · each session free to replay

← the week of Nov 13 the week of Nov 27 →the calendar for this week every session

Day	Open	Close	Change	Range	Close to close	Flip at the close	Gamma at the close
Monday Nov 20	4513.8	4548.4	+34.6 +0.77%	43.0	+34.4	4509.5 not crossed	positive
Tuesday Nov 21	4537.3	4539.0	+1.7 +0.04%	15.3	-9.4	4500.0 crossed 1x	positive
Wednesday Nov 22	4558.9	4556.6	-2.2 -0.05%	22.1	+17.7	4526.8 not crossed	positive
Thursday Nov 23	no session
Friday Nov 24	4554.5	4558.0	+3.5 +0.08%	5.7	+1.4	4533.6 not crossed	positive

Week: +44.1 points (+0.98%), close to close from 2023-11-17.
Ranges: 86.1 points over 4 sessions, the largest 43.0 on 2023-11-20.
Zero-gamma flip at the close: 4509.5 on the first session, 4533.6 on the last (+24.1 points).
Closed in positive gamma: 4 of 4 sessions.

Events this week

Nov 20 13:00 20-year bond auction, $16B
spot +8.9 in the 15 minutes after 13:00; flip 4496.2 → 4497.4; net gamma long; walls 4496.2 / 4558.2 → 4497.4 / 4552.4
Nov 21 14:00 FOMC minutes
spot +3.3 in the 15 minutes after 14:00; flip 4492.3 → 4490.8; net gamma long; walls 4492.3 / 4571.6 → 4490.8 / 4571.0
Nov 21 16:05 NVDA earnings
Nov 22 08:30 Durable goods orders
Durable goods m/m: actual -4.1% / prior 3.1%
Nov 22 09:30 VIX settlement
spot +8.3 in the 15 minutes after 09:30; net gamma long (was short)
Nov 24 10:00 UMich consumer sentiment (final)
Sentiment: actual 61.3 / prior 63.8; 1y inflation: actual 4.5% / prior 4.2%; 5y inflation: actual 3.2% / prior 3%
spot -3.1 in the 15 minutes after 10:00; flip 4528.7 → 4530.6; net gamma long; walls 4528.7 / 4583.7 → 4530.6 / 4582.7

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.