SPX dealer positioning, the week of November 27, 2023
Nov 27 to Dec 1 · 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 27 | 4557.4 | 4551.3 | -6.1 -0.13% | 13.1 | -6.8 | 4524.2 crossed 1x | positive |
| Tuesday Nov 28 | 4545.8 | 4554.3 | +8.5 +0.19% | 26.6 | +3.1 | 4526.8 not crossed | positive |
| Wednesday Nov 29 | 4576.5 | 4550.0 | -26.5 -0.58% | 40.0 | -4.3 | 4541.3 crossed 1x | positive |
| Thursday Nov 30 | 4556.9 | 4568.6 | +11.7 +0.26% | 31.7 | +18.6 | 4511.0 not crossed | positive |
| Friday Dec 1 | 4559.0 | 4593.6 | +34.7 +0.76% | 42.6 | +25.1 | 4527.8 not crossed | positive |
Week: +35.6 points (+0.78%), close to close from 2023-11-24.
Ranges: 154.0 points over 5 sessions, the largest 42.6 on 2023-12-01.
Zero-gamma flip at the close: 4524.2 on the first session, 4527.8 on the last (+3.6 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Nov 27
08:30Housing starts
Housing starts: actual 1380K / prior 1369K - Nov 28
10:00Consumer confidence (Conference Board)
spot +3.4 in the 15 minutes after 10:00; flip 4499.9 → 4502.7; net gamma long; walls 4499.9 / 4578.9 → 4502.7 / 4577.8 - Nov 29
08:30GDP
GDP q/q: actual 3.4% / prior 4.7% - Nov 29
09:30VIX settlement
spot +5.4 in the 15 minutes after 09:30; flip 4484.0 → 4527.8; net gamma long; walls 4484.0 / 4623.7 → 4527.8 / 4620.2 - Nov 30
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.2% / prior 0.3% - Dec 1
10:00ISM manufacturing PMI
spot -0.4 in the 15 minutes after 10:00; flip 4487.7 → 4491.8; net gamma long; walls 4487.7 / 4594.6 → 4491.8 / 4601.8
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.