SPX dealer positioning, the week of September 25, 2023
Sep 25 to Sep 29 · 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 25 | 4309.3 | 4337.4 | +28.1 +0.65% | 33.3 | +17.8 | 4326.0 crossed 16x | positive |
| Tuesday Sep 26 | 4309.3 | 4274.5 | -34.8 -0.81% | 46.5 | -62.9 | 4284.3 crossed 14x | negative |
| Wednesday Sep 27 | 4288.5 | 4274.1 | -14.4 -0.34% | 50.6 | -0.4 | 4269.4 crossed 13x | positive |
| Thursday Sep 28 | 4267.9 | 4298.9 | +31.0 +0.73% | 50.3 | +24.7 | 4296.4 crossed 24x | positive |
| Friday Sep 29 | 4327.6 | 4287.7 | -39.9 -0.92% | 56.3 | -11.2 | 4302.0 crossed 18x | negative |
Week: -31.9 points (-0.74%), close to close from 2023-09-22.
Ranges: 236.9 points over 5 sessions, the largest 56.3 on 2023-09-29.
Zero-gamma flip at the close: 4326.0 on the first session, 4302.0 on the last (-24.0 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Sep 26
08:30Housing starts
Housing starts: actual 1321K / prior 1464K - Sep 26
10:00Consumer confidence (Conference Board)
spot -14.1 in the 15 minutes after 10:00; flip 4287.6 → 4283.1; net gamma long - Sep 26
16:05COST earnings - Sep 27
08:30Durable goods orders
Durable goods m/m: actual -1.4% / prior -3.5% - Sep 27
09:30VIX settlement
spot -1.0 in the 15 minutes after 09:30; flip 4248.0 → 4230.3; net gamma long - Sep 28
08:30GDP
GDP q/q: actual 4.7% / prior 2.5% - Sep 29
08:30PCE inflation, income and spending · high impact
Core PCE m/m: actual 0.1% / prior 0.1% - Sep 29 Quarter-end SPX expiry (the JPMorgan collar resets)
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.