SPX dealer positioning, the week of June 13, 2022
Jun 13 to Jun 17 · 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 Jun 13 | 3804.4 | 3751.8 | -52.6 -1.38% | 82.9 | -147.0 | 3778.8 crossed 6x | negative |
| Tuesday Jun 14 | 3768.2 | 3736.4 | -31.8 -0.84% | 71.1 | -15.5 | 3742.8 crossed 13x | negative |
| Wednesday Jun 15 | 3771.5 | 3788.8 | +17.3 +0.46% | 108.3 | +52.4 | 3784.2 crossed 15x | positive |
| Thursday Jun 16 | 3702.4 | 3665.6 | -36.8 -0.99% | 66.2 | -123.1 | 3672.6 crossed 1x | negative |
| Friday Jun 17 | 3676.1 | 3673.3 | -2.8 -0.08% | 66.7 | +7.7 | 3671.2 crossed 23x | positive |
Week: -225.5 points (-5.79%), close to close from 2022-06-10.
Ranges: 395.2 points over 5 sessions, the largest 108.3 on 2022-06-15.
Zero-gamma flip at the close: 3778.8 on the first session, 3671.2 on the last (-107.6 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Jun 13
16:05ORCL earnings - Jun 14
08:30PPI
PPI m/m: actual 0.9% / prior 0.5% - Jun 15
08:30Retail sales
Retail sales m/m: actual -0.1% / prior 1.4% - Jun 15
09:30VIX settlement
spot +12.5 in the 15 minutes after 09:30; flip 3637.4 → 3716.3; net gamma long - Jun 15
14:00FOMC decision · high impact
Fed funds: actual 1.75% / prior 1.00%
spot -34.4 in the 15 minutes after 14:00; flip 3844.6 → 3704.8; net gamma short - Jun 15
14:30FOMC press conference · high impact
spot +75.0 in the 15 minutes after 14:30; flip 3704.5 → 3663.6; net gamma short (was long) - Jun 16
08:30Housing starts
Housing starts: actual 1546K / prior 1807K - Jun 17 Expiries coincide: quarterly options, ES and NQ futures, index rebalance
- Jun 17
08:45Fed Chair speech: Welcoming Remarks - Jun 17 ES and NQ futures expire at the open (ESM2, NQM2); ESU2 is the front contract
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.