SPX dealer positioning, the week of May 15, 2023
May 15 to May 19 · 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 May 15 | 4128.0 | 4136.2 | +8.1 +0.20% | 29.8 | +11.9 | 4128.6 crossed 4x | positive |
| Tuesday May 16 | 4125.5 | 4110.2 | -15.3 -0.37% | 24.0 | -25.9 | 4122.4 crossed 24x | negative |
| Wednesday May 17 | 4129.3 | 4158.6 | +29.3 +0.71% | 50.5 | +48.4 | 4136.8 crossed 6x | positive |
| Thursday May 18 | 4155.0 | 4198.8 | +43.8 +1.05% | 48.0 | +40.2 | 4171.5 crossed 9x | positive |
| Friday May 19 | 4206.4 | 4192.3 | -14.1 -0.34% | 32.6 | -6.5 | 4191.4 crossed 12x | positive |
Week: +68.0 points (+1.65%), close to close from 2023-05-12.
Ranges: 184.9 points over 5 sessions, the largest 50.5 on 2023-05-17.
Zero-gamma flip at the close: 4128.6 on the first session, 4191.4 on the last (+62.8 points).
Closed in positive gamma: 4 of 5 sessions.
Events this week
- May 16
08:30Retail sales
Retail sales m/m: actual 0.8% / prior -1.1% - May 16
10:00Fed Chair testimony
spot -7.2 in the 15 minutes after 10:00; flip 4062.5 → 4068.2; net gamma long - May 17
08:30Housing starts
Housing starts: actual 1343K / prior 1366K - May 17
09:30VIX settlement
spot -3.5 in the 15 minutes after 09:30; flip 4098.3 → 4078.0; net gamma long - May 17
13:0020-year bond auction, $15B
spot +1.2 in the 15 minutes after 13:00; net gamma short - May 18
07:00WMT earnings
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.