SPX dealer positioning, the week of December 4, 2023
Dec 4 to Dec 8 · 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 Dec 4 | 4560.5 | 4570.0 | +9.5 +0.21% | 25.1 | -23.6 | 4530.3 crossed 1x | positive |
| Tuesday Dec 5 | 4557.5 | 4566.4 | +8.9 +0.19% | 26.0 | -3.6 | 4542.5 not crossed | positive |
| Wednesday Dec 6 | 4589.7 | 4549.4 | -40.3 -0.88% | 43.8 | -17.0 | 4544.4 not crossed | positive |
| Thursday Dec 7 | 4571.9 | 4585.5 | +13.6 +0.30% | 23.3 | +36.1 | 4529.9 not crossed | positive |
| Friday Dec 8 | 4580.2 | 4604.2 | +24.0 +0.52% | 33.0 | +18.8 | 4559.9 not crossed | positive |
Week: +10.6 points (+0.23%), close to close from 2023-12-01.
Ranges: 151.2 points over 5 sessions, the largest 43.8 on 2023-12-06.
Zero-gamma flip at the close: 4530.3 on the first session, 4559.9 on the last (+29.6 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Dec 4
08:30Durable goods orders
Durable goods m/m: actual 4.4% / prior -4.1% - Dec 5
10:00ISM services PMI
spot -3.0 in the 15 minutes after 10:00; flip 4535.3 → 4521.1; net gamma long; walls 4535.3 / 4572.3 → 4521.1 / 4596.8 - Dec 5
10:00JOLTS job openings
Openings: actual 8.58M / prior 9.26M
spot -3.0 in the 15 minutes after 10:00; flip 4535.3 → 4521.1; net gamma long; walls 4535.3 / 4572.3 → 4521.1 / 4596.8 - Dec 6
09:30VIX settlement
spot -8.4 in the 15 minutes after 09:30; flip 4582.2 → 4541.4; net gamma long; walls 4582.2 / 4631.4 → 4541.5 / 4634.7 - Dec 7
16:05AVGO earnings - Dec 8
08:30Nonfarm payrolls · high impact
Payrolls: actual 127K / prior 159K; Unemployment rate: actual 3.7% / prior 3.9% - Dec 8
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 61.3; 1y inflation: prior 4.5%; 5y inflation: prior 3.2%
spot +8.0 in the 15 minutes after 10:00; flip 4513.4 → 4519.9; net gamma long; walls 4513.4 / 4627.9 → 4519.9 / 4622.3
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.