SPX dealer positioning, the week of December 25, 2023
Dec 25 to Dec 29 · 4 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 Dec 25 | no session | ||||||
| Tuesday Dec 26 | 4761.7 | 4775.5 | +13.8 +0.29% | 22.2 | +20.2 | 4735.9 not crossed | positive |
| Wednesday Dec 27 | 4774.0 | 4781.8 | +7.9 +0.16% | 14.4 | +6.3 | 4744.3 not crossed | positive |
| Thursday Dec 28 | 4790.0 | 4784.2 | -5.8 -0.12% | 11.4 | +2.3 | 4756.4 not crossed | positive |
| Friday Dec 29 | 4785.8 | 4773.3 | -12.5 -0.26% | 36.5 | -10.9 | 4736.6 not crossed | positive |
Week: +18.0 points (+0.38%), close to close from 2023-12-22.
Ranges: 84.5 points over 4 sessions, the largest 36.5 on 2023-12-29.
Zero-gamma flip at the close: 4735.9 on the first session, 4736.6 on the last (+0.7 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- Dec 26
10:00Consumer confidence (Conference Board)
spot +2.8 in the 15 minutes after 10:00; flip 4716.6 → 4712.5; net gamma long; walls 4716.6 / 4799.4 → 4712.5 / 4797.8 - Dec 27
09:30VIX settlement
spot +4.3 in the 15 minutes after 09:30; flip 4748.3 → 4720.0; net gamma long; walls 4748.3 / 4803.1 → 4720.0 / 4813.5
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.