SPX dealer positioning, the week of December 12, 2022
Dec 12 to Dec 16 · 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 12 | 3946.0 | 3989.6 | +43.7 +1.11% | 53.7 | +55.7 | 3959.8 crossed 8x | positive |
| Tuesday Dec 13 | 4100.9 | 4020.2 | -80.6 -1.97% | 107.2 | +30.6 | 4027.1 crossed 13x | negative |
| Wednesday Dec 14 | 4021.9 | 3997.9 | -24.0 -0.60% | 85.3 | -22.3 | 4006.1 crossed 10x | negative |
| Thursday Dec 15 | 3949.4 | 3895.9 | -53.5 -1.35% | 69.8 | -102.0 | 3903.8 crossed 8x | negative |
| Friday Dec 16 | 3868.2 | 3852.1 | -16.1 -0.42% | 52.3 | -43.8 | 3849.2 crossed 7x | positive |
Week: -81.8 points (-2.08%), close to close from 2022-12-09.
Ranges: 368.4 points over 5 sessions, the largest 107.2 on 2022-12-13.
Zero-gamma flip at the close: 3959.8 on the first session, 3849.2 on the last (-110.6 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Dec 12
13:0010-year note auction, $32B (reopening)
spot -8.1 in the 15 minutes after 13:00; flip 3887.0 → 3889.2; net gamma long - Dec 13
08:30CPI · high impact
CPI y/y: actual 7.1% / prior 7.8%; Core CPI m/m: actual 0.3% / prior 0.4% - Dec 13
13:0030-year bond auction, $18B (reopening)
spot +3.6 in the 15 minutes after 13:00; flip 4032.6 → 4030.7; net gamma short - Dec 14
09:30VIX settlement
spot +7.7 in the 15 minutes after 09:30; net gamma long (was short) - Dec 14
14:00FOMC decision · high impact
Fed funds: actual 4.50% / prior 4.00%
spot -21.8 in the 15 minutes after 14:00; flip 3976.3 → 3785.1; net gamma long - Dec 14
14:30FOMC press conference · high impact
spot -13.6 in the 15 minutes after 14:30; flip 3794.4 → 3796.0; net gamma long - Dec 15
08:30Retail sales
Retail sales m/m: actual -1.4% / prior 1.0% - Dec 16 Expiries coincide: quarterly options, ES and NQ futures, index rebalance
- Dec 16 ES and NQ futures expire at the open (ESZ2, NQZ2); ESH3 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.