SPX dealer positioning, the week of September 11, 2023
Sep 11 to Sep 15 · 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 Sep 11 | 4487.6 | 4488.1 | +0.5 +0.01% | 21.2 | +29.9 | 4480.9 crossed 16x | positive |
| Tuesday Sep 12 | 4470.8 | 4462.5 | -8.3 -0.19% | 29.9 | -25.6 | 4470.8 crossed 17x | negative |
| Wednesday Sep 13 | 4467.2 | 4467.5 | +0.3 +0.01% | 24.9 | +5.0 | 4470.2 crossed 17x | negative |
| Thursday Sep 14 | 4488.7 | 4505.6 | +16.9 +0.38% | 32.1 | +38.1 | 4500.1 crossed 8x | positive |
| Friday Sep 15 | 4489.9 | 4448.6 | -41.3 -0.92% | 42.2 | -57.0 | 4461.4 crossed 4x | negative |
Week: -9.6 points (-0.21%), close to close from 2023-09-08.
Ranges: 150.3 points over 5 sessions, the largest 42.2 on 2023-09-15.
Zero-gamma flip at the close: 4480.9 on the first session, 4461.4 on the last (-19.6 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Sep 11
16:05ORCL earnings - Sep 12
13:0010-year note auction, $35B (reopening)
spot +2.8 in the 15 minutes after 13:00; flip 4442.1 → 4442.7; net gamma long - Sep 13
08:30CPI · high impact
CPI y/y: actual 3.7% / prior 3.3%; Core CPI m/m: actual 0.2% / prior 0.2% - Sep 13
09:30VIX settlement
spot +3.2 in the 15 minutes after 09:30; net gamma long (was short) - Sep 13
13:0030-year bond auction, $20B (reopening)
spot +0.4 in the 15 minutes after 13:00; flip 4436.3 → 4435.0; net gamma long - Sep 14
08:30PPI
PPI m/m: actual 0.7% / prior 0.6% - Sep 14
08:30Retail sales
Retail sales m/m: actual 0.9% / prior 0.2% - Sep 15 Expiries coincide: quarterly options, ES and NQ futures, index rebalance
- Sep 15 ES and NQ futures expire at the open (ESU3, NQU3); ESZ3 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.