SPX dealer positioning, the week of February 27, 2023
Feb 27 to Mar 3 · 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 Feb 27 | 4003.0 | 3981.9 | -21.2 -0.53% | 42.8 | +12.3 | 3992.2 crossed 7x | negative |
| Tuesday Feb 28 | 3976.5 | 3971.1 | -5.5 -0.14% | 25.6 | -10.8 | 3984.4 crossed 12x | negative |
| Wednesday Mar 1 | 3957.0 | 3951.5 | -5.5 -0.14% | 30.0 | -19.6 | 3955.5 crossed 14x | negative |
| Thursday Mar 2 | 3933.5 | 3979.9 | +46.5 +1.18% | 61.8 | +28.5 | 3955.5 crossed 16x | positive |
| Friday Mar 3 | 3996.5 | 4046.0 | +49.5 +1.24% | 52.5 | +66.0 | 4024.0 not crossed | positive |
Week: +76.4 points (+1.92%), close to close from 2023-02-24.
Ranges: 212.7 points over 5 sessions, the largest 61.8 on 2023-03-02.
Zero-gamma flip at the close: 3992.2 on the first session, 4024.0 on the last (+31.9 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Feb 27
08:30Durable goods orders
Durable goods m/m: actual -1.5% / prior 5.1% - Feb 28 On the same day: index rebalance, month-end SPX
- Feb 28
10:00Consumer confidence (Conference Board)
spot -6.7 in the 15 minutes after 10:00; flip 3930.9 → 3955.5; net gamma long - Mar 1
09:30VIX settlement
spot +5.8 in the 15 minutes after 09:30; flip 3927.1 → 3884.1; net gamma long - Mar 1
10:00ISM manufacturing PMI
spot -17.0 in the 15 minutes after 10:00; flip 3882.9 → 3934.6; net gamma long - Mar 2
16:05AVGO earnings - Mar 2
16:05COST earnings - Mar 3
10:00ISM services PMI
spot +4.8 in the 15 minutes after 10:00; flip 3936.7 → 3953.4; 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.