SPX dealer positioning, the week of January 9, 2023
Jan 9 to Jan 13 · 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 Jan 9 | 3915.7 | 3892.5 | -23.2 -0.59% | 58.6 | -1.8 | 3920.6 crossed 3x | negative |
| Tuesday Jan 10 | 3890.6 | 3918.7 | +28.0 +0.72% | 40.3 | +26.2 | 3905.5 crossed 20x | positive |
| Wednesday Jan 11 | 3938.8 | 3969.3 | +30.5 +0.77% | 40.2 | +50.6 | 3947.9 crossed 6x | positive |
| Thursday Jan 12 | 3979.3 | 3983.8 | +4.4 +0.11% | 57.5 | +14.5 | 3979.4 crossed 12x | positive |
| Friday Jan 13 | 3953.6 | 3999.2 | +45.7 +1.15% | 56.0 | +15.5 | 3978.9 crossed 6x | positive |
Week: +104.9 points (+2.69%), close to close from 2023-01-06.
Ranges: 252.5 points over 5 sessions, the largest 58.6 on 2023-01-09.
Zero-gamma flip at the close: 3920.6 on the first session, 3978.9 on the last (+58.3 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- Jan 11
09:30VIX settlement
spot +3.6 in the 15 minutes after 09:30; flip 3868.2 → 3854.0; net gamma long - Jan 11
13:0010-year note auction, $32B (reopening)
spot +4.8 in the 15 minutes after 13:00; flip 3886.3 → 3885.8; net gamma long - Jan 12
08:30CPI · high impact
CPI y/y: actual 6.4% / prior 7.1%; Core CPI m/m: actual 0.4% / prior 0.3% - Jan 12
13:0030-year bond auction, $18B (reopening)
spot +3.2 in the 15 minutes after 13:00; flip 3884.8 → 3888.4; net gamma long - Jan 13
07:00JPM earnings - Jan 13
07:00UNH earnings - Jan 13
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 59.8; 1y inflation: prior 4.3%; 5y inflation: prior 3%
spot +8.6 in the 15 minutes after 10:00; flip 3878.9 → 3884.1; net gamma long
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.