SPX dealer positioning, the week of December 18, 2023
Dec 18 to Dec 22 · 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 18 | 4730.2 | 4740.6 | +10.4 +0.22% | 18.6 | +25.2 | 4693.8 not crossed | positive |
| Tuesday Dec 19 | 4747.7 | 4768.0 | +20.3 +0.43% | 20.3 | +27.4 | 4751.6 not crossed | positive |
| Wednesday Dec 20 | 4758.7 | 4699.1 | -59.5 -1.25% | 79.0 | -68.9 | 4771.9 crossed 1x | negative |
| Thursday Dec 21 | 4737.5 | 4747.8 | +10.3 +0.22% | 39.6 | +48.6 | 4680.1 not crossed | positive |
| Friday Dec 22 | 4759.1 | 4755.3 | -3.7 -0.08% | 35.0 | +7.6 | 4728.5 crossed 2x | positive |
Week: +39.9 points (+0.85%), close to close from 2023-12-15.
Ranges: 192.5 points over 5 sessions, the largest 79.0 on 2023-12-20.
Zero-gamma flip at the close: 4693.8 on the first session, 4728.5 on the last (+34.7 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Dec 19
08:30Housing starts
Housing starts: actual 1522K / prior 1380K - Dec 20
09:30VIX settlement
spot +5.9 in the 15 minutes after 09:30; flip 4696.2 → 4715.5; net gamma long; walls 4696.3 / 4776.1 → 4715.5 / 4786.4 - Dec 20
13:0020-year bond auction, $13B (reopening)
spot -1.4 in the 15 minutes after 13:00; net gamma short - Dec 21
08:30GDP
GDP q/q: actual 3.4% / prior 4.7% - Dec 22
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.1% / prior 0.2% - Dec 22
08:30Durable goods orders
Durable goods m/m: actual 4.4% / prior -4.1% - Dec 22
08:30Housing starts
Housing starts: actual 1522K / prior 1380K - Dec 22
10:00UMich consumer sentiment (final)
Sentiment: actual 69.7 / prior 61.3; 1y inflation: actual 3.1% / prior 4.5%; 5y inflation: actual 2.9% / prior 3.2%
spot -0.9 in the 15 minutes after 10:00; flip 4695.7 → 4698.3; net gamma long; walls 4695.7 / 4807.7 → 4698.3 / 4804.9
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.