SPX dealer positioning, the week of March 13, 2023
Mar 13 to Mar 17 · 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 13 | 3823.9 | 3856.5 | +32.6 +0.85% | 90.0 | -5.1 | 3874.5 crossed 16x | negative |
| Tuesday Mar 14 | 3908.5 | 3920.8 | +12.3 +0.32% | 60.4 | +64.4 | 3907.2 crossed 6x | positive |
| Wednesday Mar 15 | 3861.1 | 3889.9 | +28.8 +0.75% | 55.0 | -30.9 | 3868.1 crossed 34x | positive |
| Thursday Mar 16 | 3869.5 | 3960.8 | +91.3 +2.36% | 98.4 | +70.9 | 3927.5 crossed 5x | positive |
| Friday Mar 17 | 3951.0 | 3915.8 | -35.2 -0.89% | 55.1 | -45.0 | 3919.9 crossed 21x | negative |
Week: +54.3 points (+1.40%), close to close from 2023-03-10.
Ranges: 358.9 points over 5 sessions, the largest 98.4 on 2023-03-16.
Zero-gamma flip at the close: 3874.5 on the first session, 3919.9 on the last (+45.4 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Mar 14
08:30CPI · high impact
CPI y/y: actual 6.0% / prior 6.3%; Core CPI m/m: actual 0.5% / prior 0.4% - Mar 15
08:30PPI
PPI m/m: actual -0.0% / prior 0.4% - Mar 15
08:30Retail sales
Retail sales m/m: actual -1.2% / prior 4.4% - Mar 15
09:30VIX settlement
spot +10.4 in the 15 minutes after 09:30; net gamma long - Mar 16
08:30Housing starts
Housing starts: actual 1395K / prior 1358K - Mar 17 Expiries coincide: quarterly options, ES and NQ futures, index rebalance
- Mar 17 ES and NQ futures expire at the open (ESH3, NQH3); ESM3 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.