SPX dealer positioning, the week of December 11, 2023
Dec 11 to Dec 15 · 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 11 | 4598.3 | 4623.3 | +25.0 +0.54% | 26.5 | +19.1 | 4578.4 not crossed | positive |
| Tuesday Dec 12 | 4617.4 | 4643.0 | +25.5 +0.55% | 34.9 | +19.7 | 4584.7 crossed 1x | positive |
| Wednesday Dec 13 | 4646.5 | 4706.6 | +60.1 +1.29% | 65.4 | +63.6 | 4592.8 not crossed | positive |
| Thursday Dec 14 | 4730.7 | 4720.5 | -10.1 -0.21% | 43.2 | +13.9 | 4687.6 not crossed | positive |
| Friday Dec 15 | 4713.1 | 4715.4 | +2.4 +0.05% | 19.7 | -5.1 | 4673.6 crossed 1x | positive |
Week: +111.2 points (+2.42%), close to close from 2023-12-08.
Ranges: 189.8 points over 5 sessions, the largest 65.4 on 2023-12-13.
Zero-gamma flip at the close: 4578.4 on the first session, 4673.6 on the last (+95.2 points).
Closed in positive gamma: 5 of 5 sessions.
Events this week
- Dec 11
13:0010-year note auction, $37B (reopening)
spot +2.2 in the 15 minutes after 13:00; flip 4567.9 → 4569.2; net gamma long; walls 4567.8 / 4637.2 → 4569.2 / 4636.4 - Dec 11
16:05ORCL earnings - Dec 12
08:30CPI · high impact
CPI y/y: actual 3.1% / prior 3.3%; Core CPI m/m: actual 0.3% / prior 0.3% - Dec 12
13:0030-year bond auction, $21B (reopening)
spot +4.5 in the 15 minutes after 13:00; flip 4567.9 → 4570.3; net gamma long; walls 4567.8 / 4654.4 → 4570.3 / 4654.6 - Dec 13
08:30PPI
PPI m/m: actual 0.1% / prior -0.3% - Dec 13
09:30VIX settlement
spot -0.5 in the 15 minutes after 09:30; flip 4602.7 → 4564.7; net gamma long; walls 4602.7 / 4667.4 → 4564.7 / 4716.2 - Dec 13
14:00FOMC decision · high impact
Fed funds: actual 5.50% / prior 5.50%
spot +14.8 in the 15 minutes after 14:00; flip 4565.7 → 4564.4; net gamma long; walls 4565.7 / 4717.5 → 4564.4 / 4716.7 - Dec 13
14:30FOMC press conference · high impact
spot +17.1 in the 15 minutes after 14:30; flip 4567.1 → 4575.6; net gamma long; walls 4567.1 / 4721.1 → 4575.6 / 4720.7 - Dec 14
08:30Retail sales
Retail sales m/m: actual -0.1% / prior -0.5% - Dec 14
16:05COST earnings
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.