SPX dealer positioning, the week of March 6, 2023
Mar 6 to Mar 10 · 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 Mar 6 | 4053.8 | 4049.3 | -4.5 -0.11% | 33.0 | +3.3 | 4059.0 crossed 3x | negative |
| Tuesday Mar 7 | 4046.9 | 3986.7 | -60.2 -1.49% | 69.1 | -62.6 | 4004.3 crossed 8x | negative |
| Wednesday Mar 8 | 3990.9 | 3992.4 | +1.5 +0.04% | 29.8 | +5.7 | 3983.1 crossed 22x | positive |
| Thursday Mar 9 | 4000.1 | 3917.8 | -82.3 -2.06% | 105.3 | -74.6 | 3985.2 crossed 7x | negative |
| Friday Mar 10 | 3906.8 | 3861.6 | -45.2 -1.16% | 86.3 | -56.2 | 3887.1 crossed 6x | negative |
Week: -184.4 points (-4.56%), close to close from 2023-03-03.
Ranges: 323.4 points over 5 sessions, the largest 105.3 on 2023-03-09.
Zero-gamma flip at the close: 4059.0 on the first session, 3887.1 on the last (-171.9 points).
Closed in positive gamma: 1 of 5 sessions.
Events this week
- Mar 6
08:30Durable goods orders
Durable goods m/m: actual -2.8% / prior -1.5% - Mar 7
09:30VIX settlement
spot -0.2 in the 15 minutes after 09:30; flip 3919.3 → 3969.4; net gamma long - Mar 7
10:00Fed Chair testimony
spot -21.4 in the 15 minutes after 10:00; flip 4011.7 → 3995.0; net gamma long - Mar 8
10:00JOLTS job openings
Openings: actual 10.32M / prior 10.90M
spot +5.3 in the 15 minutes after 10:00; flip 3950.9 → 3943.4; net gamma long - Mar 8
13:0010-year note auction, $32B (reopening)
spot -6.1 in the 15 minutes after 13:00; flip 3954.3 → 3952.3; net gamma long - Mar 9
13:0030-year bond auction, $18B (reopening)
spot -4.2 in the 15 minutes after 13:00; flip 3977.4 → 3976.9; net gamma long - Mar 9
16:05ORCL earnings - Mar 10
08:30Nonfarm payrolls · high impact
Payrolls: actual 290K / prior 434K; Unemployment rate: actual 3.6% / prior 3.5% - Mar 10
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 66.9; 1y inflation: prior 4.2%; 5y inflation: prior 2.9%
spot -5.9 in the 15 minutes after 10:00; 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.