SPX dealer positioning, the week of November 6, 2023
Nov 6 to Nov 10 · 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 Nov 6 | 4371.8 | 4367.1 | -4.7 -0.11% | 23.5 | +8.0 | 4359.4 crossed 30x | positive |
| Tuesday Nov 7 | 4365.9 | 4378.9 | +13.0 +0.30% | 29.3 | +11.8 | 4378.9 crossed 10x | negative |
| Wednesday Nov 8 | 4386.0 | 4383.9 | -2.1 -0.05% | 30.3 | +5.0 | 4377.9 crossed 12x | positive |
| Thursday Nov 9 | 4390.5 | 4347.3 | -43.2 -0.98% | 45.7 | -36.6 | 4368.4 crossed 9x | negative |
| Friday Nov 10 | 4365.3 | 4416.1 | +50.8 +1.16% | 64.7 | +68.8 | 4380.9 crossed 8x | positive |
Week: +57.0 points (+1.31%), close to close from 2023-11-03.
Ranges: 193.5 points over 5 sessions, the largest 64.7 on 2023-11-10.
Zero-gamma flip at the close: 4359.4 on the first session, 4380.9 on the last (+21.4 points).
Closed in positive gamma: 3 of 5 sessions.
Events this week
- Nov 6
14:00Senior loan officer survey (SLOOS)
spot -5.3 in the 15 minutes after 14:00; flip 4289.9 → 4291.3; net gamma long - Nov 8
09:30VIX settlement
spot +1.1 in the 15 minutes after 09:30; flip 4314.7 → 4328.9; net gamma long - Nov 8
13:0010-year note auction, $40B
spot +0.7 in the 15 minutes after 13:00; flip 4340.4 → 4340.2; net gamma long - Nov 9
13:0030-year bond auction, $24B
spot -15.3 in the 15 minutes after 13:00; flip 4329.7 → 4331.9; net gamma long - Nov 10
10:00UMich consumer sentiment (preliminary)
Sentiment: prior 63.8; 1y inflation: prior 4.2%; 5y inflation: prior 3%
spot -4.8 in the 15 minutes after 10:00; flip 4288.1 → 4297.8; 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.