SPX dealer positioning, the week of October 9, 2023
Oct 9 to Oct 13 · 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 Oct 9 | 4289.3 | 4335.2 | +45.9 +1.07% | 57.3 | +27.4 | 4309.3 crossed 12x | positive |
| Tuesday Oct 10 | 4340.1 | 4357.9 | +17.8 +0.41% | 44.3 | +22.7 | 4364.2 crossed 20x | negative |
| Wednesday Oct 11 | 4375.0 | 4377.7 | +2.7 +0.06% | 32.5 | +19.8 | 4362.3 crossed 8x | positive |
| Thursday Oct 12 | 4379.0 | 4349.4 | -29.5 -0.67% | 59.7 | -28.3 | 4356.6 crossed 18x | negative |
| Friday Oct 13 | 4369.9 | 4327.8 | -42.2 -0.97% | 63.3 | -21.7 | 4334.8 crossed 7x | negative |
Week: +20.0 points (+0.46%), close to close from 2023-10-06.
Ranges: 257.0 points over 5 sessions, the largest 63.3 on 2023-10-13.
Zero-gamma flip at the close: 4309.3 on the first session, 4334.8 on the last (+25.5 points).
Closed in positive gamma: 2 of 5 sessions.
Events this week
- Oct 11
08:30PPI
PPI m/m: actual 0.2% / prior 0.7% - Oct 11
09:30VIX settlement
spot -2.3 in the 15 minutes after 09:30; flip 4256.2 → 4300.4; net gamma long - Oct 11
13:0010-year note auction, $35B (reopening)
spot +1.2 in the 15 minutes after 13:00; flip 4329.7 → 4327.5; net gamma long - Oct 11
14:00FOMC minutes
spot +1.6 in the 15 minutes after 14:00; flip 4318.4 → 4315.9; net gamma long - Oct 12
08:30CPI · high impact
CPI y/y: actual 3.7% / prior 3.7%; Core CPI m/m: actual 0.3% / prior 0.2% - Oct 12
13:0030-year bond auction, $20B (reopening)
spot -22.8 in the 15 minutes after 13:00; flip 4315.6 → 4329.9; net gamma long - Oct 13
07:00JPM earnings - Oct 13
07:00UNH earnings - Oct 13
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 67.8; 1y inflation: prior 3.2%; 5y inflation: prior 2.8%
spot -5.8 in the 15 minutes after 10:00; flip 4354.3 → 4346.9; 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.