SPX dealer positioning, the week of June 17, 2019
Jun 17 to Jun 21 · 1 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 Jun 17 | no session | ||||||
| Tuesday Jun 18 | no session | ||||||
| Wednesday Jun 19 | 2920.9 | 2929.3 | +8.5 +0.29% | 15.9 | 2933.3 crossed 35x | negative | |
| Thursday Jun 20 | no session | ||||||
| Friday Jun 21 | no session | ||||||
Week: +8.5 points (+0.29%), Monday's open to the last close.
Ranges: 15.9 points over 1 session, the largest 15.9 on 2019-06-19.
Zero-gamma flip at the close: 2933.3 on the first session, 2933.3 on the last (0.0 points).
Closed in positive gamma: 0 of 1 sessions.
Events this week
- Jun 18
08:30Housing starts
Housing starts: actual 1293K / prior 1272K - Jun 19
09:30VIX settlement
spot -3.1 in the 15 minutes after 09:30; net gamma short - Jun 19
14:00FOMC decision · high impact
Fed funds: actual 2.50% / prior 2.50%
spot +6.2 in the 15 minutes after 14:00; flip 3074.1 → 2852.3; net gamma long (was short) - Jun 19
14:30FOMC press conference · high impact
spot +1.0 in the 15 minutes after 14:30; flip 3014.9 → 2854.3; net gamma long (was short) - Jun 19
16:05ORCL earnings - Jun 21 Expiries coincide: quarterly options, ES and NQ futures, index rebalance
- Jun 21 ES and NQ futures expire at the open (ESM9, NQM9); ESU9 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.