SPX dealer positioning, the week of September 26, 2022
Sep 26 to Sep 30 · 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 Sep 26 | 3681.8 | 3656.1 | -25.7 -0.70% | 69.8 | -37.6 | 3672.3 crossed 14x | negative |
| Tuesday Sep 27 | 3692.6 | 3646.9 | -45.8 -1.24% | 91.5 | -9.3 | 3660.0 crossed 10x | negative |
| Wednesday Sep 28 | 3654.9 | 3719.2 | +64.3 +1.76% | 91.9 | +72.3 | 3699.3 crossed 12x | positive |
| Thursday Sep 29 | 3682.8 | 3640.9 | -41.9 -1.14% | 71.9 | -78.3 | 3639.9 crossed 17x | positive |
| Friday Sep 30 | 3635.6 | 3587.7 | -47.9 -1.32% | 86.9 | -53.2 | 3632.4 crossed 15x | negative |
Week: -106.0 points (-2.87%), close to close from 2022-09-23.
Ranges: 412.0 points over 5 sessions, the largest 91.9 on 2022-09-28.
Zero-gamma flip at the close: 3672.3 on the first session, 3632.4 on the last (-39.9 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Sep 27
08:30Durable goods orders
Durable goods m/m: actual -0.7% / prior -0.1% - Sep 27
08:30Housing starts
Housing starts: actual 1532K / prior 1382K - Sep 27
10:00Consumer confidence (Conference Board)
spot -5.1 in the 15 minutes after 10:00; flip 3668.0 → 3671.4; net gamma long - Sep 28
09:30VIX settlement
spot +1.7 in the 15 minutes after 09:30; flip 3506.3 → 3538.6; net gamma long - Sep 28
10:15Fed Chair speech: Welcoming Remarks
spot +26.2 in the 15 minutes after 10:15; flip 3580.0 → 3522.8; net gamma short (was long) - Sep 29
08:30GDP
GDP q/q: actual 2.9% / prior 0.6% - Sep 30
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.6% / prior 0.2% - Sep 30 Quarter-end SPX expiry (the JPMorgan collar resets)
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.